RAM Management Group : MRTP Aggressive

archived programs
Year-to-Date
N / A
Nov Performance
-3.10%
Min Investment
$ 1,000k
Mgmt. Fee
3.00%
Perf. Fee
20.00%
Annualized Vol
31.20%
Sharpe (RFR=1%)
0.34
CAROR
7.21%
Assets
$ 4.1M
Worst DD
-64.82
S&P Correlation
-0.20

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/1998
MRTP Aggressive -3.10 -13.15 - -20.97 -34.49 -49.56 125.93 270.95
S&P 500 3.42 1.28 - 5.69 21.76 76.33 56.96 109.51
+/- S&P 500 -6.52 -14.44 - -26.66 -56.25 -125.88 68.97 161.44

Strategy Description

Summary

The Advisor's technical trading system is designed to forecast and take advantage of trends and counter-trends in futures prices. The MRTP program described here invests only in futures contracts. Strategy: The Managed Risk Trading Program (MRTP) employs a technically based systematic... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
3.00%
Performance Fee
20.00%
Average Commission
$9.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
44.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
65.00%
1-30 Days
25.00%
Intraday
5.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Currency Futures
23.00%
Grains
20.00%
Precious Metals
14.00%
Energy
14.00%
Stock Indices
14.00%
Interest Rates
8.00%
Softs
7.00%
Composition Pie Chart

Summary

The Advisor's technical trading system is designed to forecast and take advantage of trends and counter-trends in futures prices. The MRTP program described here invests only in futures contracts. Strategy: The Managed Risk Trading Program (MRTP) employs a technically based systematic trading model. It utilizes multiple breakout, volatility, trend and counter-trend following characteristics to generate entry and exit trade signals in over 25 different commodity, foreign exchange, equity index, and financial based futures contracts. The trading model's objective is to capitalize on the direction of price movement experienced in a wide range of futures markets. The MRTP uses various proprietary technical, statistical, and pattern recognition analysis to identify potential profit opportunities. Risk Management: The key to the MRTP Programs' past success in providing consistent returns, which have been non-correlated to highly followed equity indices, has been its ability to manage risk. The MRTP manages risk with the objective of limiting losses, diversifying positions, and preserving capital. Strategies and risk control features include limiting the overall number of trades in each market and across all markets, use of protective stops, and use of less aggressive risk/reward objectives (Conservative program only). At the same time, the MRTP suppresses risk by limiting duplications of positions in closely related markets, by restricting the initiation of positions to situations in which the Advisor feels the likelihood of a profit is higher than normal, and by trading in many different futures markets. The key factor, the Advisor believes, in limiting drawdowns is the MRTP's ability to identify situations in which responding to initiation signals is more likely than usual to lead to a losing trade. Hence, the MRTP is strives to preserve more capital for opening positions that are, in the judgment of the Advisor, more likely than usual to be profitable. Money Management: The money management portion of the strategy utilizes individual futures market volatility studies, individual account balances, and overall established risk settings to calculate position size. It also uses these features as a function to equalize the acceptable risk exposure per unit-position. The objective is to equally weight the position size with the amount of acceptable dollar risk for each of the various futures market

Risk Management

Inquire with Manager as to unique risk management techniques.

   

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
-64.82 47 - 10/1/2012 9/1/2016
-40.87 7 11 7/1/1999 2/1/2000
-36.39 7 11 2/1/2006 9/1/2006
-33.39 12 17 10/1/2001 10/1/2002
-29.70 6 13 10/1/2008 4/1/2009
-24.29 6 2 1/1/0001 7/1/1998
-22.28 4 4 9/1/1998 1/1/1999
-21.05 9 3 9/1/2010 6/1/2011
-17.27 5 4 11/1/2004 4/1/2005
-14.79 6 2 3/1/2004 9/1/2004
-13.98 1 2 9/1/2007 10/1/2007
-8.77 2 1 3/1/2008 5/1/2008
-7.74 4 2 9/1/2011 1/1/2012
-6.97 1 2 3/1/2001 4/1/2001
-6.07 1 1 3/1/2012 4/1/2012
-5.02 1 1 5/1/2010 6/1/2010
-3.39 1 1 9/1/2005 10/1/2005
-2.66 1 2 6/1/2001 7/1/2001
-2.20 1 1 1/1/2001 2/1/2001
-2.03 1 1 12/1/2005 1/1/2006
-1.58 1 1 5/1/2012 6/1/2012
-1.48 1 1 6/1/2008 7/1/2008
-0.47 1 1 7/1/2012 8/1/2012
-0.13 1 1 8/1/2008 9/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
83.37 5 11/1/2007 3/1/2008
52.30 2 12/1/2000 1/1/2001
52.06 3 7/1/2007 9/1/2007
49.38 4 5/1/2000 8/1/2000
41.32 2 8/1/1998 9/1/1998
33.72 3 7/1/2011 9/1/2011
31.67 4 5/1/2009 8/1/2009
29.05 5 10/1/2006 2/1/2007
27.93 1 5/1/2010 5/1/2010
26.48 2 11/1/2002 12/1/2002
25.17 2 2/1/1999 3/1/1999
24.82 3 7/1/2010 9/1/2010
24.65 1 8/1/2008 8/1/2008
23.94 2 11/1/2005 12/1/2005
22.44 3 5/1/1999 7/1/1999
21.21 3 5/1/2002 7/1/2002
20.63 2 1/1/2016 2/1/2016
19.31 2 10/1/2004 11/1/2004
19.25 2 8/1/2005 9/1/2005
18.57 1 1/1/2015 1/1/2015
17.67 2 9/1/2003 10/1/2003
17.65 2 2/1/2012 3/1/2012
13.81 1 7/1/2012 7/1/2012
13.24 1 6/1/2008 6/1/2008
12.53 2 4/1/2007 5/1/2007
12.37 1 3/1/2002 3/1/2002
11.47 3 8/1/2001 10/1/2001
11.44 1 7/1/2004 7/1/2004
11.13 1 5/1/2012 5/1/2012
11.10 2 11/1/2009 12/1/2009
10.77 1 11/1/2014 11/1/2014
9.42 2 6/1/2003 7/1/2003
9.42 1 11/1/1999 11/1/1999
9.20 1 3/1/2010 3/1/2010
8.86 2 2/1/2011 3/1/2011
8.39 2 5/1/2001 6/1/2001
8.26 1 8/1/2015 8/1/2015
7.97 2 8/1/2013 9/1/2013
7.68 2 5/1/2005 6/1/2005
7.57 1 12/1/2003 12/1/2003
7.45 1 10/1/2016 10/1/2016
6.80 1 12/1/2013 12/1/2013
6.54 1 2/1/2006 2/1/2006
5.79 1 2/1/2005 2/1/2005
5.77 1 11/1/1998 11/1/1998
5.71 1 7/1/2014 7/1/2014
5.56 1 11/1/2015 11/1/2015
5.35 2 2/1/2004 3/1/2004
4.80 2 9/1/2012 10/1/2012
4.65 1 5/1/2004 5/1/2004
4.50 1 9/1/2002 9/1/2002
4.21 1 12/1/2010 12/1/2010
4.20 1 5/1/1998 5/1/1998
3.24 1 3/1/2001 3/1/2001
3.02 2 4/1/2015 5/1/2015
1.60 1 10/1/2000 10/1/2000
1.51 1 4/1/2016 4/1/2016
1.45 1 8/1/2006 8/1/2006
1.20 1 3/1/2000 3/1/2000
0.88 1 2/1/2009 2/1/2009
0.80 1 10/1/2008 10/1/2008
0.27 1 3/1/2014 3/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-42.83 9 11/1/2012 7/1/2013
-35.22 3 8/1/1999 10/1/1999
-33.79 5 3/1/2006 7/1/2006
-32.35 5 5/1/2016 9/1/2016
-31.72 4 11/1/2001 2/1/2002
-20.58 3 2/1/1998 4/1/1998
-18.80 2 12/1/1998 1/1/1999
-18.62 3 11/1/2008 1/1/2009
-16.86 2 2/1/2015 3/1/2015
-16.58 3 12/1/1999 2/1/2000
-14.37 2 3/1/2009 4/1/2009
-13.98 1 10/1/2007 10/1/2007
-13.94 1 1/1/2011 1/1/2011
-13.60 1 10/1/2002 10/1/2002
-12.63 2 12/1/2004 1/1/2005
-12.38 1 6/1/2004 6/1/2004
-12.33 1 4/1/2002 4/1/2002
-12.14 2 6/1/2015 7/1/2015
-11.83 2 8/1/2004 9/1/2004
-11.14 2 9/1/2015 10/1/2015
-10.66 2 10/1/2010 11/1/2010
-10.53 3 8/1/2014 10/1/2014
-10.49 2 3/1/2005 4/1/2005
-10.05 5 1/1/2003 5/1/2003
-9.78 2 9/1/2009 10/1/2009
-9.51 1 8/1/2002 8/1/2002
-9.51 1 10/1/1998 10/1/1998
-9.48 3 4/1/2011 6/1/2011
-9.42 2 10/1/2013 11/1/2013
-9.39 2 1/1/2014 2/1/2014
-9.33 1 3/1/2007 3/1/2007
-8.77 2 4/1/2008 5/1/2008
-8.51 2 6/1/1998 7/1/1998
-8.02 1 11/1/2003 11/1/2003
-7.74 4 10/1/2011 1/1/2012
-7.32 1 9/1/2000 9/1/2000
-7.27 2 1/1/2010 2/1/2010
-7.13 1 6/1/2007 6/1/2007
-6.97 1 4/1/2001 4/1/2001
-6.71 1 12/1/2015 12/1/2015
-6.07 1 4/1/2012 4/1/2012
-5.58 1 12/1/2014 12/1/2014
-5.42 1 4/1/2004 4/1/2004
-5.30 1 9/1/2006 9/1/2006
-5.09 1 11/1/2000 11/1/2000
-5.02 1 6/1/2010 6/1/2010
-4.68 3 4/1/2014 6/1/2014
-3.40 1 7/1/2005 7/1/2005
-3.39 1 10/1/2005 10/1/2005
-3.13 1 4/1/2010 4/1/2010
-3.10 1 11/1/2016 11/1/2016
-2.66 1 7/1/2001 7/1/2001
-2.20 1 2/1/2001 2/1/2001
-2.03 1 1/1/2006 1/1/2006
-1.78 1 3/1/2016 3/1/2016
-1.58 1 6/1/2012 6/1/2012
-1.48 1 7/1/2008 7/1/2008
-1.47 1 8/1/2003 8/1/2003
-0.91 1 4/1/2000 4/1/2000
-0.56 1 4/1/1999 4/1/1999
-0.47 1 8/1/2012 8/1/2012
-0.13 1 9/1/2008 9/1/2008
-0.10 1 1/1/2004 1/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods226.00224.00221.00215.00209.00203.00191.00179.00167.00
Percent Profitable47.7952.6858.3755.8164.1169.9575.3980.4586.23
Average Period Return0.973.086.6414.5722.3529.8352.5377.29113.67
Average Gain8.2814.7021.4138.4444.8551.1377.80102.69135.79
Average Loss-5.72-9.86-14.07-15.58-17.84-19.76-24.88-27.19-24.86
Best Period34.3762.7486.87150.66217.61271.64241.02417.04445.86
Worst Period-22.62-35.22-35.81-42.62-46.61-51.09-56.09-64.54-53.43
Standard Deviation9.0116.2922.9037.9949.4953.2972.0794.35119.69
Gain Standard Deviation6.7813.0717.1634.8848.3149.8064.8687.58114.11
Loss Standard Deviation4.427.2210.499.9611.6912.6915.9219.3214.08
Sharpe Ratio (1%)0.100.170.270.360.420.520.690.780.91
Average Gain / Average Loss1.451.491.522.472.512.593.133.785.46
Profit / Loss Ratio1.331.662.133.124.496.029.5815.5434.20
Downside Deviation (10%)5.459.0912.6215.1916.7917.8821.8423.4620.82
Downside Deviation (5%)5.268.5311.5612.8413.5113.7815.9016.1912.24
Downside Deviation (0%)5.218.4011.3012.2812.7512.8414.6114.6810.55
Sortino Ratio (10%)0.100.200.330.630.881.091.682.384.13
Sortino Ratio (5%)0.170.330.531.061.542.023.114.528.87
Sortino Ratio (0%)0.190.370.591.191.752.323.605.2610.78

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 8.26 8/2015
Diversified Trader Index Month 4 8.26 8/2015
IASG CTA Index Month 5 8.26 8/2015
Systematic Trader Index Month 6 8.26 8/2015
Systematic Trader Index Month 6 18.57 1/2015
Trend Following Strategy Index Month 5 18.57 1/2015
Diversified Trader Index Month 6 18.57 1/2015
IASG CTA Index Month 7 18.57 1/2015
Diversified Trader Index Month 7 6.80 12/2013
Systematic Trader Index Month 8 6.80 12/2013
IASG CTA Index Month 10 6.80 12/2013
Trend Following Strategy Index Month 4 6.80 12/2013
Trend Following Strategy Index Month 6 4.10 9/2013
Diversified Trader Index Month 10 4.10 9/2013
Trend Following Strategy Index Month 5 3.72 8/2013
IASG CTA Index 5 Year Rolling 6 242.41 2007 - 2012
Trend Following Strategy Index Month 9 0.80 10/2012
Trend Following Strategy Index Month 8 3.97 9/2012
Diversified Trader Index Month 7 13.81 7/2012
Systematic Trader Index Month 7 13.81 7/2012
Trend Following Strategy Index Month 3 13.81 7/2012
Diversified Trader Index Month 3 10.66 3/2012
Trend Following Strategy Index Month 4 10.66 3/2012
Systematic Trader Index Month 4 10.66 3/2012
IASG CTA Index Month 6 10.66 3/2012
IASG CTA Index 5 Year Rolling 6 321.75 2006 - 2011
Trend Following Strategy Index Month 7 10.30 9/2011
Diversified Trader Index Month 1 20.81 8/2011
Trend Following Strategy Index Month 1 20.81 8/2011
Systematic Trader Index Month 2 20.81 8/2011
IASG CTA Index Month 2 20.81 8/2011
Trend Following Strategy Index Month 3 7.24 3/2011
Systematic Trader Index Month 6 7.24 3/2011
Diversified Trader Index Month 7 7.24 3/2011
IASG CTA Index 5 Year Rolling 8 219.60 2005 - 2010
IASG CTA Index Month 3 12.79 7/2010
Diversified Trader Index Month 2 12.79 7/2010
Trend Following Strategy Index Month 1 12.79 7/2010
Systematic Trader Index Month 1 12.79 7/2010
Systematic Trader Index Month 1 27.93 5/2010
Diversified Trader Index Month 1 27.93 5/2010
Trend Following Strategy Index Month 1 27.93 5/2010
IASG CTA Index Month 1 27.93 5/2010
IASG CTA Index 3 Year Rolling 6 183.40 2006 - 2009
IASG CTA Index 5 Year Rolling 5 217.67 2004 - 2009
Trend Following Strategy Index Month 5 3.58 12/2009
Trend Following Strategy Index Month 10 6.52 8/2009
Trend Following Strategy Index Month 3 2.52 6/2009
Systematic Trader Index Month 4 20.28 5/2009
Trend Following Strategy Index Month 4 20.28 5/2009
IASG CTA Index Month 7 20.28 5/2009
Diversified Trader Index Month 6 20.28 5/2009
IASG CTA Index 5 Year Rolling 10 190.75 2003 - 2008
IASG CTA Index Month 3 24.65 8/2008
Diversified Trader Index Month 2 24.65 8/2008
Systematic Trader Index Month 2 24.65 8/2008
Trend Following Strategy Index Month 2 24.65 8/2008
Diversified Trader Index Month 9 13.24 6/2008
Trend Following Strategy Index Month 7 13.24 6/2008
Systematic Trader Index Month 7 13.24 6/2008
IASG CTA Index Month 1 34.37 1/2008
Trend Following Strategy Index Month 1 34.37 1/2008
Diversified Trader Index Month 1 34.37 1/2008
Systematic Trader Index Month 1 34.37 1/2008
IASG CTA Index Year Rolling 7 57.97 2006 - 2007
Systematic Trader Index Month 4 14.32 11/2007
Trend Following Strategy Index Month 3 14.32 11/2007
IASG CTA Index Month 5 14.32 11/2007
Diversified Trader Index Month 4 14.32 11/2007
Systematic Trader Index Month 3 16.78 8/2007
IASG CTA Index Month 4 16.78 8/2007
Trend Following Strategy Index Month 1 16.78 8/2007
Diversified Trader Index Month 2 16.78 8/2007
Systematic Trader Index Month 2 13.91 7/2007
IASG CTA Index Month 3 13.91 7/2007
Diversified Trader Index Month 1 13.91 7/2007
Trend Following Strategy Index Month 2 13.91 7/2007
Trend Following Strategy Index Month 1 5.13 2/2007
Systematic Trader Index Month 5 5.13 2/2007
Diversified Trader Index Month 7 5.13 2/2007
IASG CTA Index Month 10 5.13 2/2007
Trend Following Strategy Index Month 9 7.27 11/2006
Systematic Trader Index Month 10 7.27 11/2006
Diversified Trader Index Month 9 9.22 10/2006
Systematic Trader Index Month 7 9.22 10/2006
Trend Following Strategy Index Month 6 9.22 10/2006
Trend Following Strategy Index Month 1 6.54 2/2006
IASG CTA Index Month 3 6.54 2/2006
Systematic Trader Index Month 2 6.54 2/2006
Diversified Trader Index Month 2 6.54 2/2006
Trend Following Strategy Index Month 6 8.30 12/2005
IASG CTA Index Year Rolling 6 37.67 2004 - 2005
Systematic Trader Index Month 7 8.30 12/2005
Diversified Trader Index Month 9 8.30 12/2005
IASG CTA Index Month 10 8.30 12/2005
IASG CTA Index Month 6 14.44 11/2005
Trend Following Strategy Index Month 6 14.44 11/2005
Diversified Trader Index Month 6 14.44 11/2005
Systematic Trader Index Month 6 14.44 11/2005
Systematic Trader Index Month 2 16.81 8/2005

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