Poseidon Advisors Ltd. : Sea Express Futures Fund

archived programs
Year-to-Date
N / A
Mar Performance
-1.32%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
23.06%
Sharpe (RFR=1%)
0.80
CAROR
18.22%
Assets
$ 16.8M
Worst DD
-26.57
S&P Correlation
-0.09

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/2001
Sea Express Futures Fund -1.32 - - - - - -4.31 513.10
S&P 500 3.13 - - - - - 22.73 182.93
+/- S&P 500 -4.45 - - - - - -27.05 330.17

Strategy Description

Summary

The trading strategy currently employed by the Firm relies exclusively on quantitative analysis and is systematic in nature. The Firm applies a price-based trend-following methodology to a dynamic universe of over 40 diverse futures markets. The trading strategy is designed to scale... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 14%
Targeted Worst DD -35.00%
Worst Peak-to-Trough -19.69%
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 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Softs
17.00%
Precious Metals
16.00%
Interest Rates
16.00%
Currency Futures
14.00%
Energy
12.00%
Grains
12.00%
Stock Indices
10.00%
Livestock
3.00%
Composition Pie Chart

Summary

The trading strategy currently employed by the Firm relies exclusively on quantitative analysis and is systematic in nature. The Firm applies a price-based trend-following methodology to a dynamic universe of over 40 diverse futures markets. The trading strategy is designed to scale into positions and employs trailing stops that are adjusted according to volatility. As volatility increases, position sizes decrease and stop levels are widened. Accordingly, as volatility decreases, position sizes increase, and stop levels are tightened. An inherent feature of all sound systematic trend-following strategies is a predisposition to hold onto profitable trades while swiftly exiting losing trades. Another key component is diversification. Diversification tends to reduce short-term market noise whilst providing the opportunity to participate in most major moves. The Principals believe that the most emotionally difficult period for both managers and investors is during a drawdown. It is at these times, however, that a disciplined trading approach is most crucial. Although the timing and severity of drawdowns cannot be predicted, historical simulations provide an estimate of what to expect. Market exposure is monitored daily and dynamically adjusted in order to accommodate the maximum acceptable drawdown level. Furthermore, at the individual security level, new positions are sized according to underlying market volatility.

Risk Management

All aspects of the trading system incorporate sound risk management, including position-sizing, trailing stop placement, asset allocation, market selection, and the setting of leverage. Market exposure is monitored daily and dynamically adjusted in order to accommodate the maximum acceptable drawdown level. Furthermore, at the individual security level, new positions are sized according to underlying market volatility.An inherent feature of all sound systematic trend-following strategies is a predisposition to hold onto profitable trades while swiftly exiting losing trades. Another key component is diversification. Diversification tends to reduce short-term market noise whilst providing the opportunity to participate in most major moves.Perhaps the most emotionally difficult period for both Futures Trading Managers and investors occurs during a drawdown. It is at these times, however, that a disciplined trading approach is most crucial. Although the timing and severity of drawdowns cannot be predicted, historical simulations provide an estimate of what to expect.

   

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
-26.57 11 - 4/1/2011 3/1/2012
-19.69 3 6 4/1/2010 7/1/2010
-18.00 16 5 3/1/2004 7/1/2005
-14.90 3 1 6/1/2008 9/1/2008
-13.18 2 2 6/1/2007 8/1/2007
-11.86 4 5 4/1/2006 8/1/2006
-11.32 6 8 1/1/2009 7/1/2009
-11.10 5 3 10/1/2001 3/1/2002
-9.10 3 1 5/1/2003 8/1/2003
-6.80 3 2 8/1/2002 11/1/2002
-6.60 1 2 2/1/2003 3/1/2003
-5.54 1 1 2/1/2011 3/1/2011
-5.01 2 2 2/1/2008 4/1/2008
-1.85 1 1 1/1/2006 2/1/2006
-1.83 1 2 1/1/2007 2/1/2007
-1.21 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
97.79 5 6/1/2001 10/1/2001
62.21 7 9/1/2003 3/1/2004
39.07 4 10/1/2008 1/1/2009
33.08 3 11/1/2005 1/1/2006
26.46 3 12/1/2007 2/1/2008
25.50 3 12/1/2010 2/1/2011
18.36 4 9/1/2004 12/1/2004
18.11 5 4/1/2002 8/1/2002
17.48 2 9/1/2007 10/1/2007
14.48 5 9/1/2006 1/1/2007
13.58 3 2/1/2010 4/1/2010
13.44 3 12/1/2002 2/1/2003
13.04 2 3/1/2006 4/1/2006
12.10 3 8/1/2010 10/1/2010
10.78 2 4/1/2003 5/1/2003
10.73 4 3/1/2007 6/1/2007
9.54 1 4/1/2011 4/1/2011
8.68 2 8/1/2005 9/1/2005
7.24 3 12/1/2001 2/1/2002
5.79 2 5/1/2008 6/1/2008
5.56 1 11/1/2009 11/1/2009
4.86 2 2/1/2005 3/1/2005
4.47 2 8/1/2009 9/1/2009
2.84 1 7/1/2011 7/1/2011
0.56 1 11/1/2011 11/1/2011
0.08 1 9/1/2011 9/1/2011
0.06 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.69 3 5/1/2010 7/1/2010
-19.37 2 5/1/2011 6/1/2011
-17.93 5 4/1/2004 8/1/2004
-15.33 4 4/1/2005 7/1/2005
-14.90 3 7/1/2008 9/1/2008
-13.18 2 7/1/2007 8/1/2007
-11.32 6 2/1/2009 7/1/2009
-11.08 1 3/1/2002 3/1/2002
-9.10 3 6/1/2003 8/1/2003
-7.69 1 5/1/2006 5/1/2006
-6.80 3 9/1/2002 11/1/2002
-6.77 1 11/1/2001 11/1/2001
-6.60 1 3/1/2003 3/1/2003
-6.16 1 10/1/2011 10/1/2011
-6.11 1 11/1/2010 11/1/2010
-5.54 1 3/1/2011 3/1/2011
-5.01 2 3/1/2008 4/1/2008
-4.91 1 1/1/2005 1/1/2005
-4.57 2 7/1/2006 8/1/2006
-3.55 4 12/1/2011 3/1/2012
-3.42 1 10/1/2009 10/1/2009
-2.78 1 8/1/2011 8/1/2011
-2.67 2 12/1/2009 1/1/2010
-1.85 1 2/1/2006 2/1/2006
-1.83 1 2/1/2007 2/1/2007
-1.21 1 11/1/2007 11/1/2007
-0.59 1 10/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods130.00128.00125.00119.00113.00107.0095.0083.0071.00
Percent Profitable57.6962.5065.6080.6784.9692.5294.74100.00100.00
Average Period Return1.624.909.1617.0826.8436.6760.8689.62125.72
Average Gain5.6712.0418.4722.8233.0740.2164.9089.62125.72
Average Loss-3.90-7.01-8.59-6.84-8.34-7.13-11.87
Best Period25.1259.1184.4093.6393.56127.20197.90181.04304.54
Worst Period-18.77-19.69-24.29-23.00-16.90-16.54-14.461.4339.70
Standard Deviation6.6613.3819.1120.1123.8424.6635.0233.8245.40
Gain Standard Deviation5.1811.6717.1017.9320.1222.0631.3233.8245.40
Loss Standard Deviation3.904.844.776.165.024.903.47
Sharpe Ratio (1%)0.230.350.450.801.061.411.652.532.66
Average Gain / Average Loss1.451.722.153.343.975.645.47
Profit / Loss Ratio1.982.864.1013.9222.4069.7898.38
Downside Deviation (10%)3.775.837.065.906.625.256.613.03
Downside Deviation (5%)3.615.326.004.354.262.803.510.32
Downside Deviation (0%)3.575.205.754.013.742.322.82
Sortino Ratio (10%)0.320.630.952.052.915.036.8222.50
Sortino Ratio (5%)0.430.871.443.705.9512.3616.50266.98
Sortino Ratio (0%)0.450.941.594.267.1715.8221.62

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.