Saxon Investment Corporation : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since9/1988 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 SummarySaxon 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% 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% SummarySaxon 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel