Revolution Capital Management : Global Stock Index Program

archived programs
Year-to-Date
N / A
Jul Performance
-4.33%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
14.15%
Sharpe (RFR=1%)
-0.24
CAROR
-
Assets
$ 6.1M
Worst DD
-17.75
S&P Correlation
0.42

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
9/2010
Global Stock Index Program -4.33 -4.33 - -14.95 - - - -6.22
S&P 500 1.26 -1.33 - 6.72 - - - 26.22
+/- S&P 500 -5.59 -3.00 - -21.67 - - - -32.44

Strategy Description

Summary

Global Stock Index is a short-term program that utilizes a multi-strategy pattern-recognition methodology and trades a global portfolio of stock index futures. It targets a long-term correlation of zero both to trend-following indices and to stock indices such as the S&P 500. Annual... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
5.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$6.00
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
1300 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
3.50%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Global Stock Index is a short-term program that utilizes a multi-strategy pattern-recognition methodology and trades a global portfolio of stock index futures. It targets a long-term correlation of zero both to trend-following indices and to stock indices such as the S&P 500. Annual volatility is targeted to approximately 12%.

   

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
-17.75 14 - 5/1/2011 7/1/2012
-3.47 2 1 1/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
11.10 5 9/1/2010 1/1/2011
6.32 2 4/1/2011 5/1/2011
6.01 2 3/1/2012 4/1/2012
3.03 1 9/1/2011 9/1/2011
2.78 1 6/1/2012 6/1/2012
0.35 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.57 1 5/1/2012 5/1/2012
-6.13 3 6/1/2011 8/1/2011
-4.33 1 7/1/2012 7/1/2012
-4.26 3 10/1/2011 12/1/2011
-3.47 2 2/1/2011 3/1/2011
-0.59 1 2/1/2012 2/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable52.1747.6244.4441.67
Average Period Return-0.19-0.77-0.87-2.62
Average Gain2.424.484.624.91
Average Loss-3.05-5.54-5.26-7.99
Best Period5.816.527.908.01
Worst Period-14.57-16.00-12.15-16.35
Standard Deviation4.096.306.138.33
Gain Standard Deviation1.741.992.832.51
Loss Standard Deviation4.024.834.076.49
Sharpe Ratio (1%)-0.07-0.16-0.22-0.43
Average Gain / Average Loss0.790.810.880.61
Profit / Loss Ratio0.870.730.700.44
Downside Deviation (10%)3.575.926.4610.98
Downside Deviation (5%)3.425.355.178.26
Downside Deviation (0%)3.395.214.867.64
Sortino Ratio (10%)-0.17-0.34-0.52-0.69
Sortino Ratio (5%)-0.08-0.19-0.26-0.44
Sortino Ratio (0%)-0.06-0.15-0.18-0.34

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.