ReSolve Asset Management Inc. : Resolve Acorn Diversified Program

Year-to-Date
14.33%
Aug Performance
3.12%
Min Investment
$ 10k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.07%
Sharpe (RFR=1%)
0.23
CAROR
3.38%
Assets
$ 29.0M
Worst DD
-50.29
S&P Correlation
-0.05

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
7/2005
Resolve Acorn Diversified Program 3.12 9.90 14.33 5.83 -36.49 -27.67 -9.37 60.19
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 134.67
+/- S&P 500 4.93 3.56 -2.40 4.98 -69.92 -72.26 -193.14 -74.48

Strategy Description

Summary

The objective of the Acorn Diversified Program is to deliver long‐term capital appreciation as well as a diversification benefit through low correlation to equity, bond and real estate investments. Acorn Global Investments, founded in 2005, is an alternative investment manager that... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
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
4000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
1.00%
1-3 Months
20.00%
1-30 Days
79.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

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

Composition

Currency Futures
13.00%
Precious Metals
13.00%
Energy
13.00%
Interest Rates
13.00%
Grains
12.00%
Livestock
12.00%
Softs
12.00%
Stock Indices
12.00%
Composition Pie Chart

Summary

The objective of the Acorn Diversified Program is to deliver long‐term capital appreciation as well as a diversification benefit through low correlation to equity, bond and real estate investments. Acorn Global Investments, founded in 2005, is an alternative investment manager that identifies early stage opportunities in global futures markets. With institutional infrastructure and extensive experience, we serve institutions, advisors and individuals from around the world. Acorn has two offices in Canada, located in Oakville, Ontario, and in Montreal, Quebec.

Investment Strategy

Please visit www.acorn.ca for further details. The Acorn Diversified Program is available through a Canadian Trust, U.S. LLC, and Managed Accounts.

Risk Management

Please visit www.acorn.ca for further details.

   

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
-50.29 35 - 2/1/2016 1/1/2019
-22.96 4 15 4/1/2006 8/1/2006
-18.41 21 12 7/1/2008 4/1/2010
-16.93 12 12 4/1/2011 4/1/2012
-11.76 7 4 3/1/2015 10/1/2015
-11.03 4 3 2/1/2014 6/1/2014
-7.19 4 5 5/1/2013 9/1/2013
-7.02 1 2 9/1/2005 10/1/2005
-5.51 2 1 3/1/2008 5/1/2008
-0.44 1 1 11/1/2007 12/1/2007
-0.40 1 1 9/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
38.41 6 11/1/2005 4/1/2006
30.27 3 1/1/2008 3/1/2008
23.58 4 8/1/2007 11/1/2007
17.26 5 9/1/2006 1/1/2007
16.72 5 11/1/2014 3/1/2015
16.22 5 10/1/2013 2/1/2014
13.89 2 1/1/2016 2/1/2016
12.58 3 7/1/2014 9/1/2014
12.00 3 8/1/2010 10/1/2010
10.71 3 3/1/2013 5/1/2013
10.03 1 5/1/2012 5/1/2012
9.90 3 6/1/2019 8/1/2019
9.89 1 9/1/2012 9/1/2012
9.24 2 6/1/2008 7/1/2008
8.36 3 7/1/2005 9/1/2005
8.24 3 4/1/2007 6/1/2007
7.92 3 2/1/2019 4/1/2019
7.56 1 12/1/2010 12/1/2010
7.51 1 1/1/2013 1/1/2013
7.46 2 7/1/2011 8/1/2011
6.18 1 4/1/2011 4/1/2011
5.25 1 10/1/2008 10/1/2008
4.72 2 7/1/2015 8/1/2015
4.56 1 11/1/2015 11/1/2015
4.41 2 5/1/2010 6/1/2010
3.92 2 8/1/2009 9/1/2009
3.80 1 8/1/2018 8/1/2018
3.76 1 6/1/2016 6/1/2016
2.97 1 11/1/2016 11/1/2016
2.65 1 3/1/2010 3/1/2010
2.62 1 2/1/2011 2/1/2011
2.32 1 1/1/2018 1/1/2018
2.30 1 12/1/2018 12/1/2018
2.21 1 12/1/2009 12/1/2009
1.59 1 7/1/2012 7/1/2012
1.06 1 3/1/2012 3/1/2012
0.72 1 11/1/2011 11/1/2011
0.21 2 7/1/2013 8/1/2013
0.17 1 4/1/2018 4/1/2018
0.12 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.93 13 12/1/2016 12/1/2017
-22.96 4 5/1/2006 8/1/2006
-13.24 2 8/1/2008 9/1/2008
-12.24 4 7/1/2016 10/1/2016
-11.03 4 3/1/2014 6/1/2014
-9.59 2 9/1/2015 10/1/2015
-9.57 2 5/1/2011 6/1/2011
-9.51 3 9/1/2018 11/1/2018
-8.52 2 2/1/2007 3/1/2007
-7.66 3 12/1/2011 2/1/2012
-7.63 3 3/1/2016 5/1/2016
-7.47 2 10/1/2009 11/1/2009
-7.19 1 9/1/2013 9/1/2013
-7.02 1 10/1/2005 10/1/2005
-6.18 2 9/1/2011 10/1/2011
-5.51 2 4/1/2008 5/1/2008
-4.90 3 10/1/2012 12/1/2012
-4.86 3 5/1/2018 7/1/2018
-4.68 9 11/1/2008 7/1/2009
-4.50 1 2/1/2013 2/1/2013
-4.39 2 1/1/2010 2/1/2010
-4.35 1 7/1/2007 7/1/2007
-3.96 1 6/1/2015 6/1/2015
-3.36 2 2/1/2018 3/1/2018
-3.34 1 12/1/2015 12/1/2015
-3.07 1 4/1/2015 4/1/2015
-3.06 1 4/1/2012 4/1/2012
-2.82 1 4/1/2010 4/1/2010
-2.58 1 1/1/2019 1/1/2019
-2.57 1 8/1/2012 8/1/2012
-2.38 1 11/1/2010 11/1/2010
-2.21 1 6/1/2012 6/1/2012
-2.09 1 1/1/2011 1/1/2011
-1.68 1 3/1/2011 3/1/2011
-1.25 1 7/1/2010 7/1/2010
-1.05 1 5/1/2019 5/1/2019
-0.44 1 12/1/2007 12/1/2007
-0.40 1 10/1/2014 10/1/2014
-0.21 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods170.00168.00165.00159.00153.00147.00135.00123.00111.00
Percent Profitable48.8248.8149.7054.7260.1368.7173.3370.7374.77
Average Period Return0.371.072.123.395.637.9212.6617.1723.16
Average Gain3.857.6311.9515.9420.4222.7028.5335.4139.26
Average Loss-3.20-5.50-7.78-11.77-16.67-24.52-31.01-26.91-24.56
Best Period12.1030.2751.3465.9372.9182.1593.4779.5585.27
Worst Period-13.80-22.29-24.06-34.54-41.20-44.18-49.22-47.68-39.95
Standard Deviation4.358.2412.7918.8423.8327.2432.5733.4033.17
Gain Standard Deviation2.965.8810.1314.9016.8416.7920.2018.6820.06
Loss Standard Deviation2.404.365.789.7612.9314.6415.6414.3510.17
Sharpe Ratio (1%)0.070.100.130.130.170.220.300.390.54
Average Gain / Average Loss1.201.391.541.351.220.930.921.321.60
Profit / Loss Ratio1.251.401.551.641.852.032.533.184.74
Downside Deviation (10%)2.975.568.2413.0917.4021.1725.7727.6227.35
Downside Deviation (5%)2.795.007.0610.7914.0516.9119.3018.4215.72
Downside Deviation (0%)2.744.866.7710.2613.2815.9317.8816.4513.32
Sortino Ratio (10%)-0.01-0.03-0.04-0.12-0.11-0.11-0.12-0.16-0.16
Sortino Ratio (5%)0.100.160.230.220.290.350.500.711.15
Sortino Ratio (0%)0.140.220.310.330.420.500.711.041.74

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 11.60 2/2014
Systematic Trader Index Month 5 11.60 2/2014
IASG CTA Index Month 7 11.60 2/2014
Diversified Trader Index Month 7 11.60 2/2014
Diversified Trader Index Month 4 9.96 9/2012
IASG CTA Index Month 2 9.96 9/2012
Trend Following Strategy Index Month 2 9.96 9/2012
Systematic Trader Index Month 3 9.96 9/2012
Trend Following Strategy Index Month 8 2.21 12/2009
Trend Following Strategy Index Month 5 2.02 7/2008
Trend Following Strategy Index Month 10 1.85 8/2007

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