ROW Asset Managment : Row Diversified Fund, L.P.

Year-to-Date
9.20%
Apr Performance
5.33%
Min Investment
$ 1,000k
Mgmt. Fee
1.25%
Perf. Fee
20.00%
Annualized Vol
10.31%
Sharpe (RFR=1%)
0.75
CAROR
8.58%
Assets
$ 932.0M
Worst DD
-15.03
S&P Correlation
-0.01

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2011
Row Diversified Fund, L.P. 5.33 11.30 9.20 14.88 8.18 52.10 - 85.34
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 133.85
+/- S&P 500 1.40 2.36 -8.31 3.64 -33.01 -2.68 - -48.51

Strategy Description

Summary

ROW Asset Management is a quantitative asset management firm whose objective is to exploit investment opportunities in global markets using a proprietary, diversified trading strategy. ROWAM seeks to generate consistent long-term appreciation through active levered investing in global... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.25%
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
1000 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
7.37%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
5.00%
1-3 Months
45.00%
1-30 Days
44.00%
Intraday
1.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
10.00%
Option-writing
5.00%
Pattern Recognition
10.00%
Trend-following
50.00%
Other
25.00%
Strategy Pie Chart

Composition

Currency FX
27.00%
Energy
20.00%
Interest Rates
15.00%
Stock Indices
11.00%
Grains
10.00%
Softs
10.00%
Precious Metals
5.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

ROW Asset Management is a quantitative asset management firm whose objective is to exploit investment opportunities in global markets using a proprietary, diversified trading strategy. ROWAM seeks to generate consistent long-term appreciation through active levered investing in global futures, forwards and options on futures markets. ROW uses a quantitative approach to forecasting, portfolio construction, and risk management. Diversified invests in currency, interests rates, energy, metals, agriculture/softs and equity index instruments.

Investment Strategy

ROWAM invests in 6 asset classes; futures and options on futures for: interest rates, energy, equity indices,agriculture/softs; metals; currency forwards in both developed and emerging markets. All liquid, transparent markets. The currency universe is split into quantitative and qualitative analysis. Each subset is traded using a different approach. Inter-related currency markets (85%) have consistent relationships therefore correlation data is useful in building a dynamic portfolio. Autonomous currency markets (15%) are generally government- managed, and therefore correlations are likely to be spurious and therefore less complexity is preferred. ROWAM uses 5 strategies-that exhibit low/negative correlation to each other: Relative Value, Carry/roll, Trend/ Momentum, Mean Reversion,and Pattern Recognition. Each strategy's weight is adjusted dynamically with the goal to be uncorrelated to any single style. Inter-related markets possess multivariate relationships that go beyond a simple pair. The solution is building clusters which are assets-a super-set of assets relative to pairs and just like a pair they can be analyzed, bought and sold. ROWAM designs clusters specifically to increase our investment universe and improve the forecast accuracy of our models. Clusters are constrained within each asset class. Weights within clusters are derived from a proprietary methodology that involves Principal Component Analysis (PCA).

Risk Management

ROW Asset Management tailors risk management to a particular strategy instead of applying the same methodology to the entire portfolio. ROWAM designs clusters-a super-set of portfolio assets-thousands of mini-optimized portfolios. Each of the 6 asset classes does portfolio construction independently and therefore spurious correlation risk is compartmentalized. Qualitative risk management covers three levels:Trade, Strategy,and Program. Concentration limits are determined by a qualitative approach.

   

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
-15.03 15 21 3/1/2016 6/1/2017
-9.13 7 4 3/1/2015 10/1/2015
-7.72 6 5 8/1/2012 2/1/2013
-4.42 2 5 7/1/2013 9/1/2013
-2.13 1 1 9/1/2014 10/1/2014
-1.09 1 1 3/1/2014 4/1/2014
-0.71 1 1 1/1/2015 2/1/2015
-0.70 1 1 5/1/2012 6/1/2012
-0.55 1 2 2/1/2012 3/1/2012
-0.12 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
21.05 3 11/1/2014 1/1/2015
11.30 3 2/1/2019 4/1/2019
10.70 4 10/1/2017 1/1/2018
10.65 2 8/1/2014 9/1/2014
9.76 4 11/1/2011 2/1/2012
9.57 3 1/1/2016 3/1/2016
8.91 2 11/1/2018 12/1/2018
8.50 5 3/1/2013 7/1/2013
8.03 6 10/1/2013 3/1/2014
7.56 2 6/1/2016 7/1/2016
7.31 2 7/1/2012 8/1/2012
6.36 2 5/1/2014 6/1/2014
3.80 2 7/1/2017 8/1/2017
3.33 1 11/1/2015 11/1/2015
3.33 2 3/1/2018 4/1/2018
3.29 3 6/1/2018 8/1/2018
3.22 1 2/1/2017 2/1/2017
2.44 2 4/1/2012 5/1/2012
1.86 1 9/1/2015 9/1/2015
1.86 1 7/1/2015 7/1/2015
1.40 1 3/1/2015 3/1/2015
0.79 1 1/1/2013 1/1/2013
0.52 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.29 4 8/1/2016 11/1/2016
-7.70 3 4/1/2015 6/1/2015
-7.08 4 3/1/2017 6/1/2017
-7.05 2 4/1/2016 5/1/2016
-6.64 1 2/1/2018 2/1/2018
-6.44 4 9/1/2012 12/1/2012
-5.72 2 9/1/2018 10/1/2018
-4.42 2 8/1/2013 9/1/2013
-3.88 1 1/1/2017 1/1/2017
-3.70 1 10/1/2015 10/1/2015
-2.14 1 2/1/2013 2/1/2013
-2.13 1 10/1/2014 10/1/2014
-1.92 1 9/1/2017 9/1/2017
-1.89 1 1/1/2019 1/1/2019
-1.47 1 8/1/2015 8/1/2015
-1.09 1 4/1/2014 4/1/2014
-0.81 1 5/1/2018 5/1/2018
-0.71 1 2/1/2015 2/1/2015
-0.70 1 6/1/2012 6/1/2012
-0.64 1 12/1/2015 12/1/2015
-0.55 1 3/1/2012 3/1/2012
-0.12 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable60.0062.5068.2475.9576.7171.6487.2797.67100.00
Average Period Return0.732.063.837.2211.3715.6026.6134.4542.37
Average Gain2.635.397.5911.2216.4924.0130.9235.3242.37
Average Loss-2.11-3.49-4.26-5.41-5.48-5.65-2.90-1.87
Best Period9.6021.0531.0943.1949.8253.2457.6360.0067.73
Worst Period-6.64-7.76-11.39-13.29-13.49-9.92-7.46-1.8728.66
Standard Deviation2.985.438.1212.0815.2219.0421.6417.158.13
Gain Standard Deviation2.013.846.9210.8613.5615.8719.7016.388.13
Loss Standard Deviation1.602.142.894.903.992.493.17
Sharpe Ratio (1%)0.220.330.410.510.650.711.091.774.58
Average Gain / Average Loss1.241.541.782.073.014.2510.6718.84
Profit / Loss Ratio1.872.573.836.559.9110.7473.14791.14
Downside Deviation (10%)1.883.174.175.807.048.999.036.97
Downside Deviation (5%)1.712.633.123.923.864.292.461.05
Downside Deviation (0%)1.672.502.883.543.243.271.470.29
Sortino Ratio (10%)0.170.260.320.380.540.601.201.85
Sortino Ratio (5%)0.380.691.071.592.563.179.5828.91
Sortino Ratio (0%)0.440.821.332.043.514.7718.09120.49

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 4.53 11/2018
Trend Following Strategy Index Month 9 0.00 10/2018
Trend Following Strategy Index Month 7 2.32 6/2018
Trend Following Strategy Index Month 7 2.05 4/2018
Trend Following Strategy Index Month 7 2.05 4/2018
Trend Following Strategy Index Month 8 1.24 3/2018
Trend Following Strategy Index Month 9 1.29 11/2017
Trend Following Strategy Index Month 10 3.24 2/2017
Trend Following Strategy Index Month 10 2.31 3/2014
IASG CTA Index Sharpe 1 37.23 2010 - 2011

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