Saxon Investment Corporation : Diversified Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.50%
Min Investment
$ 3,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
22.24%
Sharpe (RFR=1%)
0.54
CAROR
11.06%
Assets
$ 4.3M
Worst DD
-41.55
S&P Correlation
-0.03

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/1988
Diversified Program -0.50 -2.63 - -2.14 -13.35 -17.04 46.46 1,803.63
S&P 500 -0.12 3.31 - 12.93 28.94 91.62 62.29 681.80
+/- S&P 500 -0.38 -5.94 - -15.06 -42.29 -108.66 -15.83 1,121.83

Strategy Description

Summary

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Diversified Program commenced... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Energy
21.00%
Interest Rates
17.00%
Precious Metals
13.00%
Grains
10.00%
Industrial Metals
8.00%
Softs
7.00%
Stock Indices
2.00%
Composition Pie Chart

Summary

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Diversified Program commenced trading in September 1988. The programs differ with respect to a component of Saxon's money management strategy. This money management plan incorporates a fixed fractional strategy: the amount risked on any particular trade is a fixed percentage of the account's equity as adjusted for a) gross realized profits and losses to date and b) amounts already at risk. Specific Commodity Interests to be traded will be selected from time to time by Saxon. Examples of Commodity Interests currently traded include, but are not limited to, U.S. and foreign interest rates, foreign currencies, precious and industrial metals, grains and soybean products, energy products, coffee, sugar, cotton, and orange juice.

   

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
-41.55 15 8 12/1/1994 3/1/1996
-39.66 17 12 12/1/1990 5/1/1992
-24.90 4 2 12/1/1993 4/1/1994
-21.44 11 2 7/1/1997 6/1/1998
-19.32 18 25 3/1/2004 9/1/2005
-18.65 65 - 4/1/2011 9/1/2016
-17.06 3 2 7/1/1993 10/1/1993
-15.98 2 3 9/1/2002 11/1/2002
-13.92 6 2 10/1/2001 4/1/2002
-11.53 1 2 11/1/1996 12/1/1996
-10.90 3 4 7/1/1989 10/1/1989
-9.86 1 1 3/1/1989 4/1/1989
-8.43 1 3 4/1/1999 5/1/1999
-7.67 2 2 3/1/1997 5/1/1997
-6.92 1 2 2/1/2003 3/1/2003
-6.41 1 2 7/1/1994 8/1/1994
-5.30 1 1 10/1/2003 11/1/2003
-5.25 2 1 8/1/2000 10/1/2000
-4.80 1 2 12/1/1988 1/1/1989
-4.77 5 2 12/1/2000 5/1/2001
-4.40 2 4 10/1/1998 12/1/1998
-4.05 3 8 6/1/2008 9/1/2008
-3.88 1 2 9/1/1990 10/1/1990
-3.59 1 4 4/1/2010 5/1/2010
-3.51 1 1 3/1/2000 4/1/2000
-3.47 1 2 4/1/1990 5/1/1990
-3.26 1 2 9/1/1999 10/1/1999
-2.73 1 1 5/1/1993 6/1/1993
-2.46 1 3 5/1/2003 6/1/2003
-1.51 1 2 7/1/2001 8/1/2001
-1.16 2 2 11/1/2009 1/1/2010
-0.83 1 1 10/1/2010 11/1/2010
-0.43 1 1 5/1/2009 6/1/2009
-0.42 1 1 12/1/1999 1/1/2000
-0.33 1 1 9/1/2009 10/1/2009
-0.06 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
69.16 6 6/1/1996 11/1/1996
60.56 3 5/1/1994 7/1/1994
52.42 10 9/1/2007 6/1/2008
50.16 5 5/1/2002 9/1/2002
44.68 4 9/1/1994 12/1/1994
42.49 4 2/1/1993 5/1/1993
39.57 4 7/1/1998 10/1/1998
38.92 3 5/1/1989 7/1/1989
37.13 3 10/1/1992 12/1/1992
28.02 1 4/1/1996 4/1/1996
24.84 2 11/1/1993 12/1/1993
22.78 2 3/1/1995 4/1/1995
22.70 4 7/1/2003 10/1/2003
22.46 6 11/1/1989 4/1/1990
21.61 3 1/1/1997 3/1/1997
20.92 3 6/1/1992 8/1/1992
20.50 1 7/1/1993 7/1/1993
19.28 3 12/1/2002 2/1/2003
19.18 4 9/1/1988 12/1/1988
17.94 2 11/1/2000 12/1/2000
17.74 4 12/1/2003 3/1/2004
17.17 2 11/1/1995 12/1/1995
15.62 2 4/1/2003 5/1/2003
15.42 2 8/1/1999 9/1/1999
12.71 4 10/1/2005 1/1/2006
11.70 2 9/1/2001 10/1/2001
11.33 1 12/1/1991 12/1/1991
10.85 1 9/1/1997 9/1/1997
10.27 2 4/1/2006 5/1/2006
10.09 2 2/1/1989 3/1/1989
9.73 2 6/1/1997 7/1/1997
8.76 4 6/1/1990 9/1/1990
8.61 4 5/1/2000 8/1/2000
7.69 2 6/1/2001 7/1/2001
7.15 5 6/1/2010 10/1/2010
7.06 2 11/1/1990 12/1/1990
6.65 2 6/1/2007 7/1/2007
5.51 1 4/1/1999 4/1/1999
5.27 1 11/1/2004 11/1/2004
5.15 3 7/1/2009 9/1/2009
5.00 2 2/1/2000 3/1/2000
4.62 3 12/1/2010 2/1/2011
4.32 1 3/1/1994 3/1/1994
4.09 5 10/1/2008 2/1/2009
3.95 1 12/1/2001 12/1/2001
3.77 2 12/1/1997 1/1/1998
3.76 1 3/1/2002 3/1/2002
3.75 2 11/1/1999 12/1/1999
3.39 1 5/1/2005 5/1/2005
3.38 3 2/1/2010 4/1/2010
3.37 1 11/1/2006 11/1/2006
3.33 2 4/1/2009 5/1/2009
2.89 2 8/1/2004 9/1/2004
2.47 1 3/1/2005 3/1/2005
2.46 1 6/1/1999 6/1/1999
2.39 1 1/1/1999 1/1/1999
2.38 1 11/1/2009 11/1/2009
2.32 1 4/1/2011 4/1/2011
2.31 1 6/1/1995 6/1/1995
2.20 1 6/1/1991 6/1/1991
2.12 1 6/1/2016 6/1/2016
1.59 3 4/1/2014 6/1/2014
1.38 2 6/1/2013 7/1/2013
1.34 1 2/1/2014 2/1/2014
1.15 1 2/1/2007 2/1/2007
1.12 3 7/1/2012 9/1/2012
1.12 1 1/1/2013 1/1/2013
1.03 2 7/1/2011 8/1/2011
0.83 1 12/1/2013 12/1/2013
0.77 1 4/1/2007 4/1/2007
0.75 1 4/1/2016 4/1/2016
0.67 2 1/1/2016 2/1/2016
0.47 1 4/1/2015 4/1/2015
0.45 1 8/1/2014 8/1/2014
0.43 1 3/1/2013 3/1/2013
0.29 1 5/1/1998 5/1/1998
0.25 1 9/1/2006 9/1/2006
0.23 1 9/1/2015 9/1/2015
0.14 1 11/1/2014 11/1/2014
0.08 1 5/1/2004 5/1/2004
0.03 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.82 4 7/1/1995 10/1/1995
-25.01 5 1/1/1992 5/1/1992
-22.30 3 1/1/1996 3/1/1996
-21.98 2 1/1/1994 2/1/1994
-18.86 2 1/1/1995 2/1/1995
-18.30 1 5/1/1996 5/1/1996
-17.79 5 1/1/1991 5/1/1991
-17.06 3 8/1/1993 10/1/1993
-15.98 2 10/1/2002 11/1/2002
-13.99 5 7/1/1991 11/1/1991
-13.32 1 8/1/1997 8/1/1997
-12.10 1 9/1/1992 9/1/1992
-11.87 2 10/1/1997 11/1/1997
-11.78 1 1/1/1993 1/1/1993
-11.53 1 12/1/1996 12/1/1996
-10.90 3 8/1/1989 10/1/1989
-9.86 1 4/1/1989 4/1/1989
-9.37 4 6/1/2005 9/1/2005
-8.43 1 4/1/2002 4/1/2002
-8.43 1 5/1/1999 5/1/1999
-7.92 3 2/1/1998 4/1/1998
-7.73 1 4/1/1994 4/1/1994
-7.67 2 4/1/1997 5/1/1997
-7.63 2 12/1/2006 1/1/2007
-7.62 1 5/1/1995 5/1/1995
-7.12 4 5/1/2015 8/1/2015
-6.92 1 3/1/2003 3/1/2003
-6.77 1 11/1/2001 11/1/2001
-6.66 1 4/1/2004 4/1/2004
-6.52 2 1/1/2002 2/1/2002
-6.46 2 6/1/2004 7/1/2004
-6.41 1 8/1/1994 8/1/1994
-5.93 1 8/1/2007 8/1/2007
-5.84 3 6/1/2006 8/1/2006
-5.70 1 4/1/2005 4/1/2005
-5.53 3 12/1/2004 2/1/2005
-5.30 1 11/1/2003 11/1/2003
-5.25 2 9/1/2000 10/1/2000
-4.80 1 1/1/1989 1/1/1989
-4.77 5 1/1/2001 5/1/2001
-4.40 2 11/1/1998 12/1/1998
-4.05 3 7/1/2008 9/1/2008
-3.93 3 7/1/2016 9/1/2016
-3.88 1 10/1/1990 10/1/1990
-3.59 1 5/1/2010 5/1/2010
-3.51 1 4/1/2000 4/1/2000
-3.47 1 5/1/1990 5/1/1990
-3.26 1 10/1/1999 10/1/1999
-3.19 1 6/1/1998 6/1/1998
-3.00 3 10/1/2012 12/1/2012
-2.73 1 6/1/1993 6/1/1993
-2.72 4 12/1/2014 3/1/2015
-2.46 1 6/1/2003 6/1/2003
-2.38 1 7/1/2014 7/1/2014
-2.35 4 8/1/2013 11/1/2013
-2.07 2 2/1/1999 3/1/1999
-1.97 2 5/1/2011 6/1/2011
-1.80 1 2/1/2013 2/1/2013
-1.54 3 10/1/2015 12/1/2015
-1.51 1 8/1/2001 8/1/2001
-1.49 1 10/1/2006 10/1/2006
-1.42 1 3/1/2007 3/1/2007
-1.26 1 5/1/2016 5/1/2016
-1.23 1 1/1/2014 1/1/2014
-1.16 2 12/1/2009 1/1/2010
-1.05 1 3/1/2014 3/1/2014
-1.03 2 2/1/2006 3/1/2006
-1.02 5 9/1/2011 1/1/2012
-0.83 1 11/1/2010 11/1/2010
-0.82 2 4/1/2013 5/1/2013
-0.71 2 9/1/2014 10/1/2014
-0.65 4 3/1/2012 6/1/2012
-0.43 1 6/1/2009 6/1/2009
-0.42 1 3/1/2009 3/1/2009
-0.42 1 1/1/2000 1/1/2000
-0.33 1 10/1/2009 10/1/2009
-0.33 1 10/1/2004 10/1/2004
-0.22 1 5/1/2007 5/1/2007
-0.15 1 3/1/2016 3/1/2016
-0.13 1 7/1/1999 7/1/1999
-0.06 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods337.00335.00332.00326.00320.00314.00302.00290.00278.00
Percent Profitable54.0156.1259.3465.0372.1975.4882.1291.7293.88
Average Period Return1.083.226.4413.1119.7026.7543.2562.7487.59
Average Gain4.899.3614.9424.8831.1538.4054.6069.4694.02
Average Loss-3.45-4.63-5.97-8.78-10.03-9.11-8.86-11.69-11.26
Best Period28.0260.5673.37116.58112.59149.26234.13199.07279.43
Worst Period-19.22-30.10-35.56-39.02-37.26-34.00-23.93-17.42-17.44
Standard Deviation6.4211.2415.8923.8528.0033.5944.2645.1457.66
Gain Standard Deviation5.6110.8414.9321.0224.1330.3340.7240.9053.48
Loss Standard Deviation3.955.286.008.269.047.885.635.005.57
Sharpe Ratio (1%)0.150.260.370.510.650.740.911.301.43
Average Gain / Average Loss1.422.022.502.833.114.226.165.948.35
Profit / Loss Ratio1.692.583.655.278.0612.9728.3065.86128.24
Downside Deviation (10%)3.715.226.619.5210.5210.5211.1310.3710.96
Downside Deviation (5%)3.564.755.627.567.716.745.564.754.28
Downside Deviation (0%)3.534.645.397.117.105.954.433.653.09
Sortino Ratio (10%)0.180.380.600.851.151.572.473.975.47
Sortino Ratio (5%)0.280.621.061.602.363.677.2312.3619.25
Sortino Ratio (0%)0.310.691.201.842.774.509.7717.2128.36

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 1.15 2/2007
IASG CTA Index 5 Year Rolling 8 168.87 1998 - 2003
Trend Following Strategy Index Month 7 13.07 10/2003
Systematic Trader Index Month 8 13.07 10/2003
Diversified Trader Index Month 9 13.07 10/2003
IASG CTA Index Month 10 7.22 9/2003
Diversified Trader Index Month 7 7.22 9/2003
Trend Following Strategy Index Month 6 7.22 9/2003
Systematic Trader Index Month 5 7.22 9/2003
Trend Following Strategy Index Month 6 10.88 8/2002
IASG CTA Index Month 8 10.88 8/2002
Systematic Trader Index Month 7 10.88 8/2002
Diversified Trader Index Month 6 10.88 8/2002
Trend Following Strategy Index Month 9 8.20 5/2002
Systematic Trader Index Month 10 8.20 5/2002
Diversified Trader Index Month 10 3.95 12/2001
IASG CTA Index Month 10 4.50 7/2001
Systematic Trader Index Month 8 4.50 7/2001
Diversified Trader Index Month 7 4.50 7/2001
Trend Following Strategy Index Month 6 4.50 7/2001
Trend Following Strategy Index Month 7 3.05 6/2001
Systematic Trader Index Month 9 3.05 6/2001
Diversified Trader Index Month 9 3.05 6/2001
Trend Following Strategy Index Month 5 -1.37 4/2001
Trend Following Strategy Index Month 6 1.08 7/2000
Diversified Trader Index Month 8 1.08 7/2000
Systematic Trader Index Month 10 1.08 7/2000
Trend Following Strategy Index Month 10 1.56 6/2000
Trend Following Strategy Index Month 9 0.73 3/2000
Systematic Trader Index Month 10 4.24 2/2000
Trend Following Strategy Index Month 6 4.24 2/2000
Trend Following Strategy Index Month 8 -3.26 10/1999
Diversified Trader Index Month 10 3.93 9/1999
Trend Following Strategy Index Month 9 3.93 9/1999
Systematic Trader Index Month 9 3.93 9/1999
IASG CTA Index Month 2 11.06 8/1999
Trend Following Strategy Index Month 2 11.06 8/1999
Systematic Trader Index Month 2 11.06 8/1999
Diversified Trader Index Month 2 11.06 8/1999
Trend Following Strategy Index Month 9 5.51 4/1999
IASG CTA Index Month 9 2.39 1/1999
Trend Following Strategy Index Month 3 2.39 1/1999
Systematic Trader Index Month 4 2.39 1/1999
Diversified Trader Index Month 5 2.39 1/1999
Trend Following Strategy Index Month 5 1.38 10/1998
Diversified Trader Index Month 10 1.38 10/1998
Trend Following Strategy Index Month 8 0.80 7/1998
Trend Following Strategy Index Month 10 -4.42 4/1998
Systematic Trader Index Month 4 10.85 9/1997
Diversified Trader Index Month 4 10.85 9/1997
IASG CTA Index Month 4 10.85 9/1997
Trend Following Strategy Index Month 4 10.85 9/1997
Diversified Trader Index Month 6 5.48 3/1997
IASG CTA Index Month 7 5.48 3/1997
Trend Following Strategy Index Month 6 5.48 3/1997
Systematic Trader Index Month 6 5.48 3/1997
Diversified Trader Index Month 4 10.73 2/1997
Trend Following Strategy Index Month 4 10.73 2/1997
Systematic Trader Index Month 4 10.73 2/1997
IASG CTA Index Month 4 10.73 2/1997
IASG CTA Index 5 Year Rolling 7 149.08 1991 - 1996
Trend Following Strategy Index Month 4 23.39 10/1996
IASG CTA Index Month 4 23.39 10/1996
Diversified Trader Index Month 4 23.39 10/1996
Systematic Trader Index Month 4 23.39 10/1996
Diversified Trader Index Month 6 18.78 9/1996
IASG CTA Index Month 6 18.78 9/1996
Systematic Trader Index Month 6 18.78 9/1996
Trend Following Strategy Index Month 6 18.78 9/1996
Trend Following Strategy Index Month 6 1.54 8/1996
Systematic Trader Index Month 8 1.54 8/1996
Diversified Trader Index Month 10 1.54 8/1996
Diversified Trader Index Month 9 0.29 7/1996
Systematic Trader Index Month 9 0.29 7/1996
IASG CTA Index Month 10 0.29 7/1996
Trend Following Strategy Index Month 7 0.29 7/1996
IASG CTA Index Month 7 6.19 6/1996
Diversified Trader Index Month 6 6.19 6/1996
Trend Following Strategy Index Month 4 6.19 6/1996
Systematic Trader Index Month 4 6.19 6/1996
Diversified Trader Index Month 2 28.02 4/1996
Trend Following Strategy Index Month 2 28.02 4/1996
Systematic Trader Index Month 2 28.02 4/1996
IASG CTA Index Month 2 28.02 4/1996
IASG CTA Index 5 Year Rolling 10 64.78 1990 - 1995
Trend Following Strategy Index Month 5 2.31 6/1995
Diversified Trader Index Month 5 2.31 6/1995
IASG CTA Index Month 6 2.31 6/1995
Systematic Trader Index Month 6 2.31 6/1995
Trend Following Strategy Index Month 10 3.95 4/1995
Trend Following Strategy Index Month 10 18.11 3/1995
Systematic Trader Index Month 10 18.11 3/1995
IASG CTA Index 5 Year Rolling 6 161.68 1989 - 1994
IASG CTA Index Year Rolling 2 63.27 1993 - 1994
IASG CTA Index 3 Year Rolling 2 172.27 1991 - 1994
Systematic Trader Index Month 2 14.61 12/1994
Trend Following Strategy Index Month 2 14.61 12/1994
Diversified Trader Index Month 2 14.61 12/1994
IASG CTA Index Month 3 14.61 12/1994
Trend Following Strategy Index Month 9 9.41 11/1994

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