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Persistent Capital Management : Global Diversified Program

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Year-to-Date
N / A
Dec Performance
7.48%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.95%
Sharpe (RFR=1%)
0.50
CAROR
7.61%
Assets
$ 3.0M
Worst DD
-25.71
S&P Correlation
-0.33
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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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2003
Global Diversified Program 7.48 - - -1.02 50.44 34.33 92.94 274.44
S&P 500 3.71 - - 16.26 40.48 81.90 195.57 424.83
+/- S&P 500 3.77 - - -17.28 9.97 -47.57 -102.64 -150.39

Strategy Description

Summary

The trading model incorporates 7 trend-following time-frames into one model. The model was designed to capitalize on long-term trends while avoiding whipsaws. Positions are adjusted in response to volatility. As a market's volatility increases, the position in that market is reduced.... 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 QEP
Lock-up Period 0

Trading

Trading Frequency 2000 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

Technical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Interest Rates
20.00%
Stock Indices
15.00%
Softs
13.00%
Energy
10.00%
Grains
10.00%
Industrial Metals
7.00%
Other
5.00%
Composition Pie Chart

Summary

The trading model incorporates 7 trend-following time-frames into one model. The model was designed to capitalize on long-term trends while avoiding whipsaws. Positions are adjusted in response to volatility. As a market's volatility increases, the position in that market is reduced. When a market's volatility decreases, the position in that market is increased. The portfolio is made up of 7 sectors: interest rates, currencies, stock indices, softs, energies, grains, and metals. No one market makes up more than 2.5% of the portfolio and no one sector makes up more than 25% of the portfolio.

   

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

Monthly Annual
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
-25.71 23 10 2/1/2016 1/1/2018
-19.70 34 9 2/1/2011 12/1/2013
-17.48 4 3 8/1/2019 12/1/2019
-16.47 7 - 4/1/2020 11/1/2020
-15.41 6 19 2/1/2004 8/1/2004
-13.63 2 5 6/1/2007 8/1/2007
-10.98 2 2 6/1/2008 8/1/2008
-10.00 2 3 12/1/2018 2/1/2019
-8.87 8 1 11/1/2009 7/1/2010
-8.03 5 2 1/1/2015 6/1/2015
-7.37 5 3 2/1/2003 7/1/2003
-4.79 3 1 3/1/2009 6/1/2009
-4.71 1 1 10/1/2010 11/1/2010
-4.20 3 4 4/1/2006 7/1/2006
-4.19 2 2 2/1/2008 4/1/2008
-4.04 1 3 9/1/2015 10/1/2015
-2.70 1 2 1/1/2007 2/1/2007
-2.56 1 2 5/1/2019 6/1/2019
-2.37 1 1 8/1/2010 9/1/2010
-1.08 1 1 9/1/2009 10/1/2009
-0.22 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
43.40 10 4/1/2014 1/1/2015
33.10 3 10/1/2018 12/1/2018
31.04 4 1/1/2020 4/1/2020
25.48 7 9/1/2008 3/1/2009
24.76 6 9/1/2007 2/1/2008
20.93 7 8/1/2003 2/1/2004
15.62 3 7/1/2015 9/1/2015
15.56 4 1/1/2006 4/1/2006
15.00 4 11/1/2015 2/1/2016
14.93 4 5/1/2018 8/1/2018
14.92 2 7/1/2019 8/1/2019
14.20 1 5/1/2019 5/1/2019
12.60 4 3/1/2007 6/1/2007
12.16 4 9/1/2004 12/1/2004
10.11 2 1/1/2003 2/1/2003
10.08 3 7/1/2009 9/1/2009
10.00 1 8/1/2010 8/1/2010
8.77 2 3/1/2013 4/1/2013
8.34 6 8/1/2006 1/1/2007
8.26 2 11/1/2011 12/1/2011
7.99 1 1/1/2014 1/1/2014
7.48 1 12/1/2020 12/1/2020
7.00 2 2/1/2018 3/1/2018
6.52 1 12/1/2010 12/1/2010
6.43 1 3/1/2019 3/1/2019
6.14 3 2/1/2010 4/1/2010
5.23 1 7/1/2011 7/1/2011
5.15 1 11/1/2005 11/1/2005
5.06 3 5/1/2016 7/1/2016
4.95 3 11/1/2012 1/1/2013
4.71 2 5/1/2008 6/1/2008
4.62 2 4/1/2012 5/1/2012
4.60 4 2/1/2017 5/1/2017
4.48 2 10/1/2013 11/1/2013
4.00 1 3/1/2015 3/1/2015
3.51 1 9/1/2011 9/1/2011
3.39 2 8/1/2005 9/1/2005
3.36 1 5/1/2003 5/1/2003
3.31 1 11/1/2009 11/1/2009
2.99 1 8/1/2017 8/1/2017
2.92 1 10/1/2010 10/1/2010
2.92 1 6/1/2005 6/1/2005
2.90 1 7/1/2012 7/1/2012
2.63 1 10/1/2020 10/1/2020
2.32 1 2/1/2011 2/1/2011
1.80 1 5/1/2015 5/1/2015
1.76 1 4/1/2011 4/1/2011
0.67 1 2/1/2005 2/1/2005
0.25 1 6/1/2010 6/1/2010
0.12 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.48 4 9/1/2019 12/1/2019
-15.76 5 5/1/2020 9/1/2020
-15.41 6 3/1/2004 8/1/2004
-14.41 5 5/1/2013 9/1/2013
-14.06 5 9/1/2017 1/1/2018
-13.63 2 7/1/2007 8/1/2007
-10.98 2 7/1/2008 8/1/2008
-10.96 6 8/1/2016 1/1/2017
-10.00 2 1/1/2019 2/1/2019
-8.94 3 8/1/2012 10/1/2012
-8.39 2 3/1/2016 4/1/2016
-8.38 2 5/1/2011 6/1/2011
-7.75 1 10/1/2011 10/1/2011
-6.99 1 4/1/2015 4/1/2015
-6.49 2 6/1/2003 7/1/2003
-6.45 1 12/1/2013 12/1/2013
-6.38 2 6/1/2017 7/1/2017
-6.23 3 1/1/2012 3/1/2012
-6.12 2 12/1/2009 1/1/2010
-5.64 3 3/1/2005 5/1/2005
-5.19 1 7/1/2010 7/1/2010
-4.92 1 6/1/2012 6/1/2012
-4.71 1 11/1/2010 11/1/2010
-4.33 1 6/1/2009 6/1/2009
-4.20 3 5/1/2006 7/1/2006
-4.19 2 3/1/2008 4/1/2008
-4.16 2 3/1/2003 4/1/2003
-4.04 1 10/1/2015 10/1/2015
-3.91 1 10/1/2005 10/1/2005
-3.88 1 4/1/2019 4/1/2019
-3.85 1 2/1/2015 2/1/2015
-3.77 1 5/1/2010 5/1/2010
-3.67 1 4/1/2018 4/1/2018
-3.43 1 9/1/2018 9/1/2018
-3.39 1 11/1/2020 11/1/2020
-2.86 1 6/1/2015 6/1/2015
-2.70 1 2/1/2007 2/1/2007
-2.56 1 6/1/2019 6/1/2019
-2.48 1 3/1/2011 3/1/2011
-2.37 1 9/1/2010 9/1/2010
-2.17 2 2/1/2014 3/1/2014
-2.12 1 7/1/2005 7/1/2005
-1.62 1 8/1/2011 8/1/2011
-1.36 1 12/1/2005 12/1/2005
-1.11 1 2/1/2013 2/1/2013
-1.08 1 10/1/2009 10/1/2009
-0.91 1 1/1/2005 1/1/2005
-0.60 1 4/1/2009 4/1/2009
-0.22 1 1/1/2011 1/1/2011
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Top Performer Badges

Index Award Type Rank Performance Period

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

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