RAM Management Group : RAM MRTP 1X-Conservative

archived programs
Year-to-Date
N / A
Nov Performance
-0.98%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.48%
Sharpe (RFR=1%)
0.41
CAROR
4.85%
Assets
$ 6.0M
Worst DD
-27.37
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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
9/1993
RAM MRTP 1X-Conservative -0.98 -3.97 - -6.04 -10.95 -17.89 42.66 201.03
S&P 500 3.42 1.28 - 5.69 21.76 76.33 56.96 379.04
+/- S&P 500 -4.40 -5.25 - -11.73 -32.71 -94.22 -14.31 -178.01

Strategy Description

Summary

Robert A. Moss is the Chairman, President and majority shareholder of the Advisor. Mr. Moss began his trading career in the futures industry in 1973. He has worked in various trading capacities on the Chicago Board of Trade, the Chicago Mercantile Exchange, the Chicago Board Options... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
23.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
55.00%
1-30 Days
35.00%
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

Robert A. Moss is the Chairman, President and majority shareholder of the Advisor. Mr. Moss began his trading career in the futures industry in 1973. He has worked in various trading capacities on the Chicago Board of Trade, the Chicago Mercantile Exchange, the Chicago Board Options Exchange, and the MidAmerica Commodity Exchange. From Aug. 1982 through Sept. 1984, Mr. MOss supervised Mid-Am Options, Inc., a floor trading operation owned by Richard Dennis, as a market maker on the Chicago Board Options Exchange. In October of 1984, Mr. Moss relocated to New York City to become a personal broker to Richard Dennis, representing him and C&D Commodities, a Commodity Trading Advisor, on all New York commodity exchanges.

Investment Strategy

RAM Management Group. Ltd's Managed Risk Trading 1X Program ("MRTP 1X") employs a computerized, technical based, systematic trading strategy. It utilizes multiple breakout, volatility, trend following, and counter-trend following features to generate entry and exit trade signals. MRTP 1Xtrades in over 26 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 1X uses various proprietary technical, statistical, and pattern recognition analysis to identify potential profit opportunities. The key to the MRTP's past success in providing consistent returns, which have been non-correlating to highly followed equity indices, has been its ability to manage risk. The MRTP managed risk with the objective of limiting losses, diversifying positions, and preserving capital. Strategies and risk controls features include limiting the overall number of trades in each market and across all markets, use of close protective stops, and use of less aggressive risk/reward objectives. The key factor, the Advisor believes, inlimiting drawdowns is MRTP's ability to identify situations in which responding to initiation signals is more likely than usual to lead to a losing trade. Hence, MRTP strives to preserve more capital for opening positions that are, in the judgement of the Advisor, more likely than usual to be profitable. The MRTP was formally designed by Mr. Moss between January 1992 and July 1993 and is based on his 25 years of direct market observations. The trading model was compouterized with the assistance from a mathematician from Cornell University, who had acquired extensive experience in statistical inference and pattern recognition during employment in the defense analysis industry. The Advisor's technical trading system is designed to forecast and take advantage of trends and counter-trends in futures prices. At the same time, the MRTP suppresses risk by limiting duplications of positions in closely related markets, by restricting the initiation of positions in which the Advisor feels the likelihood of a profit is higher than normal, and by trading in many differnt futures markets.

Risk Management

Inquire with Manager as to unique market, complex and portfolio risk management measures.

   

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
-27.37 47 - 10/1/2012 9/1/2016
-14.82 7 11 7/1/1999 2/1/2000
-13.01 7 11 2/1/2006 9/1/2006
-12.18 4 2 12/1/1993 4/1/1994
-10.34 13 20 1/1/2001 2/1/2002
-9.99 6 13 10/1/2008 4/1/2009
-7.15 9 3 9/1/2010 6/1/2011
-7.01 5 2 1/1/1998 6/1/1998
-6.82 4 1 4/1/1996 8/1/1996
-6.34 4 2 9/1/1998 1/1/1999
-5.64 5 4 11/1/2004 4/1/2005
-5.16 2 1 1/1/1996 3/1/1996
-4.93 1 2 9/1/2007 10/1/2007
-4.62 3 5 3/1/2004 6/1/2004
-3.54 2 3 7/1/1997 9/1/1997
-3.14 2 1 3/1/2008 5/1/2008
-3.09 1 1 9/1/1995 10/1/1995
-2.67 1 1 9/1/1994 10/1/1994
-2.43 3 2 4/1/1995 7/1/1995
-2.42 4 2 9/1/2011 1/1/2012
-2.35 1 3 10/1/2003 11/1/2003
-1.97 1 1 3/1/2012 4/1/2012
-1.69 2 2 11/1/1994 1/1/1995
-1.57 1 1 5/1/2010 6/1/2010
-1.12 1 1 9/1/2005 10/1/2005
-0.90 1 1 11/1/1996 12/1/1996
-0.75 1 2 3/1/1997 4/1/1997
-0.73 1 1 12/1/2005 1/1/2006
-0.55 1 1 1/1/0001 9/1/1993
-0.53 1 1 5/1/2012 6/1/2012
-0.42 1 1 6/1/2008 7/1/2008
-0.27 1 1 6/1/1994 7/1/1994
-0.18 1 1 7/1/2012 8/1/2012
-0.07 1 1 8/1/2008 9/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
23.95 5 11/1/2007 3/1/2008
18.96 2 5/1/1994 6/1/1994
16.46 6 2/1/1999 7/1/1999
15.14 6 3/1/2000 8/1/2000
15.06 2 12/1/2000 1/1/2001
14.55 3 7/1/2007 9/1/2007
14.14 3 9/1/1996 11/1/1996
13.81 3 7/1/1998 9/1/1998
10.30 3 7/1/2011 9/1/2011
9.84 4 5/1/2009 8/1/2009
9.67 3 10/1/1993 12/1/1993
8.83 1 5/1/2010 5/1/2010
8.21 5 10/1/2006 2/1/2007
8.08 3 11/1/1995 1/1/1996
7.97 1 8/1/2008 8/1/2008
7.56 3 1/1/1997 3/1/1997
7.50 3 7/1/2010 9/1/2010
7.16 2 11/1/2005 12/1/2005
7.07 1 11/1/1994 11/1/1994
6.81 2 1/1/2016 2/1/2016
6.33 1 1/1/2015 1/1/2015
6.09 3 5/1/2002 7/1/2002
5.99 2 11/1/2002 12/1/2002
5.79 2 10/1/2004 11/1/2004
5.73 3 2/1/1995 4/1/1995
5.68 2 9/1/2003 10/1/2003
5.51 2 2/1/2012 3/1/2012
5.44 1 4/1/1996 4/1/1996
5.38 2 8/1/2005 9/1/2005
5.04 4 10/1/1997 1/1/1998
4.88 2 8/1/1995 9/1/1995
4.87 1 6/1/2008 6/1/2008
4.47 1 7/1/2012 7/1/2012
4.43 2 6/1/2003 7/1/2003
4.07 2 4/1/2007 5/1/2007
4.01 1 3/1/2002 3/1/2002
3.78 1 7/1/2004 7/1/2004
3.68 1 11/1/2014 11/1/2014
3.67 1 5/1/2012 5/1/2012
3.66 2 11/1/2009 12/1/2009
3.59 2 8/1/1994 9/1/1994
3.44 3 5/1/1997 7/1/1997
3.43 2 5/1/2005 6/1/2005
3.11 1 3/1/2010 3/1/2010
3.08 2 9/1/2001 10/1/2001
3.03 1 11/1/1999 11/1/1999
2.86 1 8/1/2015 8/1/2015
2.83 2 2/1/2011 3/1/2011
2.66 1 5/1/1998 5/1/1998
2.62 2 8/1/2013 9/1/2013
2.54 1 10/1/2016 10/1/2016
2.28 1 11/1/1998 11/1/1998
2.24 1 12/1/2013 12/1/2013
2.22 1 12/1/2003 12/1/2003
2.15 1 5/1/2004 5/1/2004
2.10 1 9/1/2002 9/1/2002
2.07 1 2/1/2006 2/1/2006
1.90 1 2/1/2005 2/1/2005
1.86 1 7/1/2014 7/1/2014
1.86 2 5/1/2001 6/1/2001
1.65 1 11/1/2015 11/1/2015
1.48 2 9/1/2012 10/1/2012
1.44 2 2/1/2004 3/1/2004
1.37 1 12/1/2010 12/1/2010
1.11 2 4/1/2015 5/1/2015
0.92 1 7/1/1996 7/1/1996
0.56 1 2/1/2009 2/1/2009
0.50 1 6/1/1995 6/1/1995
0.50 1 4/1/2016 4/1/2016
0.26 1 10/1/2008 10/1/2008
0.21 1 8/1/2006 8/1/2006
0.09 1 3/1/2014 3/1/2014
0.02 1 10/1/2000 10/1/2000
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.73 9 11/1/2012 7/1/2013
-12.26 3 8/1/1999 10/1/1999
-12.18 4 1/1/1994 4/1/1994
-11.72 5 5/1/2016 9/1/2016
-11.69 5 3/1/2006 7/1/2006
-9.88 4 11/1/2001 2/1/2002
-6.87 3 2/1/1998 4/1/1998
-6.20 3 11/1/2008 1/1/2009
-6.10 2 2/1/2015 3/1/2015
-5.97 2 12/1/1998 1/1/1999
-5.78 3 12/1/1999 2/1/2000
-5.16 2 2/1/1996 3/1/1996
-4.93 1 10/1/2007 10/1/2007
-4.69 2 5/1/1996 6/1/1996
-4.57 2 3/1/2009 4/1/2009
-4.55 1 6/1/2004 6/1/2004
-4.47 1 1/1/2011 1/1/2011
-4.16 2 12/1/2004 1/1/2005
-4.14 2 6/1/2015 7/1/2015
-3.98 3 2/1/2001 4/1/2001
-3.86 2 9/1/2015 10/1/2015
-3.76 3 8/1/2014 10/1/2014
-3.75 1 10/1/2002 10/1/2002
-3.72 1 4/1/2002 4/1/2002
-3.69 2 10/1/2010 11/1/2010
-3.54 2 8/1/1997 9/1/1997
-3.39 2 3/1/2005 4/1/2005
-3.24 2 8/1/2004 9/1/2004
-3.19 3 4/1/2011 6/1/2011
-3.14 2 4/1/2008 5/1/2008
-3.14 2 1/1/2014 2/1/2014
-3.13 1 8/1/1996 8/1/1996
-3.10 2 9/1/2009 10/1/2009
-3.09 1 10/1/1995 10/1/1995
-3.08 2 10/1/2013 11/1/2013
-3.00 1 8/1/2002 8/1/2002
-2.93 5 1/1/2003 5/1/2003
-2.92 1 3/1/2007 3/1/2007
-2.73 1 6/1/1998 6/1/1998
-2.67 1 10/1/1994 10/1/1994
-2.62 1 10/1/1998 10/1/1998
-2.42 4 10/1/2011 1/1/2012
-2.40 1 11/1/2000 11/1/2000
-2.38 2 1/1/2010 2/1/2010
-2.35 1 11/1/2003 11/1/2003
-2.18 1 4/1/2004 4/1/2004
-2.16 1 12/1/2015 12/1/2015
-1.97 1 4/1/2012 4/1/2012
-1.88 1 6/1/2007 6/1/2007
-1.81 1 12/1/2014 12/1/2014
-1.80 1 9/1/2000 9/1/2000
-1.75 1 7/1/1995 7/1/1995
-1.71 1 9/1/2006 9/1/2006
-1.69 2 12/1/1994 1/1/1995
-1.57 1 6/1/2010 6/1/2010
-1.51 3 4/1/2014 6/1/2014
-1.32 2 7/1/2001 8/1/2001
-1.19 1 5/1/1995 5/1/1995
-1.12 1 10/1/2005 10/1/2005
-1.10 1 4/1/2010 4/1/2010
-0.98 1 11/1/2016 11/1/2016
-0.94 1 7/1/2005 7/1/2005
-0.90 1 12/1/1996 12/1/1996
-0.89 1 8/1/2003 8/1/2003
-0.75 1 4/1/1997 4/1/1997
-0.73 1 1/1/2006 1/1/2006
-0.55 1 9/1/1993 9/1/1993
-0.53 1 6/1/2012 6/1/2012
-0.42 1 7/1/2008 7/1/2008
-0.27 1 7/1/1994 7/1/1994
-0.19 1 3/1/2016 3/1/2016
-0.18 1 8/1/2012 8/1/2012
-0.07 1 9/1/2008 9/1/2008
-0.05 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 Periods279.00277.00274.00268.00262.00256.00244.00232.00220.00
Percent Profitable50.5458.8465.6966.0473.6681.6483.2087.5091.36
Average Period Return0.441.332.675.638.3911.2217.6024.3832.41
Average Gain2.724.586.5911.0713.5015.4923.0429.4836.28
Average Loss-1.88-3.33-4.84-4.96-5.91-7.77-9.32-11.26-8.50
Best Period12.9918.6323.7037.8450.4258.0160.5580.3784.72
Worst Period-7.24-12.26-12.80-16.51-18.33-20.74-22.78-27.20-20.00
Standard Deviation3.025.237.0710.4112.5513.6318.5621.4824.36
Gain Standard Deviation2.364.065.018.3110.3211.0515.1517.6421.75
Loss Standard Deviation1.452.463.433.804.725.146.497.595.53
Sharpe Ratio (1%)0.120.210.310.440.550.680.780.951.12
Average Gain / Average Loss1.441.381.362.232.291.992.472.624.27
Profit / Loss Ratio1.471.972.614.346.398.8612.2418.3345.17
Downside Deviation (10%)1.913.334.756.307.618.5411.6913.4913.70
Downside Deviation (5%)1.722.783.714.124.504.735.726.034.31
Downside Deviation (0%)1.672.653.473.643.873.984.644.782.96
Sortino Ratio (10%)0.020.030.040.100.100.110.160.210.35
Sortino Ratio (5%)0.210.390.591.121.531.952.553.376.33
Sortino Ratio (0%)0.260.500.771.552.172.823.805.1110.96

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 2.36 3/2011
Trend Following Strategy Index Month 9 4.05 7/2010
Trend Following Strategy Index Month 9 0.87 6/2009
Trend Following Strategy Index Month 6 4.48 8/2007
Diversified Trader Index Month 7 4.48 8/2007
Trend Following Strategy Index Month 8 1.42 2/2007
Trend Following Strategy Index Month 7 2.07 2/2006
Diversified Trader Index Month 9 2.07 2/2006
Trend Following Strategy Index Month 8 -0.70 1/2005
Trend Following Strategy Index Month 7 3.78 7/2004
Diversified Trader Index Month 8 3.78 7/2004
Systematic Trader Index Month 7 3.80 7/2003
Trend Following Strategy Index Month 6 3.80 7/2003
Diversified Trader Index Month 7 3.80 7/2003
Trend Following Strategy Index Month 7 0.61 6/2003
Trend Following Strategy Index Month 8 1.08 11/2002
Trend Following Strategy Index Month 7 -2.51 11/2001
Trend Following Strategy Index Month 2 8.58 1/2001
Systematic Trader Index Month 3 8.58 1/2001
Diversified Trader Index Month 4 8.58 1/2001
IASG CTA Index Month 5 8.58 1/2001
Systematic Trader Index Month 3 5.76 7/2000
IASG CTA Index Month 3 5.76 7/2000
Diversified Trader Index Month 2 5.76 7/2000
Trend Following Strategy Index Month 2 5.76 7/2000
Trend Following Strategy Index Month 8 2.28 6/2000
Trend Following Strategy Index Month 7 3.25 7/1999
Trend Following Strategy Index Month 4 3.53 5/1999
Systematic Trader Index Month 5 3.53 5/1999
Diversified Trader Index Month 5 3.53 5/1999
IASG CTA Index Month 6 3.53 5/1999
Trend Following Strategy Index Month 8 2.29 3/1999
Systematic Trader Index Month 10 2.29 3/1999
Trend Following Strategy Index Month 7 2.28 11/1998
Trend Following Strategy Index Month 10 0.72 7/1998
IASG CTA Index Month 7 1.96 10/1997
Systematic Trader Index Month 6 1.96 10/1997
Diversified Trader Index Month 5 1.96 10/1997
Trend Following Strategy Index Month 3 1.96 10/1997
Trend Following Strategy Index Month 7 -2.32 8/1997
Diversified Trader Index Month 9 -2.32 8/1997
Diversified Trader Index Month 9 -0.75 4/1997
Systematic Trader Index Month 9 -0.75 4/1997
Trend Following Strategy Index Month 7 -0.75 4/1997
Systematic Trader Index Month 8 -0.90 12/1996
Trend Following Strategy Index Month 5 -0.90 12/1996
Diversified Trader Index Month 9 -0.90 12/1996
IASG CTA Index Month 10 11.08 9/1996
Trend Following Strategy Index Month 9 11.08 9/1996
Diversified Trader Index Month 9 11.08 9/1996
Systematic Trader Index Month 9 11.08 9/1996
Diversified Trader Index Month 5 0.92 7/1996
IASG CTA Index Month 6 0.92 7/1996
Systematic Trader Index Month 5 0.92 7/1996
Trend Following Strategy Index Month 4 0.92 7/1996
Trend Following Strategy Index Month 6 -2.80 5/1996
Systematic Trader Index Month 10 -2.80 5/1996
Systematic Trader Index Month 10 -3.37 2/1996
Trend Following Strategy Index Month 6 -3.37 2/1996
Diversified Trader Index Month 8 -3.37 2/1996
Trend Following Strategy Index Month 10 4.72 11/1995
IASG CTA Index Month 7 3.30 9/1995
Diversified Trader Index Month 5 3.30 9/1995
Systematic Trader Index Month 3 3.30 9/1995
Trend Following Strategy Index Month 1 3.30 9/1995
Trend Following Strategy Index Month 8 1.53 8/1995
Systematic Trader Index Month 10 1.53 8/1995
Diversified Trader Index Month 9 -1.75 7/1995
Systematic Trader Index Month 8 -1.75 7/1995
Trend Following Strategy Index Month 5 -1.75 7/1995
Trend Following Strategy Index Month 7 0.50 6/1995
Systematic Trader Index Month 8 -1.08 1/1995
Diversified Trader Index Month 8 -1.08 1/1995
Trend Following Strategy Index Month 4 -1.08 1/1995
IASG CTA Index Year Rolling 9 11.77 1993 - 1994
Trend Following Strategy Index Month 9 -0.62 12/1994
Trend Following Strategy Index Month 9 -2.67 10/1994
Trend Following Strategy Index Month 2 1.28 8/1994
IASG CTA Index Month 3 1.28 8/1994
Systematic Trader Index Month 2 1.28 8/1994
Diversified Trader Index Month 2 1.28 8/1994
Trend Following Strategy Index Month 6 -0.27 7/1994
Systematic Trader Index Month 8 -0.27 7/1994
Diversified Trader Index Month 9 -0.27 7/1994
IASG CTA Index Month 10 5.28 6/1994
Systematic Trader Index Month 9 5.28 6/1994
Diversified Trader Index Month 10 5.28 6/1994
Trend Following Strategy Index Month 8 5.28 6/1994
Systematic Trader Index Month 6 12.99 5/1994
Diversified Trader Index Month 6 12.99 5/1994
IASG CTA Index Month 6 12.99 5/1994
Trend Following Strategy Index Month 5 12.99 5/1994
Trend Following Strategy Index Month 9 -6.15 1/1994
IASG CTA Index Sharpe 2 3.42 1992 - 1993
Trend Following Strategy Index Month 9 2.07 11/1993
Trend Following Strategy Index Month 5 2.64 10/1993
Diversified Trader Index Month 7 2.64 10/1993
Systematic Trader Index Month 6 2.64 10/1993
IASG CTA Index Month 7 2.64 10/1993
Systematic Trader Index Month 8 0.00 9/1993

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