Schot Capital : Multi Diversified Program

Year-to-Date
17.63%
Oct Performance
0.69%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.03%
Sharpe (RFR=1%)
0.83
CAROR
11.49%
Assets
$ 22.5M
Worst DD
-15.85
S&P Correlation
-0.08

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Multi Diversified Program 0.69 2.93 17.63 25.99 34.84 - - 51.75
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 54.96
+/- S&P 500 -1.35 1.02 -3.53 13.98 -6.57 - - -3.21

Strategy Description

Summary

Seeks to achieve a substantial capital appreciation over a medium- to long-term time horizon through an allocation to the multi Diversified Program (the program). The program consists of well-researched investment strategies across a highly diversified global portfolio of futures and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$2.00
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
3000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
11.15%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
10.00%
4-12 Months
40.00%
1-3 Months
25.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

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

Summary

Seeks to achieve a substantial capital appreciation over a medium- to long-term time horizon through an allocation to the multi Diversified Program (the program). The program consists of well-researched investment strategies across a highly diversified global portfolio of futures and forward markets. Based on in-depth quantitative analysis of price behaviour, buy and sell signals are generated in order to participate in a systematic, pre-defined and dynamic way in market movements. The Multi Diversified Program can be long, short or neutral in every market traded. Longer track record available but fragmented. Live from 2007 until 2011. Not live traded between 2012 and 2015, performance data from system available. References from investors on request.

Investment Strategy

The investment objective of the Multi Diversified Program is to achieve long-term capital appreciation. Diversification through multi strategies 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. The Multi Diversified Program consists of non-correlated multiple strategies where each strategy trades different portfolio´s. Each underlying strategy is unique, with its own set of markets and trading execution criteria. The combination of different strategies produces better returns with less volatility than any of the trading strategies run in isolation. The use of multiple strategies also decreases the reliance on any one market or trading strategy to produce consistent trading profits. By diversifying portfolio decision models across more than one trading strategy, the program is designed to profit from both rising and falling trends in multiple asset classes. The program´s track record shows the merits of its dynamic and consistent strategy. Program leverage can be customized towards your risk/return profile.

Risk Management

We apply a highly disciplined and systematic 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.

Reward
Average RoR:
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Risk
Standard Deviation:
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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:
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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

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-15.85 12 3 11/1/2016 11/1/2017
-8.72 5 4 2/1/2018 7/1/2018
-4.84 1 1 8/1/2016 9/1/2016
-3.72 1 4 2/1/2016 3/1/2016
-2.28 1 1 6/1/2019 7/1/2019
-0.71 1 - 8/1/2019 9/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
32.76 11 8/1/2018 6/1/2019
19.81 3 12/1/2017 2/1/2018
15.51 2 10/1/2016 11/1/2016
11.37 2 1/1/2016 2/1/2016
6.45 4 5/1/2017 8/1/2017
3.56 3 6/1/2016 8/1/2016
2.96 1 8/1/2019 8/1/2019
1.82 1 4/1/2016 4/1/2016
1.62 2 4/1/2018 5/1/2018
1.33 1 3/1/2017 3/1/2017
0.69 1 10/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.37 3 9/1/2017 11/1/2017
-8.16 3 12/1/2016 2/1/2017
-5.69 1 3/1/2018 3/1/2018
-4.84 1 9/1/2016 9/1/2016
-4.75 2 6/1/2018 7/1/2018
-4.15 1 4/1/2017 4/1/2017
-3.72 1 3/1/2016 3/1/2016
-2.28 1 7/1/2019 7/1/2019
-0.71 1 9/1/2019 9/1/2019
-0.64 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable67.3959.0975.6185.7179.31100.00
Average Period Return0.982.645.219.3411.6215.21
Average Gain2.976.858.4011.9615.3215.21
Average Loss-3.13-3.44-4.69-6.43-2.55
Best Period9.9219.8120.3933.2139.1736.48
Worst Period-6.54-11.37-9.64-15.85-4.261.43
Standard Deviation3.766.267.6511.8012.0911.11
Gain Standard Deviation2.674.145.6610.3810.7911.11
Loss Standard Deviation1.852.803.016.291.61
Sharpe Ratio (1%)0.240.380.620.710.841.19
Average Gain / Average Loss0.951.991.791.866.02
Profit / Loss Ratio1.962.885.5511.1623.07
Downside Deviation (10%)2.263.453.835.045.033.54
Downside Deviation (5%)2.102.932.923.521.970.14
Downside Deviation (0%)2.062.802.713.231.34
Sortino Ratio (10%)0.250.410.710.860.801.40
Sortino Ratio (5%)0.430.821.612.375.1494.09
Sortino Ratio (0%)0.480.941.922.898.69

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 6.76 6/2019
IASG CTA Index Month 10 6.76 6/2019
Trend Following Strategy Index Month 9 3.35 5/2019

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