Sandpiper Asset Management : Sandpiper Global Macro Program

Year-to-Date
5.88%
May Performance
-3.95%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
19.73%
Sharpe (RFR=1%)
0.13
CAROR
1.76%
Assets
$ 11.0M
Worst DD
-35.19
S&P Correlation
-0.22

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
8/2012
Sandpiper Global Macro Program -3.95 -13.86 -5.88 -23.89 -20.15 -18.08 - 14.67
S&P 500 4.53 3.05 -5.77 10.62 24.94 42.99 - 118.17
+/- S&P 500 -8.48 -16.91 -0.11 -34.51 -45.09 -61.07 - -103.50

Strategy Description

Summary

The Sandpiper Global Macro Program employs both a systematic trend following strategy as well as a discretionary global macro strategy. The unique blending of methodologies creates a diversified portfolio which exhibits low correlation to other CTAs and investable assets and has allowed... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 25.00%
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 2000 RT/YR/$M
Avg. Margin-to-Equity 17%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 14.71%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 25.00%
1-30 Days 25.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Fundamental
25.00%
Momentum
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Currency Futures
20.00%
Stock Indices
15.00%
Energy
10.00%
Grains
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The Sandpiper Global Macro Program employs both a systematic trend following strategy as well as a discretionary global macro strategy. The unique blending of methodologies creates a diversified portfolio which exhibits low correlation to other CTAs and investable assets and has allowed the program to outperform across multiple trading environments (both trending and non-trending) dating back to its inception in 2012. As an additional benefit, Sandpiper offers the diversification of multiple programs but does so under one fee and high-water mark structure. Risk is managed to a targeted equity-like annualized volatility of 15-20%.

Investment Strategy

The philosophy driving the Sandpiper Global Macro Fund is to provide its investors with an asset which implements a diversified set of trading methodologies, which are all long convexity in nature and provide a unique uncorrelated positive long term expected value. Specifically, the Program implements trades in three distinct manners: Systematic Trend-Following, Core Discretionary and Tactical Discretionary. Capital at risk is taken equally between the Systematic and Discretionary methodologies.

Risk Management

Risk is managed systematically at the asset, sector and portfolio level. Dynamic volatility based models are implemented to size positions and determine stops for all trades.

   

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
-35.19 48 - 2/1/2016 2/1/2020
-14.72 5 4 1/1/0001 12/1/2012
-13.63 4 11 6/1/2013 10/1/2013
-5.74 3 1 3/1/2015 6/1/2015
-3.47 1 1 9/1/2015 10/1/2015
-2.84 1 2 11/1/2015 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
47.48 7 9/1/2014 3/1/2015
31.28 6 1/1/2013 6/1/2013
23.21 1 3/1/2020 3/1/2020
14.24 5 9/1/2018 1/1/2019
9.78 1 1/1/2018 1/1/2018
9.30 2 11/1/2013 12/1/2013
9.16 3 7/1/2015 9/1/2015
9.13 2 6/1/2016 7/1/2016
8.98 1 11/1/2015 11/1/2015
7.58 2 2/1/2014 3/1/2014
7.23 1 8/1/2019 8/1/2019
6.75 2 1/1/2016 2/1/2016
6.42 2 10/1/2017 11/1/2017
4.78 2 5/1/2014 6/1/2014
3.71 1 12/1/2019 12/1/2019
3.68 1 4/1/2018 4/1/2018
3.59 2 11/1/2016 12/1/2016
3.21 1 4/1/2019 4/1/2019
2.78 1 4/1/2017 4/1/2017
1.00 1 5/1/2015 5/1/2015
0.87 3 6/1/2017 8/1/2017
0.65 1 9/1/2016 9/1/2016
0.59 1 4/1/2016 4/1/2016
0.21 1 6/1/2019 6/1/2019
0.03 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.08 3 9/1/2019 11/1/2019
-14.72 5 8/1/2012 12/1/2012
-13.86 2 4/1/2020 5/1/2020
-13.63 4 7/1/2013 10/1/2013
-12.03 3 1/1/2017 3/1/2017
-11.32 2 1/1/2020 2/1/2020
-9.98 2 5/1/2018 6/1/2018
-8.40 1 5/1/2016 5/1/2016
-7.56 1 1/1/2014 1/1/2014
-6.73 2 7/1/2014 8/1/2014
-5.48 1 5/1/2019 5/1/2019
-5.46 1 7/1/2019 7/1/2019
-5.11 1 4/1/2015 4/1/2015
-5.03 1 9/1/2017 9/1/2017
-4.42 2 2/1/2019 3/1/2019
-4.15 1 8/1/2016 8/1/2016
-3.47 1 10/1/2015 10/1/2015
-3.27 1 5/1/2017 5/1/2017
-2.84 1 12/1/2015 12/1/2015
-2.21 2 2/1/2018 3/1/2018
-2.01 1 3/1/2016 3/1/2016
-1.98 1 4/1/2014 4/1/2014
-1.86 1 8/1/2018 8/1/2018
-1.65 1 6/1/2015 6/1/2015
-1.57 1 12/1/2017 12/1/2017
-0.40 1 10/1/2016 10/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00
Percent Profitable54.2654.3553.9362.6561.0460.5664.4178.7277.14
Average Period Return0.301.052.355.309.6314.5921.0725.8133.60
Average Gain4.027.2411.4114.8822.5630.8639.2838.7048.04
Average Loss-4.11-6.32-8.26-10.78-10.63-10.40-11.89-21.88-15.12
Best Period23.5434.9943.9848.9365.5768.9383.6291.7376.82
Worst Period-14.16-23.08-29.26-32.73-24.21-30.61-29.27-35.19-25.47
Standard Deviation5.708.8112.9717.3621.5827.4232.7233.0430.30
Gain Standard Deviation4.736.279.8113.6217.2022.7925.7823.9215.47
Loss Standard Deviation2.904.786.569.057.478.5210.198.957.33
Sharpe Ratio (1%)0.040.090.140.250.380.460.550.660.94
Average Gain / Average Loss0.981.151.381.382.122.973.301.773.18
Profit / Loss Ratio1.161.361.622.323.334.565.986.5410.72
Downside Deviation (10%)3.626.028.5211.1312.3714.2518.1021.2421.04
Downside Deviation (5%)3.445.477.409.028.859.4010.7112.6010.21
Downside Deviation (0%)3.395.337.138.548.068.389.2510.837.94
Sortino Ratio (10%)-0.03-0.03-0.010.030.160.300.290.200.28
Sortino Ratio (5%)0.060.150.250.480.921.341.681.732.79
Sortino Ratio (0%)0.090.200.330.621.191.742.282.384.23

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 1 23.21 3/2020
Diversified Trader Index Month 6 23.21 3/2020
IASG CTA Index Month 8 23.21 3/2020
Systematic Trader Index Month 10 23.21 3/2020
Diversified Trader Index Month 10 3.71 12/2019
Discretionary Trader Index Month 3 3.71 12/2019
Discretionary Trader Index Month 2 7.23 8/2019
Discretionary Trader Index Month 4 3.21 4/2019
Discretionary Trader Index Month 2 5.63 12/2018
Discretionary Trader Index Month 7 2.82 11/2018
IASG CTA Index Month 7 3.67 9/2018
Systematic Trader Index Month 7 3.67 9/2018
Discretionary Trader Index Month 1 3.67 9/2018
Diversified Trader Index Month 4 3.67 9/2018
Systematic Trader Index Month 5 3.68 4/2018
Discretionary Trader Index Month 4 3.68 4/2018
Diversified Trader Index Month 3 3.68 4/2018
IASG CTA Index Month 6 3.68 4/2018
Discretionary Trader Index Month 1 9.78 1/2018
Diversified Trader Index Month 10 9.78 1/2018
Discretionary Trader Index Month 2 5.94 10/2017
Discretionary Trader Index Month 7 2.78 4/2017
Discretionary Trader Index Month 5 4.21 7/2016
Discretionary Trader Index Month 9 4.72 6/2016
Discretionary Trader Index Month 7 3.74 2/2016
Discretionary Trader Index Month 6 2.90 1/2016
IASG CTA Index 3 Year 6 83.13 2012 - 2015
IASG CTA Index Month 10 8.98 11/2015
Discretionary Trader Index Month 1 8.98 11/2015
Discretionary Trader Index Month 5 6.71 7/2015
Discretionary Trader Index Month 7 3.82 12/2014
Discretionary Trader Index Month 2 7.39 11/2014
Discretionary Trader Index Month 3 23.54 9/2014
Diversified Trader Index Month 4 23.54 9/2014
Systematic Trader Index Month 4 23.54 9/2014

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