Portfolio Concept Vermoegensmanagement GmbH : PC Global Systematic

Year-to-Date
0.85%
Oct Performance
-0.27%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.33%
Sharpe (RFR=1%)
0.73
CAROR
8.94%
Assets
$ 17.5M
Worst DD
-15.05
S&P Correlation
-0.14

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
PC Global Systematic -0.27 1.26 -0.85 -1.24 -7.93 -5.13 40.09 197.85
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 109.02
+/- S&P 500 -2.31 -0.66 -22.01 -13.24 -49.34 -54.12 -150.03 88.83

Strategy Description

Summary

The Portfolio Concept Global Systematic strategy is a purely systematic diversified managed futures program. The quantitative approach seeks to capitalize from price changes of various equity markets and selected bond and commodity markets in both bull and bear market scenarios. The... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
10.00%
Intraday
85.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
15.00%
Momentum
60.00%
Seasonal/cyclical
15.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Stock Indices
75.00%
Energy
15.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

The Portfolio Concept Global Systematic strategy is a purely systematic diversified managed futures program. The quantitative approach seeks to capitalize from price changes of various equity markets and selected bond and commodity markets in both bull and bear market scenarios. The portfolio compromises of various trading models which are rather short term oriented. The models include intra-day trading, intra-week trading, seasonal patterns and mid-term trend-following/ mean-reversion applied on multiple markets and different time frames. The trading models apply filters that reduce draw-downs and make the portfolio more stable in every market phase. The program’s combination of models and markets make the strategy unique and are the key factor for the robustness of the portfolio. The portfolio management uses sophisticated and proven risk management control tools. In addition each market position has a corresponding stop-loss order. Since inception the strategy has proven successful and robust returns even in challenging market periods that offer a good diversification not only to traditional investments, but also to other CTA strategies and Alternative Investments. PLEASE NOTE: PERFORMANCE PRIOR 09/2014 REPRESENTS RETURNS FROM A PROPRIETORY ACCOUNT (PRO FORMA ADJUSTED FOR MANAGEMENT AND PERFORMANCE FEES). PERFORMANCE STARTING 09/2014 PRESENT CLIENT TRADING. 4.7 Exempt - QEP or Non-US Investors Only

   

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
-15.05 15 3 2/1/2010 5/1/2011
-13.65 4 3 12/1/2007 4/1/2008
-11.14 24 - 5/1/2017 5/1/2019
-5.97 3 12 4/1/2013 7/1/2013
-3.17 3 2 4/1/2009 7/1/2009
-2.77 1 1 4/1/2012 5/1/2012
-2.59 1 1 9/1/2008 10/1/2008
-2.58 1 1 9/1/2007 10/1/2007
-2.45 5 7 3/1/2016 8/1/2016
-2.40 1 1 7/1/2015 8/1/2015
-1.85 2 1 4/1/2007 6/1/2007
-1.54 2 3 7/1/2014 9/1/2014
-1.52 1 1 1/1/2009 2/1/2009
-1.22 2 3 10/1/2015 12/1/2015
-1.17 1 1 2/1/2007 3/1/2007
-1.00 2 2 3/1/2015 5/1/2015
-0.89 1 1 11/1/2009 12/1/2009
-0.72 1 1 12/1/2014 1/1/2015
-0.70 1 1 12/1/2011 1/1/2012
-0.56 1 1 7/1/2012 8/1/2012
-0.48 1 1 12/1/2012 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
53.60 5 5/1/2008 9/1/2008
28.26 5 8/1/2011 12/1/2011
14.97 2 3/1/2009 4/1/2009
14.89 3 11/1/2008 1/1/2009
11.60 2 11/1/2007 12/1/2007
10.01 4 8/1/2009 11/1/2009
9.00 1 6/1/2011 6/1/2011
8.85 4 9/1/2012 12/1/2012
8.16 1 5/1/2010 5/1/2010
7.28 2 6/1/2012 7/1/2012
6.78 3 7/1/2007 9/1/2007
4.85 3 2/1/2012 4/1/2012
4.59 3 2/1/2013 4/1/2013
4.33 2 1/1/2010 2/1/2010
3.75 2 1/1/2007 2/1/2007
3.63 3 2/1/2014 4/1/2014
3.50 2 9/1/2015 10/1/2015
3.06 1 8/1/2013 8/1/2013
2.95 3 10/1/2013 12/1/2013
2.92 1 7/1/2010 7/1/2010
2.76 3 6/1/2019 8/1/2019
2.52 3 3/1/2017 5/1/2017
2.41 1 4/1/2007 4/1/2007
2.29 2 1/1/2011 2/1/2011
2.10 3 10/1/2014 12/1/2014
1.86 2 9/1/2016 10/1/2016
1.50 2 6/1/2014 7/1/2014
1.32 2 6/1/2015 7/1/2015
1.29 2 2/1/2015 3/1/2015
1.07 1 11/1/2010 11/1/2010
1.05 1 9/1/2010 9/1/2010
0.93 1 1/1/2019 1/1/2019
0.89 1 3/1/2016 3/1/2016
0.83 1 3/1/2018 3/1/2018
0.77 1 6/1/2013 6/1/2013
0.48 1 1/1/2016 1/1/2016
0.23 2 10/1/2018 11/1/2018
0.08 1 1/1/2017 1/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.65 4 1/1/2008 4/1/2008
-12.15 2 3/1/2010 4/1/2010
-8.69 3 3/1/2011 5/1/2011
-5.61 9 6/1/2017 2/1/2018
-5.02 1 10/1/2010 10/1/2010
-4.21 1 7/1/2013 7/1/2013
-3.92 6 4/1/2018 9/1/2018
-3.62 1 8/1/2010 8/1/2010
-3.52 4 2/1/2019 5/1/2019
-3.17 3 5/1/2009 7/1/2009
-2.77 1 5/1/2012 5/1/2012
-2.59 1 5/1/2013 5/1/2013
-2.59 1 10/1/2008 10/1/2008
-2.58 1 10/1/2007 10/1/2007
-2.45 5 4/1/2016 8/1/2016
-2.40 1 8/1/2015 8/1/2015
-2.17 1 9/1/2013 9/1/2013
-1.93 1 7/1/2011 7/1/2011
-1.85 2 5/1/2007 6/1/2007
-1.54 2 8/1/2014 9/1/2014
-1.52 1 1/1/2014 1/1/2014
-1.52 1 2/1/2009 2/1/2009
-1.22 2 11/1/2015 12/1/2015
-1.17 1 3/1/2007 3/1/2007
-1.00 2 4/1/2015 5/1/2015
-0.92 2 9/1/2019 10/1/2019
-0.89 1 12/1/2009 12/1/2009
-0.72 1 1/1/2015 1/1/2015
-0.70 1 1/1/2012 1/1/2012
-0.60 2 11/1/2016 12/1/2016
-0.56 1 5/1/2014 5/1/2014
-0.56 1 8/1/2012 8/1/2012
-0.48 1 1/1/2013 1/1/2013
-0.44 1 12/1/2018 12/1/2018
-0.36 1 12/1/2010 12/1/2010
-0.21 1 2/1/2017 2/1/2017
-0.16 1 6/1/2010 6/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods153.00152.00149.00143.00137.00131.00119.00107.0095.00
Percent Profitable53.5961.1861.7470.6375.9178.6380.6781.3182.11
Average Period Return0.773.325.8211.5018.0022.3831.5143.6560.90
Average Gain2.667.6611.6518.4825.8630.5941.0655.5675.68
Average Loss-1.43-3.52-3.60-5.29-6.76-7.83-8.33-8.16-6.94
Best Period14.89213.31209.06200.40193.32100.35116.88159.98205.54
Worst Period-11.26-69.17-69.51-68.90-68.79-68.86-68.66-67.54-67.03
Standard Deviation3.2719.2620.9125.7531.1432.1634.9044.5660.93
Gain Standard Deviation3.1022.5123.8827.0231.3030.9831.5440.4456.95
Loss Standard Deviation1.789.199.0810.3911.6112.2913.3714.1915.66
Sharpe Ratio (1%)0.210.160.250.410.530.630.820.890.92
Average Gain / Average Loss1.862.173.243.493.823.914.936.8110.90
Profit / Loss Ratio2.183.435.238.4012.0514.3820.5729.6250.02
Downside Deviation (10%)1.726.416.748.089.4610.7113.0615.5517.57
Downside Deviation (5%)1.576.156.116.536.937.207.627.998.24
Downside Deviation (0%)1.536.095.996.266.526.656.826.947.07
Sortino Ratio (10%)0.210.330.500.801.101.131.211.421.89
Sortino Ratio (5%)0.440.500.871.612.382.833.744.966.77
Sortino Ratio (0%)0.500.550.971.842.763.374.626.298.62

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.