Rymer Wealth Management LLC : Diversified Futures (Prop)

archived programs
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

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
11/2011
Diversified Futures (Prop) 38.30 - - - - - - 8.93
S&P 500 1.26 - - - - - - 177.84
+/- S&P 500 37.04 - - - - - - -168.91

Strategy Description

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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 Management

Strict risk management policies are enforced. No more than 2.5% of total equity is risked on any given trade, but usually less.

   

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
-22.01 7 1 11/1/2011 6/1/2012
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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
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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.