Rymer Wealth Management LLC : Diversified Futures (Prop) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance 38.30% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 20.00% Annualized Vol 49.73% Sharpe (RFR=1%) 0.40 CAROR - Assets $ 341k Worst DD -22.01 S&P Correlation 0.16 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since11/2011 Diversified Futures (Prop) 38.30 - - - - - - 8.93 S&P 500 1.26 - - - - - - 212.33 +/- S&P 500 37.04 - - - - - - -203.40 Strategy Description SummaryThe Diversified Futures Program is a long-term trend following strategy that invests in 38 different futures markets. The average winning trade is held about 150 days while the average losing trade is held about 15 days.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -40.00% Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 40.00% 1-3 Months 40.00% 1-30 Days 20.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency Futures 20.00% Grains 15.00% Interest Rates 15.00% Industrial Metals 10.00% Precious Metals 10.00% Energy 10.00% Softs 10.00% Stock Indices 10.00% SummaryThe Diversified Futures Program is a long-term trend following strategy that invests in 38 different futures markets. The average winning trade is held about 150 days while the average losing trade is held about 15 days.Risk ManagementStrict risk management policies are enforced. No more than 2.5% of total equity is risked on any given trade, but usually less. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -22.01 7 1 11/1/2011 6/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 38.30 1 7/1/2012 7/1/2012 1.94 2 1/1/2012 2/1/2012 1.00 1 11/1/2011 11/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -20.67 4 3/1/2012 6/1/2012 -3.57 1 12/1/2011 12/1/2011 Show More Time Windows Analysis 1 Month3 Month Number of Periods9.007.00 Percent Profitable44.4414.29 Average Period Return1.73-4.22 Average Gain10.3121.46 Average Loss-5.14-8.50 Best Period38.3021.46 Worst Period-10.18-18.87 Standard Deviation14.3512.93 Gain Standard Deviation18.67 Loss Standard Deviation4.246.83 Sharpe Ratio (1%)0.11-0.35 Average Gain / Average Loss2.012.52 Profit / Loss Ratio1.600.42 Downside Deviation (10%)5.0110.70 Downside Deviation (5%)4.819.95 Downside Deviation (0%)4.769.76 Sortino Ratio (10%)0.26-0.51 Sortino Ratio (5%)0.34-0.45 Sortino Ratio (0%)0.36-0.43 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. x {{title}} x {{title}} Add Cancel