Scully Capital Management, LLC : Poniente Program

archived programs
Year-to-Date
N / A
Aug Performance
5.05%
Min Investment
$ 2,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.16%
Sharpe (RFR=1%)
0.61
CAROR
11.90%
Assets
$ 18.0M
Worst DD
-24.04
S&P Correlation
-0.13

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/1999
Poniente Program 5.05 - - - - - 20.35 315.67
S&P 500 -5.68 - - - - - 7.52 170.71
+/- S&P 500 10.73 - - - - - 12.83 144.96

Strategy Description

Summary

The Poniente Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets. We believe that superior long-term results can be achieved by systematically exploiting the tendency of investors to under-react, over-react or become complacent... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -35.00%
Worst Peak-to-Trough 24.04%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 1.00%
4-12 Months 38.00%
1-3 Months 61.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

The Poniente Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets. We believe that superior long-term results can be achieved by systematically exploiting the tendency of investors to under-react, over-react or become complacent to information.

Investment Strategy

The Program employs a highly disciplined, rule-based trading approach that leads to consistent, rational trading decisions despite often irrational market conditions. The Poniente Program emphasizes medium to long term trading across a diverse spectrum of markets.

Risk Management

Long or short positions are initiated where risk is determined to be low relative to potential returns. The Poniente Program employs sophisticated market-specific and inter-market risk management strategies in an effort to mitigate portfolio volatility and drawdown.

   

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
-24.04 5 6 11/1/2009 4/1/2010
-22.04 21 31 5/1/2003 2/1/2005
-18.13 10 15 4/1/2001 2/1/2002
-16.15 3 - 4/1/2011 7/1/2011
-14.85 5 3 2/1/2008 7/1/2008
-12.49 4 1 12/1/2008 4/1/2009
-10.23 4 2 5/1/2009 9/1/2009
-9.26 1 3 12/1/2010 1/1/2011
-4.52 5 2 7/1/1999 12/1/1999
-3.17 1 4 6/1/2000 7/1/2000
-2.62 1 1 10/1/2010 11/1/2010
-0.91 1 1 2/1/1999 3/1/1999
-0.54 1 1 5/1/1999 6/1/1999
-0.38 1 1 1/1/2001 2/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
83.74 6 9/1/2007 2/1/2008
65.03 5 8/1/2008 12/1/2008
27.54 3 8/1/2010 10/1/2010
20.36 2 4/1/2003 5/1/2003
18.70 6 1/1/2000 6/1/2000
16.50 2 10/1/2009 11/1/2009
15.81 1 5/1/2009 5/1/2009
15.17 3 11/1/2000 1/1/2001
12.61 1 4/1/2011 4/1/2011
12.46 1 2/1/2003 2/1/2003
12.42 4 3/1/2002 6/1/2002
11.21 4 8/1/2005 11/1/2005
9.25 4 3/1/2005 6/1/2005
9.17 1 12/1/2010 12/1/2010
9.07 4 11/1/2006 2/1/2007
7.59 4 4/1/2007 7/1/2007
7.45 2 10/1/2004 11/1/2004
7.06 2 3/1/2001 4/1/2001
6.52 2 5/1/2010 6/1/2010
6.23 2 11/1/2002 12/1/2002
6.22 1 4/1/2006 4/1/2006
5.10 1 10/1/2001 10/1/2001
5.05 1 8/1/2011 8/1/2011
4.99 2 4/1/1999 5/1/1999
4.47 1 2/1/2004 2/1/2004
4.20 2 1/1/1999 2/1/1999
4.19 1 8/1/2001 8/1/2001
3.31 1 2/1/2011 2/1/2011
3.26 1 5/1/2008 5/1/2008
2.99 1 8/1/2000 8/1/2000
2.74 1 8/1/2002 8/1/2002
2.59 1 7/1/1999 7/1/1999
2.54 1 7/1/2004 7/1/2004
2.27 1 2/1/2006 2/1/2006
1.88 1 6/1/2001 6/1/2001
1.70 1 2/1/2009 2/1/2009
1.66 1 7/1/2009 7/1/2009
1.61 1 9/1/2003 9/1/2003
1.19 1 12/1/2003 12/1/2003
0.97 2 8/1/2006 9/1/2006
0.85 1 5/1/2004 5/1/2004
0.65 1 11/1/1999 11/1/1999
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.04 5 12/1/2009 4/1/2010
-16.15 3 5/1/2011 7/1/2011
-15.04 4 11/1/2001 2/1/2002
-11.40 3 12/1/2004 2/1/2005
-10.28 2 3/1/2008 4/1/2008
-10.13 2 9/1/2002 10/1/2002
-9.91 2 3/1/2009 4/1/2009
-9.35 3 6/1/2003 8/1/2003
-9.26 1 1/1/2011 1/1/2011
-8.09 2 6/1/2008 7/1/2008
-7.67 2 8/1/2009 9/1/2009
-6.77 3 5/1/2006 7/1/2006
-6.48 1 8/1/2007 8/1/2007
-6.44 2 10/1/2003 11/1/2003
-6.30 1 7/1/2001 7/1/2001
-4.99 1 3/1/2003 3/1/2003
-4.49 1 1/1/2009 1/1/2009
-4.36 1 6/1/2009 6/1/2009
-4.32 1 3/1/2006 3/1/2006
-4.05 2 3/1/2004 4/1/2004
-4.03 1 5/1/2001 5/1/2001
-3.95 1 1/1/2004 1/1/2004
-3.95 1 9/1/2001 9/1/2001
-3.58 2 12/1/2005 1/1/2006
-3.17 1 7/1/2000 7/1/2000
-3.09 1 3/1/2007 3/1/2007
-3.05 1 6/1/2004 6/1/2004
-3.04 3 8/1/1999 10/1/1999
-2.81 2 9/1/2000 10/1/2000
-2.72 2 8/1/2004 9/1/2004
-2.62 1 11/1/2010 11/1/2010
-2.51 1 1/1/2003 1/1/2003
-2.39 1 7/1/2005 7/1/2005
-2.16 1 12/1/1999 12/1/1999
-2.08 1 7/1/2002 7/1/2002
-1.35 1 10/1/2006 10/1/2006
-1.19 1 7/1/2010 7/1/2010
-0.91 1 3/1/1999 3/1/1999
-0.54 1 6/1/1999 6/1/1999
-0.43 1 3/1/2011 3/1/2011
-0.38 1 2/1/2001 2/1/2001
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable55.2662.0062.5970.2180.7488.3788.0393.3397.85
Average Period Return1.103.306.8814.4522.1330.8350.1669.5980.23
Average Gain4.798.6014.3323.4829.2635.6757.5775.0082.00
Average Loss-3.46-5.35-5.57-6.85-7.77-6.00-4.32-6.13-0.60
Best Period26.1546.3883.7493.35150.80165.90182.74205.46207.94
Worst Period-9.87-19.75-23.19-19.67-16.79-15.20-9.44-9.95-1.04
Standard Deviation5.8210.5915.5923.3034.1842.6455.2769.2871.05
Gain Standard Deviation5.089.7715.1322.0934.3043.0654.8668.5770.79
Loss Standard Deviation2.494.304.365.005.153.912.612.830.63
Sharpe Ratio (1%)0.170.290.410.580.600.680.850.951.06
Average Gain / Average Loss1.391.612.573.433.765.9513.3212.23137.06
Profit / Loss Ratio1.712.624.308.0815.7845.2197.98171.206236.18
Downside Deviation (10%)3.074.835.597.057.376.558.5710.2610.34
Downside Deviation (5%)2.894.344.565.074.643.032.702.801.07
Downside Deviation (0%)2.844.214.314.614.072.421.731.720.11
Sortino Ratio (10%)0.230.430.791.341.973.144.014.685.09
Sortino Ratio (5%)0.350.701.402.654.459.5117.4323.4269.98
Sortino Ratio (0%)0.390.781.603.135.4412.7529.0140.41734.57

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.