Prolific Capital Markets, LLC : Prolific Swiss System Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.56% Sep Performance -4.30% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 10.54% Sharpe (RFR=1%) 0.45 CAROR 5.31% Assets $ 19.2M Worst DD -12.72 S&P Correlation 0.09 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since1/2014 Prolific Swiss System -4.30 -5.19 -6.56 -3.21 10.79 15.07 - 41.83 S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 86.74 +/- S&P 500 -0.38 -13.66 -10.65 -16.19 -21.54 -58.31 - -44.91 Strategy Description SummaryProlific’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% 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% SummaryProlific’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 robust portfolio, to generate crisis alpha during times of market stress, while delivering consistent and superior risk-adjusted returns in most market environments.Investment StrategyMulti-Strat program combining Directional Volatility (divergence) and Mean-Reversion (convergence) models.Risk ManagementWe use risk-parity parity principles across models, time-frames, sectors and markets. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -12.72 3 32 7/1/2016 10/1/2016 -10.10 8 - 1/1/2020 9/1/2020 -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 -3.03 1 3 8/1/2019 9/1/2019 -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 Show More 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 7.66 4 10/1/2019 1/1/2020 6.13 3 3/1/2017 5/1/2017 5.43 2 1/1/2016 2/1/2016 4.89 2 4/1/2020 5/1/2020 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 0.03 1 7/1/2020 7/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.72 3 8/1/2016 10/1/2016 -7.35 2 2/1/2020 3/1/2020 -6.55 1 11/1/2017 11/1/2017 -5.65 2 1/1/2019 2/1/2019 -5.22 2 8/1/2020 9/1/2020 -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 -3.03 1 9/1/2019 9/1/2019 -2.74 1 12/1/2015 12/1/2015 -2.48 1 6/1/2017 6/1/2017 -2.43 1 6/1/2020 6/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00 Percent Profitable59.2663.2963.1681.4389.0693.10100.00100.00 Average Period Return0.481.593.346.618.7910.7014.8020.10 Average Gain2.454.576.908.6410.2111.6814.8020.10 Average Loss-2.40-3.56-2.76-2.33-2.75-2.56 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 Deviation3.044.826.187.457.898.949.349.00 Gain Standard Deviation1.932.744.716.727.118.459.349.00 Loss Standard Deviation1.812.862.501.562.561.98 Sharpe Ratio (1%)0.130.280.460.750.920.971.261.78 Average Gain / Average Loss1.021.292.503.723.714.57 Profit / Loss Ratio1.492.224.2916.2930.2261.66 Downside Deviation (10%)2.123.373.533.654.505.056.236.80 Downside Deviation (5%)1.952.872.471.581.641.320.36 Downside Deviation (0%)1.912.742.241.191.200.81 Sortino Ratio (10%)0.030.110.250.440.270.09-0.15-0.21 Sortino Ratio (5%)0.200.471.153.544.466.6032.86 Sortino Ratio (0%)0.250.581.495.547.3313.23 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 3 2.51 5/2020 Diversified Trader Index Month 8 2.51 5/2020 Trend Following Strategy Index Month 9 2.32 4/2020 Trend Following Strategy Index Month 9 2.32 4/2020 Trend Following Strategy Index Month 9 3.94 1/2020 Trend Following Strategy Index Month 8 2.78 12/2019 Trend Following Strategy Index Month 10 0.27 10/2019 Diversified Trader Index Month 10 3.62 5/2019 Trend Following Strategy Index Month 8 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. x {{title}} x {{title}} Add Cancel