Parizek Capital : Futures Trading Program

Year-to-Date
7.63%
Aug Performance
7.66%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
22.07%
Sharpe (RFR=1%)
0.26
CAROR
4.40%
Assets
$ 1.2M
Worst DD
-47.49
S&P Correlation
-0.26

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
4/2000
Futures Trading Program 7.66 3.74 7.63 12.55 -11.64 -15.10 -17.82 130.89
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 99.40
+/- S&P 500 9.47 -2.59 -9.10 11.70 -45.07 -59.69 -201.59 31.48

Strategy Description

Summary

The Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Grains
15.00%
Interest Rates
15.00%
Softs
15.00%
Currency Futures
13.00%
Stock Indices
13.00%
Industrial Metals
10.00%
Energy
7.00%
Livestock
7.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends, and attempts to enter trades earlier than most long-term technical systems. The Program is 99% mechanical, based on technical data, using price information to signal entry and exit points. The only discretion used is to add or delete markets traded due to liquidity issues. The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection.

Investment Strategy

MARKETS TRADED - FUTURES PROGRAM The Manager intends to trade a diverse group of futures in a variety of approximately 35 markets, including but not limited to grain, currency, metal, energy, financial, stock index, fiber, and softs (coffee, cocoa, sugar, lumber, and orange juice).

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-47.49 80 - 1/1/2011 9/1/2017
-46.08 17 37 3/1/2004 8/1/2005
-18.47 4 18 12/1/2008 4/1/2009
-15.49 4 5 10/1/2001 2/1/2002
-14.60 6 7 9/1/2002 3/1/2003
-7.32 1 1 10/1/2010 11/1/2010
-6.86 6 3 1/1/0001 9/1/2000
-5.26 1 1 10/1/2003 11/1/2003
-4.46 1 1 1/1/2001 2/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
87.32 5 8/1/2008 12/1/2008
39.47 8 3/1/2001 10/1/2001
33.78 7 3/1/2002 9/1/2002
32.45 2 1/1/2008 2/1/2008
30.52 3 7/1/2011 9/1/2011
30.32 4 7/1/2010 10/1/2010
24.77 4 11/1/2014 2/1/2015
21.26 5 9/1/2005 1/1/2006
19.73 1 11/1/2011 11/1/2011
19.45 4 12/1/2003 3/1/2004
18.32 4 10/1/2000 1/1/2001
17.34 2 12/1/2010 1/1/2011
16.99 3 7/1/2014 9/1/2014
16.45 2 4/1/2003 5/1/2003
16.17 1 5/1/2012 5/1/2012
13.61 3 12/1/2002 2/1/2003
13.37 1 11/1/2015 11/1/2015
13.36 1 5/1/2009 5/1/2009
10.36 2 6/1/2016 7/1/2016
9.88 2 7/1/2003 8/1/2003
9.35 1 3/1/2010 3/1/2010
9.10 2 5/1/2008 6/1/2008
8.83 1 10/1/2003 10/1/2003
8.74 4 2/1/2019 5/1/2019
8.35 2 1/1/2016 2/1/2016
7.97 1 9/1/2007 9/1/2007
7.66 1 8/1/2019 8/1/2019
7.55 2 6/1/2007 7/1/2007
7.35 1 11/1/2009 11/1/2009
7.02 1 9/1/2015 9/1/2015
6.89 2 3/1/2007 4/1/2007
6.87 1 11/1/2007 11/1/2007
5.82 2 6/1/2018 7/1/2018
5.35 1 2/1/2014 2/1/2014
5.35 1 3/1/2013 3/1/2013
5.16 3 7/1/2009 9/1/2009
4.20 3 3/1/2006 5/1/2006
3.97 2 12/1/2017 1/1/2018
3.89 2 1/1/2012 2/1/2012
3.88 1 2/1/2005 2/1/2005
3.73 2 4/1/2014 5/1/2014
3.61 3 11/1/2006 1/1/2007
2.92 1 5/1/2010 5/1/2010
2.87 1 12/1/2018 12/1/2018
2.54 1 9/1/2004 9/1/2004
2.45 1 9/1/2006 9/1/2006
2.39 2 9/1/2018 10/1/2018
1.97 2 6/1/2017 7/1/2017
1.78 1 1/1/2002 1/1/2002
1.44 1 12/1/2013 12/1/2013
1.41 3 7/1/2012 9/1/2012
1.22 1 3/1/2018 3/1/2018
0.97 1 10/1/2017 10/1/2017
0.70 2 5/1/2005 6/1/2005
0.54 1 8/1/2000 8/1/2000
0.47 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.66 5 4/1/2004 8/1/2004
-26.42 8 4/1/2013 11/1/2013
-25.90 10 8/1/2016 5/1/2017
-25.15 5 2/1/2011 6/1/2011
-18.47 4 1/1/2009 4/1/2009
-18.09 3 3/1/2016 5/1/2016
-15.44 6 3/1/2015 8/1/2015
-15.05 1 10/1/2011 10/1/2011
-14.48 2 10/1/2002 11/1/2002
-13.38 2 3/1/2008 4/1/2008
-12.49 2 3/1/2012 4/1/2012
-12.10 1 3/1/2003 3/1/2003
-12.09 1 6/1/2003 6/1/2003
-12.06 3 6/1/2006 8/1/2006
-11.76 1 10/1/2015 10/1/2015
-11.61 1 12/1/2015 12/1/2015
-10.94 2 11/1/2001 12/1/2001
-10.73 1 12/1/2011 12/1/2011
-10.39 4 10/1/2004 1/1/2005
-10.17 3 12/1/2009 2/1/2010
-9.86 2 7/1/2005 8/1/2005
-7.32 1 11/1/2010 11/1/2010
-6.77 1 2/1/2002 2/1/2002
-6.58 1 6/1/2009 6/1/2009
-6.18 2 3/1/2005 4/1/2005
-5.85 1 7/1/2008 7/1/2008
-5.79 1 6/1/2012 6/1/2012
-5.52 1 10/1/2009 10/1/2009
-5.26 1 11/1/2003 11/1/2003
-5.03 1 6/1/2014 6/1/2014
-4.90 4 4/1/2000 7/1/2000
-4.86 2 4/1/2018 5/1/2018
-4.59 1 1/1/2019 1/1/2019
-4.59 1 4/1/2010 4/1/2010
-4.47 2 10/1/2012 11/1/2012
-4.46 1 2/1/2001 2/1/2001
-4.45 1 8/1/2007 8/1/2007
-4.30 2 8/1/2017 9/1/2017
-3.68 1 1/1/2014 1/1/2014
-3.66 1 6/1/2010 6/1/2010
-3.64 2 6/1/2019 7/1/2019
-2.67 1 3/1/2014 3/1/2014
-2.59 1 5/1/2007 5/1/2007
-2.59 1 9/1/2000 9/1/2000
-2.25 1 12/1/2007 12/1/2007
-2.22 1 2/1/2007 2/1/2007
-2.08 1 2/1/2006 2/1/2006
-1.89 1 10/1/2014 10/1/2014
-1.80 1 8/1/2018 8/1/2018
-1.58 2 1/1/2013 2/1/2013
-1.18 1 9/1/2003 9/1/2003
-1.08 1 10/1/2007 10/1/2007
-0.96 1 2/1/2018 2/1/2018
-0.72 1 11/1/2018 11/1/2018
-0.50 1 10/1/2006 10/1/2006
-0.10 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods233.00231.00228.00222.00216.00210.00198.00186.00174.00
Percent Profitable52.3653.2551.3256.7658.3357.6246.4644.6255.75
Average Period Return0.561.653.456.9810.3313.5420.9529.5439.29
Average Gain4.978.9415.1322.9230.4838.5067.6588.8285.96
Average Loss-4.30-6.66-8.86-13.93-17.87-20.38-19.58-18.23-19.51
Best Period34.1365.8680.70120.73140.51159.02159.10212.95216.01
Worst Period-15.05-24.21-33.18-37.94-45.69-38.53-41.13-39.90-42.56
Standard Deviation6.3711.5817.2425.5633.6941.2755.7468.6273.94
Gain Standard Deviation5.0810.6615.7422.2229.6937.3849.6663.8568.97
Loss Standard Deviation3.445.307.349.6011.1710.9511.049.9812.38
Sharpe Ratio (1%)0.070.120.170.230.260.280.320.370.46
Average Gain / Average Loss1.161.341.711.651.711.893.454.874.41
Profit / Loss Ratio1.271.531.802.162.392.573.003.935.55
Downside Deviation (10%)4.026.499.4213.9718.0021.2627.1930.9533.21
Downside Deviation (5%)3.845.948.2811.6514.4216.2118.4018.1718.31
Downside Deviation (0%)3.795.818.0111.1113.5815.0416.4315.4515.34
Sortino Ratio (10%)0.040.060.100.140.150.150.190.260.35
Sortino Ratio (5%)0.120.240.360.510.610.710.971.401.87
Sortino Ratio (0%)0.150.280.430.630.760.901.281.912.56

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 7.02 9/2015
Systematic Trader Index Month 8 7.02 9/2015
Diversified Trader Index Month 10 7.02 9/2015
Diversified Trader Index Month 8 9.61 7/2014
Systematic Trader Index Month 7 9.61 7/2014
Trend Following Strategy Index Month 6 9.61 7/2014
Diversified Trader Index Month 9 5.35 3/2013
Trend Following Strategy Index Month 1 19.73 11/2011
Systematic Trader Index Month 1 19.73 11/2011
Diversified Trader Index Month 1 19.73 11/2011
IASG CTA Index Month 3 19.73 11/2011
Trend Following Strategy Index Month 6 10.43 9/2011
Trend Following Strategy Index Month 4 5.22 1/2011
Systematic Trader Index Month 10 5.22 1/2011
IASG CTA Index 3 Year Rolling 7 159.10 2005 - 2008
IASG CTA Index Year Rolling 5 120.73 2007 - 2008
Trend Following Strategy Index Month 6 34.13 10/2008
Systematic Trader Index Month 6 34.13 10/2008
IASG CTA Index Month 6 34.13 10/2008
Diversified Trader Index Month 6 34.13 10/2008
Trend Following Strategy Index Month 4 14.68 9/2008
Systematic Trader Index Month 4 14.68 9/2008
Diversified Trader Index Month 4 14.68 9/2008
IASG CTA Index Month 4 14.68 9/2008
Trend Following Strategy Index Month 10 7.35 5/2008
Trend Following Strategy Index Month 9 6.87 11/2007
Diversified Trader Index Month 10 6.87 11/2007
Systematic Trader Index Month 8 3.35 3/2007
IASG CTA Index Month 10 3.35 3/2007
Trend Following Strategy Index Month 2 3.35 3/2007
Diversified Trader Index Month 6 3.35 3/2007
Diversified Trader Index Month 5 5.65 1/2004
IASG CTA Index Month 6 5.65 1/2004
Trend Following Strategy Index Month 3 5.65 1/2004
Systematic Trader Index Month 3 5.65 1/2004
Systematic Trader Index Month 10 3.60 8/2003
Trend Following Strategy Index Month 8 3.60 8/2003
IASG CTA Index Month 9 6.06 7/2003
Trend Following Strategy Index Month 4 6.06 7/2003
Diversified Trader Index Month 4 6.06 7/2003
Systematic Trader Index Month 4 6.06 7/2003
Trend Following Strategy Index Month 9 0.57 4/2002
Systematic Trader Index Month 9 1.78 1/2002
Trend Following Strategy Index Month 6 1.78 1/2002
Diversified Trader Index Month 7 1.78 1/2002
IASG CTA Index Year Rolling 7 24.98 2000 - 2001
Trend Following Strategy Index Month 10 2.22 6/2001
Systematic Trader Index Month 8 0.44 4/2001
Diversified Trader Index Month 7 0.44 4/2001
Trend Following Strategy Index Month 2 0.44 4/2001
Trend Following Strategy Index Month 8 14.02 3/2001
Diversified Trader Index Month 9 14.02 3/2001
Systematic Trader Index Month 10 14.02 3/2001
Trend Following Strategy Index Month 4 5.32 1/2001
IASG CTA Index Month 8 5.32 1/2001
Systematic Trader Index Month 5 5.32 1/2001
Diversified Trader Index Month 6 5.32 1/2001
Trend Following Strategy Index Month 10 3.11 10/2000

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.