Scalae Management, LLC : Diversified Trading Program

archived programs
Year-to-Date
N / A
Apr Performance
-3.90%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
15.23%
Sharpe (RFR=1%)
0.40
CAROR
6.16%
Assets
$ 28.0M
Worst DD
-13.99
S&P Correlation
-0.25

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
10/2005
Diversified Trading Program -3.90 - - - - - - 23.90
S&P 500 9.39 - - - - - - 187.00
+/- S&P 500 -13.29 - - - - - - -163.10

Strategy Description

Summary

-The program seeks opportunities for capital appreciation through investment in global interest rates, equity indexes, currencies and physical commodities. Its targeted net rate of return is 20% with a standard deviation of 15%. The C L Diversified Fund will apply 100% of its assets... Read More

Account & Fees

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

Subscriptions

High Water Mark
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The program seeks opportunities for capital appreciation through investment in global interest rates, equity indexes, currencies and physical commodities. Its targeted net rate of return is 20% with a standard deviation of 15%. The C L Diversified Fund will apply 100% of its assets to only those markets mentioned above and to cash to achieve its objectives. The strategy uses multiple systems applied to 65 markets worldwide. With a disciplined approach, proprietary algorithms are systematically applied to maximize the potential for return for a given unit of risk.Pattern recognition, periods of trend, volatility and liquidity are among key factors the models use to determine exposure to individual markets. Risk management is fully integrated at multiple levels to mitigate the effects of false entries and to protect open equity. The methodology?s unique quality comes from the synergistic combination of systems enhanced by multi-level risk management.

   

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
-13.99 2 7 6/1/2007 8/1/2007
-13.68 5 8 4/1/2006 9/1/2006
-12.35 6 - 10/1/2008 4/1/2009
-7.37 1 2 6/1/2008 7/1/2008
-2.24 3 1 11/1/2005 2/1/2006
-1.39 1 1 1/1/0001 10/1/2005
-0.01 1 1 3/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
20.45 3 8/1/2008 10/1/2008
16.38 4 3/1/2007 6/1/2007
12.26 4 10/1/2006 1/1/2007
10.74 1 9/1/2007 9/1/2007
9.16 5 11/1/2007 3/1/2008
8.53 2 5/1/2008 6/1/2008
5.47 1 3/1/2006 3/1/2006
4.28 1 11/1/2005 11/1/2005
1.67 1 2/1/2009 2/1/2009
0.50 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.99 2 7/1/2007 8/1/2007
-12.07 2 3/1/2009 4/1/2009
-10.96 3 7/1/2006 9/1/2006
-7.37 1 7/1/2008 7/1/2008
-3.54 2 4/1/2006 5/1/2006
-3.19 1 2/1/2007 2/1/2007
-3.00 1 10/1/2007 10/1/2007
-2.24 3 12/1/2005 2/1/2006
-1.96 3 11/1/2008 1/1/2009
-1.39 1 10/1/2005 10/1/2005
-0.01 1 4/1/2008 4/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable53.4965.8571.0578.1396.15100.00
Average Period Return0.592.215.1010.4916.4622.61
Average Gain3.766.139.5714.4817.1622.61
Average Loss-3.21-5.35-5.89-3.78-0.95
Best Period10.7420.4521.0932.1741.5149.79
Worst Period-8.73-11.06-13.68-8.47-0.954.17
Standard Deviation4.407.188.9911.1011.3214.75
Gain Standard Deviation2.775.105.919.0210.9714.75
Loss Standard Deviation2.763.624.582.76
Sharpe Ratio (1%)0.120.270.510.851.321.40
Average Gain / Average Loss1.171.151.623.8317.97
Profit / Loss Ratio1.422.213.9913.67449.30
Downside Deviation (10%)3.004.355.124.352.742.13
Downside Deviation (5%)2.823.854.172.540.51
Downside Deviation (0%)2.783.733.952.140.19
Sortino Ratio (10%)0.060.230.511.263.235.80
Sortino Ratio (5%)0.180.511.103.7429.17
Sortino Ratio (0%)0.210.591.294.9187.92

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.