Schot Capital : Mini Diversified Program (MDPe)

Year-to-Date
6.81%
May Performance
4.25%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.91%
Sharpe (RFR=1%)
3.73
CAROR
-
Assets
$ 200k
Worst DD
N/A
S&P Correlation
-0.76

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
3/2021
Mini Diversified Program (MDPe) 4.25 6.81 6.81 - - - - 6.81
S&P 500 0.55 10.31 15.56 - - - - 5.82
+/- S&P 500 3.70 -3.50 -8.75 - - - - 0.99

Strategy Description

Summary

The Mini Diversified Program offers a bespoke service based on an advanced Trend Following model, with a depreciating discretionary input as assets grow. After numerous requests and subsequent research, I finally came up with something interesting in terms of running a professional... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 5k
CTA Max Funding Factor 4.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Trend-following
90.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Energy
15.00%
Grains
15.00%
Interest Rates
15.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The Mini Diversified Program offers a bespoke service based on an advanced Trend Following model, with a depreciating discretionary input as assets grow. After numerous requests and subsequent research, I finally came up with something interesting in terms of running a professional Trend Following system with a relative low account size of 100k. We start with a single TF strategy for the first year or so, during this initial period there will be not much trading activity simply because the system will skip most markets because the volatility/$ risk is too high, but as AUM grow´s we start diversifying into additional strategies/markets and de-leveraging, unless desired otherwise by the investor. Given the fact that we are growing a relatively small amount I will also use discretion, mainly in terms of taking money off the table. As AUM grows and we are in a more comfortable position with the account, this discretionary input will eventually be reduced. The start of a new account is where most risk is at on original capital, but with patience we will be able to grow the account significantly. In general, I tested every two-year period between 1990 to date with a constant leverage, and in none of those 2yr periods there has been a significant drawdown. I first tested even periods 90-92. 92-94, and so on, which look better than the uneven periods 91-93, 93-95, etc. During even years the initial 100k investment got as low as 90-95k. But I prefer to present the periods that look worse. In the back test, 2017-2019 was the worst period bringing your 100k equity down to just under 80k. Very unlikely this is going to happen, but I would just take that into account as a worst-case scenario. Like I said, don´t expect much activity during the initial phase of the program. The idea is to slowly reduce leverage as assets grow, and to start adding (diversifying) markets/systems until at some point in time we can fully commit to the original Multi Diversified Program. The single strategy is an advanced breakout system with a MACD overlay, robust risk and management parameters, and additional filters. Maximum holding time is around three months if a position is not prior exited based on stops in place/further exit rules and/or discretionary input. Sectors monitored/traded are Currencies, Interest rates, Metals, Grains, Softs, Meats, and Carbon emissions. Due to the more labor sensitive input I reserve the right to close this program for new investments. Contact me at jacob.job.schot@gmail.com to discuss further. Thank you.

Investment Strategy

The investment objective of the Mini Diversified Program is to achieve long-term capital appreciation. Diversification is key to the program´s objective, aiming to capture both long and short trends in global futures markets, including (but not limited to) fixed income, equity indices, currencies, energies, grains, and soft commodities.

Risk Management

We apply a highly disciplined systematic and discretionary approach to investing using only our own proven combination of proprietary in-house trading strategies. The program seeks to identify and capture alpha from global futures markets whilst implementing strict risk management controls across a variety of asset classes.

   

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

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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

Consecutive Gains

Run-up Length (Mos.) Start End
6.81 3 3/1/2021 5/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
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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.