Robert Charles & Co., L.P. : Diversified Trading Program - Proprietary

archived programsClosed to new investments
Year-to-Date
N / A
Mar Performance
1.31%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.14%
Sharpe (RFR=1%)
4.32
CAROR
-
Assets
$ 2.7M
Worst DD
-1.25
S&P Correlation
0.35

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
Diversified Trading Program - Proprietary 1.31 1.14 - 22.50 - - - 53.36
S&P 500 3.60 10.03 - 11.41 - - - 33.86
+/- S&P 500 -2.29 -8.88 - 11.09 - - - 19.50

Strategy Description

Summary

The Robert Charles Diversified Trading Program (DTP) - Proprietary* trades across all the major markets (bonds, currencies, energy, metals, stock indexes, agriculture, and softs) and is market neutral, uncorrelated to stocks, and scalable from .5X to 2.5X to tailor the notionalization... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
28%
Targeted Worst DD
-6.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Arbitrage
15.00%
Option-purchasing
15.00%
Option-spreads
15.00%
Option-writing
40.00%
Spreading/hedging
15.00%
Strategy Pie Chart

Composition

Grains
42.00%
Energy
20.00%
Currency Futures
16.00%
Interest Rates
13.00%
Precious Metals
9.00%
Composition Pie Chart

Summary

The Robert Charles Diversified Trading Program (DTP) - Proprietary* trades across all the major markets (bonds, currencies, energy, metals, stock indexes, agriculture, and softs) and is market neutral, uncorrelated to stocks, and scalable from .5X to 2.5X to tailor the notionalization and leverage of the account to the client's risk and reward objectives. The program's strategies are systematically rule based and use a host of quantitative and statistical models in a proprietary fashion to buy long positions when the statistical volatility is overpriced and sell short positions when the implied volatility is overpriced based on historical spreads between the two. The DTP uses a variety of spreads and futures positions to remain market or delta neutral. The objectives of the 1X program include after all fees and costs include an equity to draw down ratio of 5 to 1, draw downs of less than 6%, and a margin to equity ratio of less than one-third. Risk-reward models are designed to produce an acceptable annualized return on margin with the lowest acceptable risk with the goal of taking the risk out of a high risk business. * AUM does not include QEP program accounts. See also the DTP QEP program.

Investment Strategy

The trading methodology includes various considerations of option strike prices, maturity periods, entry and exit tactics and risk mitigation methods. Profits may be extracted from the market by purchasing options and futures which are less expensive than options and futures which are sold using market neutral volatility arbitrage futures options and futures trading models.

Risk Management

The program is market (delta) neutral, uncorrelated to the stock market, and diversified across markets. The objectives of a 1X notionalized or leveraged account include a return to draw down ratio of over 5 to 1, a maximum draw down of 6%, and a margin to equity ratio of under one third.

   

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
-1.25 1 2 12/1/2012 1/1/2013
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
51.62 16 9/1/2011 12/1/2012
2.42 2 2/1/2013 3/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-1.25 1 1/1/2013 1/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable94.74100.00100.00100.00
Average Period Return2.297.1915.6534.09
Average Gain2.497.1915.6534.09
Average Loss-1.25
Best Period5.4212.6223.6843.14
Worst Period-1.250.375.7622.50
Standard Deviation1.773.635.637.66
Gain Standard Deviation1.593.635.637.66
Loss Standard Deviation
Sharpe Ratio (1%)1.251.912.694.32
Average Gain / Average Loss1.99
Profit / Loss Ratio35.82
Downside Deviation (10%)0.380.21
Downside Deviation (5%)0.31
Downside Deviation (0%)0.29
Sortino Ratio (10%)4.9528.39
Sortino Ratio (5%)7.22
Sortino Ratio (0%)7.99

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.