SA2 Advisors LLP : SA2 Bellwether Plus

archived programs
Year-to-Date
N / A
Oct Performance
5.54%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
10.00%
Annualized Vol
11.52%
Sharpe (RFR=1%)
1.49
CAROR
-
Assets
$ 5.8M
Worst DD
-4.51
S&P Correlation
0.49

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2012
SA2 Bellwether Plus 5.54 - - - - - - 27.97
S&P 500 4.46 - - - - - - 154.35
+/- S&P 500 1.08 - - - - - - -126.39

Strategy Description

Summary

SA2 Bellwether Fund is a Global Discretionary Macro Fund managed by SA2 Advisors LLP which based in London, England. ... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 4.00
Management Fee 2.00%
Performance Fee 10.00%
Average Commission $4.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 1

Trading

Trading Frequency 250 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 50.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
40.00%
Composition Pie Chart

Summary

SA2 Bellwether Fund is a Global Discretionary Macro Fund managed by SA2 Advisors LLP which based in London, England.

Investment Strategy

SA2 Advisors’ CEO and Chief Investment Officer is Robert Page. Robert has more than 20+ years’ experience in institutional trading and investing. SA2 employs fundamental analysis such as forecasting and risk models to identifying opportunities globally. The fund primarily trades in equity and fixed income markets.

Risk Management

Master Fund Level Stops Risk limits are independently monitored by the Investment Manager. Strict fund-level stop loss rules are maintained as follows STOP No. 1 – Down 12.0% If the Master Fund’s trading profits are down 12% on a month-end basis as measured from the previous 31 Dec for the U.S. Dollar-denominated Class A Plus Shares only, then the portfolio is liquidated to cash for a minimum period of one (1) month. Paper trading is calculated from the cessation of trading, before liquidation costs. The manager will re-start at the next month end where the paper trading calculations would place them above the stop. Thereafter, trading will resume with a new lower stop at down 12.0% minus the paper trading profit. If, for whatever reason (including non-existence), the Class A Plus Shares were not valued on the previous 31st December, then the Manager shall estimate such 31st December value for this STOP calculation STOP No. 2 - Down 20.0% If the Master Fund’s trading profits are down 20% on a month-end basis as measured from the previous 31 December for the U.S. Dollar-denominated Class A Plus Shares only, then the portfolio is liquidated to cash for a minimum period of two (2) months. The manager will re-start following the two-month period end where the paper trading calculations would place them above the stop. Thereafter, trading will resume with a new lower stop at down 20% minus the paper trading profit. If, for whatever reason (including non-existence), the Class A Plus Shares were not valued on the previous 31st December, then the Manager shall estimate such 31st December value for this STOP calculation. The Investment Manager may extend each stop period. In addition, the Directors will periodically review the Master Fund’s stop level and may, in their sole discretion and without notice to shareholders, revise the levels. SA2 has its own forecast for risk at the instrument, asset class and portfolio levels but the risk is ultimately determined by the manager.SA2 Advisors runs a daily risk report which considers daily and 5 day historical VAR, sensitivity analysis, exposures to FX risk, country exposure and variance of returns.etc

   

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
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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
-4.51 1 1 7/1/2013 8/1/2013
-3.56 2 1 4/1/2013 6/1/2013
-0.87 1 1 2/1/2013 3/1/2013
-0.21 1 1 8/1/2012 9/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
15.72 2 9/1/2013 10/1/2013
6.48 3 6/1/2012 8/1/2012
4.94 5 10/1/2012 2/1/2013
4.41 1 7/1/2013 7/1/2013
4.05 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.51 1 8/1/2013 8/1/2013
-3.56 2 5/1/2013 6/1/2013
-0.87 1 3/1/2013 3/1/2013
-0.21 1 9/1/2012 9/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable70.5993.3391.67
Average Period Return1.513.135.46
Average Gain2.913.456.03
Average Loss-1.84-1.30-0.83
Best Period9.6510.5111.27
Worst Period-4.51-1.30-0.83
Standard Deviation3.323.413.63
Gain Standard Deviation2.793.303.20
Loss Standard Deviation1.73
Sharpe Ratio (1%)0.430.851.36
Average Gain / Average Loss1.582.667.27
Profit / Loss Ratio3.8037.2679.99
Downside Deviation (10%)1.480.791.07
Downside Deviation (5%)1.340.400.38
Downside Deviation (0%)1.300.330.24
Sortino Ratio (10%)0.752.402.80
Sortino Ratio (5%)1.077.2312.93
Sortino Ratio (0%)1.169.3622.80

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.