Prolific Capital Markets, LLC : Prolific Swiss System

Year-to-Date
9.43%
Aug Performance
7.78%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.59%
Sharpe (RFR=1%)
0.65
CAROR
7.56%
Assets
$ 17.7M
Worst DD
-12.72
S&P Correlation
-0.07

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
1/2014
Prolific Swiss System 7.78 10.16 9.43 12.33 13.48 41.75 - 51.12
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 62.50
+/- S&P 500 9.59 3.82 -7.30 11.48 -19.95 -2.84 - -11.38

Strategy Description

Summary

Prolific’s global macro strategy is a short-term algorithmic trading program designed to profit from the greater velocity of trading, increased liquidity, and lower implementation costs, brought about from the electronification of the financial and commodity markets. Prolific employs... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
12000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
12.70%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
10.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
40.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Currency Futures
12.00%
Energy
12.00%
Grains
12.00%
Interest Rates
12.00%
Livestock
12.00%
Softs
12.00%
Stock Indices
12.00%
Industrial Metals
6.00%
Precious Metals
6.00%
VIX
4.00%
Composition Pie Chart

Summary

Prolific’s global macro strategy is a short-term algorithmic trading program designed to profit from the greater velocity of trading, increased liquidity, and lower implementation costs, brought about from the electronification of the financial and commodity markets. Prolific employs a number of orthogonal trading models across a broad universe of markets, with a near zero correlation to stocks, bonds, and real-estate, while maintaining a low correlation to industry CTA benchmarks. It is our mission to hold a dynamic efficient frontier portfolio, to generate crisis alpha during times of market stress, while delivering consistent and superior risk-adjusted returns in most market environments.

Investment Strategy

Multi-Strat program combining Directional Volatility (divergence) and Mean-Reversion (convergence) models.

Risk Management

We use risk-parity parity principles across models, time-frames, sectors and markets.

   

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
-12.72 3 32 7/1/2016 10/1/2016
-5.05 5 2 7/1/2015 12/1/2015
-4.14 1 1 4/1/2016 5/1/2016
-3.24 1 3 3/1/2015 4/1/2015
-3.13 1 1 3/1/2014 4/1/2014
-1.51 1 1 2/1/2016 3/1/2016
-1.03 1 1 1/1/0001 1/1/2014
-0.42 1 1 6/1/2019 7/1/2019
-0.28 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
22.68 9 7/1/2014 3/1/2015
13.31 5 12/1/2017 4/1/2018
12.42 2 6/1/2016 7/1/2016
8.16 2 11/1/2016 12/1/2016
8.06 4 3/1/2019 6/1/2019
7.78 1 8/1/2019 8/1/2019
6.13 3 3/1/2017 5/1/2017
5.43 2 1/1/2016 2/1/2016
4.14 1 5/1/2014 5/1/2014
4.11 1 7/1/2015 7/1/2015
3.33 1 10/1/2018 10/1/2018
3.01 1 4/1/2016 4/1/2016
2.56 2 2/1/2014 3/1/2014
2.30 1 8/1/2018 8/1/2018
2.24 1 10/1/2017 10/1/2017
0.92 1 5/1/2015 5/1/2015
0.82 1 7/1/2017 7/1/2017
0.71 2 10/1/2015 11/1/2015
0.65 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.72 3 8/1/2016 10/1/2016
-6.55 1 11/1/2017 11/1/2017
-5.65 2 1/1/2019 2/1/2019
-5.12 3 5/1/2018 7/1/2018
-4.61 2 8/1/2017 9/1/2017
-4.14 1 5/1/2016 5/1/2016
-3.24 1 4/1/2015 4/1/2015
-3.13 1 4/1/2014 4/1/2014
-3.06 2 8/1/2015 9/1/2015
-2.74 1 12/1/2015 12/1/2015
-2.48 1 6/1/2017 6/1/2017
-2.10 2 1/1/2017 2/1/2017
-1.51 1 3/1/2016 3/1/2016
-1.03 1 1/1/2014 1/1/2014
-0.76 1 11/1/2018 11/1/2018
-0.54 1 9/1/2018 9/1/2018
-0.42 1 7/1/2019 7/1/2019
-0.28 1 6/1/2014 6/1/2014
-0.15 1 6/1/2015 6/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods68.0066.0063.0057.0051.0045.0033.0021.00
Percent Profitable60.2965.1563.4980.7086.2791.11100.00100.00
Average Period Return0.651.803.326.098.299.9614.6621.57
Average Gain2.574.696.828.1010.0511.1814.6621.57
Average Loss-2.26-3.59-2.75-2.28-2.75-2.56
Best Period8.9010.1615.9823.4128.4833.6936.4740.96
Worst Period-7.23-12.72-10.40-4.87-7.29-5.500.754.66
Standard Deviation3.064.926.227.608.579.6710.7110.40
Gain Standard Deviation1.982.814.847.077.849.2410.7110.40
Loss Standard Deviation1.853.122.641.682.561.98
Sharpe Ratio (1%)0.190.320.450.670.790.821.091.68
Average Gain / Average Loss1.141.312.483.553.654.37
Profit / Loss Ratio1.732.444.3114.8422.9644.79
Downside Deviation (10%)2.033.373.553.785.045.667.057.03
Downside Deviation (5%)1.872.902.511.621.831.500.42
Downside Deviation (0%)1.832.782.281.221.340.92
Sortino Ratio (10%)0.120.170.240.290.14-0.05-0.160.00
Sortino Ratio (5%)0.310.541.133.153.715.3227.50
Sortino Ratio (0%)0.360.651.464.986.1710.84

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 3.62 5/2019
Diversified Trader Index Month 10 3.62 5/2019
Diversified Trader Index Month 7 3.33 10/2018
Trend Following Strategy Index Month 2 3.33 10/2018
Trend Following Strategy Index Month 2 3.58 3/2018
Diversified Trader Index Month 2 3.58 3/2018
IASG CTA Index Month 7 3.58 3/2018
Systematic Trader Index Month 7 3.58 3/2018
Trend Following Strategy Index Month 8 0.24 2/2018
Trend Following Strategy Index Month 1 3.93 3/2017
IASG CTA Index Month 7 3.93 3/2017
Diversified Trader Index Month 4 3.93 3/2017
Systematic Trader Index Month 6 3.93 3/2017
Diversified Trader Index Month 2 6.60 12/2016
IASG CTA Index Month 3 6.60 12/2016
Trend Following Strategy Index Month 2 6.60 12/2016
Systematic Trader Index Month 2 6.60 12/2016
Trend Following Strategy Index Month 9 3.23 7/2016
Trend Following Strategy Index Month 10 8.90 6/2016

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