ReSolve Asset Management Inc. : Adaptive Asset Allocation 20V

Year-to-Date
5.76%
Jul Performance
4.14%
Min Investment
$ 2,500k
Mgmt. Fee
2.42%
Perf. Fee
0%
Annualized Vol
21.44%
Sharpe (RFR=1%)
0.37
CAROR
6.78%
Assets
$ 13.5M
Worst DD
-32.03
S&P Correlation
0.52

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Adaptive Asset Allocation 20V 4.14 4.51 -5.76 -3.24 18.45 - - 24.45
S&P 500 5.51 12.32 1.25 9.76 31.27 - - 45.32
+/- S&P 500 -1.37 -7.80 -7.01 -13.00 -12.82 - - -20.87

Strategy Description

Investment Strategy

RESOLVE ADAPTIVE ASSET ALLOCATION 20% VOLATILITY Program targets the volatility of annual returns to be roughly 20% on a yearly basis. Portfolios are constructed from a diverse universe of exchange-traded futures contracts representing major global asset classes. Portfolio... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.42%
Performance Fee 0%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
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

Composition

Investment Strategy

RESOLVE ADAPTIVE ASSET ALLOCATION 20% VOLATILITY Program targets the volatility of annual returns to be roughly 20% on a yearly basis. Portfolios are constructed from a diverse universe of exchange-traded futures contracts representing major global asset classes. Portfolio holdings are regularly adjusted based on momentum and low beta factors using a variety of methods in response to material changes in world 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
-32.03 9 - 1/1/2018 10/1/2018
-2.84 1 2 7/1/2017 8/1/2017
-0.57 1 1 5/1/2017 6/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
39.47 5 9/1/2017 1/1/2018
21.48 5 5/1/2019 9/1/2019
8.95 4 4/1/2020 7/1/2020
8.65 1 3/1/2019 3/1/2019
7.38 3 11/1/2018 1/1/2019
6.00 2 7/1/2018 8/1/2018
4.82 2 4/1/2017 5/1/2017
3.82 1 1/1/2020 1/1/2020
3.76 1 7/1/2017 7/1/2017
3.23 1 11/1/2019 11/1/2019
2.75 2 3/1/2018 4/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.72 2 9/1/2018 10/1/2018
-16.68 2 2/1/2020 3/1/2020
-15.31 1 2/1/2018 2/1/2018
-7.06 2 5/1/2018 6/1/2018
-3.50 1 2/1/2019 2/1/2019
-3.43 1 4/1/2019 4/1/2019
-2.84 1 8/1/2017 8/1/2017
-1.57 1 12/1/2019 12/1/2019
-1.19 1 10/1/2019 10/1/2019
-0.57 1 6/1/2017 6/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable67.5068.4254.2965.5256.5276.47
Average Period Return0.741.883.675.843.225.15
Average Gain3.857.4215.9516.4311.098.85
Average Loss-5.71-10.13-10.92-14.28-7.01-6.90
Best Period13.4423.6635.5133.2822.3223.74
Worst Period-18.58-19.87-21.90-27.02-19.21-8.63
Standard Deviation6.1910.5215.3917.6511.299.31
Gain Standard Deviation3.416.848.0010.407.207.19
Loss Standard Deviation5.726.046.498.136.051.51
Sharpe Ratio (1%)0.110.150.210.270.150.34
Average Gain / Average Loss0.670.731.461.151.581.28
Profit / Loss Ratio1.401.591.742.192.054.17
Downside Deviation (10%)4.687.1710.0012.2210.549.38
Downside Deviation (5%)4.556.688.8110.056.774.38
Downside Deviation (0%)4.516.568.529.535.983.41
Sortino Ratio (10%)0.070.090.120.07-0.42-0.54
Sortino Ratio (5%)0.150.240.360.480.250.72
Sortino Ratio (0%)0.160.290.430.610.541.51

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.