Sequent Capital : Sequent CTA - Fundamental Diversified (V12)

archived programs
Year-to-Date
N / A
Feb Performance
-3.41%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.37%
Sharpe (RFR=1%)
0.07
CAROR
N/A
Assets
$ 59.6M
Worst DD
-25.13
S&P Correlation
0.07

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Sequent CTA - Fundamental Diversified (V12) -3.41 -9.16 - -21.21 -22.70 -24.22 -0.80 14.80
S&P 500 -0.41 -7.12 - -8.19 27.57 45.56 50.85 63.55
+/- S&P 500 -3.00 -2.03 - -13.02 -50.27 -69.79 -51.66 -48.74

Strategy Description

Summary

Sequent’s objective: The Sequent CTA - Fundamental Diversified (V12) program’s objective is to isolate multiple macroeconomic factors and relationships that drive sustained moves in the global markets, and formulate a systematic FUNDAMENTAL BIAS based on each of them. These FUNDAMENTAL... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
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

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

Sequent’s objective: The Sequent CTA - Fundamental Diversified (V12) program’s objective is to isolate multiple macroeconomic factors and relationships that drive sustained moves in the global markets, and formulate a systematic FUNDAMENTAL BIAS based on each of them. These FUNDAMENTAL BIASES, combined with “price” and “volatility” data are used to align Sequent’s positions with the most probable moves. The program targets an annualised volatility of 12% with a max daily 95% VAR of 5%.

Sequent’s edge: While some futures traders rely on price data alone to determine the existence of sustained price moves (or trends), Sequent believes that more efficient trend-extraction is possible by using a combination of price data and fundamental data. The models Sequent uses have been developed with sustainability and robustness in mind.

Investment Strategy

The "Sequent CTA -Fundamental-Diversified (V12)" is a managed futures trading program seeks to quantify and capitalize on major price dislocations in Equity, Fixed Income, Foreign Exchange and Commodity markets. This 100% systematic trading program uses various types of fundamental economic data to help determine the main capital flow drivers for all the securities traded. As imbalances develop the portfolio will profit by taking long/short positions in those markets with significant positive/negative expected net flows. The (V 12) program targets an annualized volatility of 12% and aims to have a low correlation to other diversified CTAs programs. The track record for the Sequent program dates back to March 2003. As the Sequent models were significantly improved in April 2005 the track record prior to this date has not been presented. The track record above from April 2005 to April 2008 is based on actual performance of the Sequent program while based in New York. During the period May 2008 to Feb 2012 the Sequent program returned all cash to the investors while the firm relocated from New York to London. The track record from March 2012 onwards is actual performance now that the program is being managed by Sequent Capital, London. Interest income is included Apr 2005 to Apr 2008 but not thereafter.

Risk Management

Risk management is embedded in the system design: All positions are based on a combination of a) market volatility, sector volatility and Portfolio VaR.

All positions are reconciled every day versus hypothetical system positions.

Trade breaks are double checked and resolved by our internal CFO's team and by an external accountant (NAV Consulting)

   

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
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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
-25.13 37 - 1/1/2013 2/1/2016
-12.56 13 6 9/1/2005 10/1/2006
-4.69 52 7 2/1/2008 6/1/2012
-2.92 1 1 7/1/2007 8/1/2007
-1.68 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
22.19 6 4/1/2005 9/1/2005
14.81 3 12/1/2007 2/1/2008
13.34 6 2/1/2007 7/1/2007
8.61 2 9/1/2007 10/1/2007
6.94 1 11/1/2014 11/1/2014
6.74 2 11/1/2006 12/1/2006
6.14 2 1/1/2015 2/1/2015
4.90 3 11/1/2012 1/1/2013
4.67 1 6/1/2014 6/1/2014
3.98 2 2/1/2014 3/1/2014
3.26 2 9/1/2013 10/1/2013
2.37 1 1/1/2006 1/1/2006
2.16 1 9/1/2014 9/1/2014
1.78 1 11/1/2015 11/1/2015
1.60 1 4/1/2008 4/1/2008
1.44 1 11/1/2005 11/1/2005
1.43 2 7/1/2012 8/1/2012
1.39 2 3/1/2013 4/1/2013
1.19 1 8/1/2006 8/1/2006
1.19 1 5/1/2012 5/1/2012
0.27 1 4/1/2006 4/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.15 4 5/1/2013 8/1/2013
-14.78 8 3/1/2015 10/1/2015
-9.16 3 12/1/2015 2/1/2016
-7.43 3 5/1/2006 7/1/2006
-6.18 1 10/1/2005 10/1/2005
-4.06 3 11/1/2013 1/1/2014
-3.76 48 5/1/2008 4/1/2012
-3.58 2 4/1/2014 5/1/2014
-3.14 1 2/1/2013 2/1/2013
-2.92 1 8/1/2007 8/1/2007
-2.27 1 3/1/2008 3/1/2008
-2.12 2 2/1/2006 3/1/2006
-1.97 1 12/1/2014 12/1/2014
-1.68 1 11/1/2007 11/1/2007
-1.50 2 9/1/2006 10/1/2006
-1.44 1 6/1/2012 6/1/2012
-0.91 2 9/1/2012 10/1/2012
-0.89 1 12/1/2005 12/1/2005
-0.83 1 1/1/2007 1/1/2007
-0.62 2 7/1/2014 8/1/2014
-0.55 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods134.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable31.3434.0938.7636.5941.0336.9440.4044.8350.67
Average Period Return0.130.491.152.233.464.776.927.829.00
Average Gain2.554.988.0013.1714.8221.2529.2730.5830.43
Average Loss-2.08-3.79-6.63-7.41-7.65-7.28-10.12-10.68-13.01
Best Period7.8914.8122.6128.6641.8041.8052.5851.5051.50
Worst Period-6.78-11.68-16.00-21.21-17.66-18.43-22.70-24.22-24.22
Standard Deviation2.424.537.3810.5612.7415.1120.9222.9124.14
Gain Standard Deviation2.183.625.637.6611.3711.3512.8412.9313.24
Loss Standard Deviation1.723.234.425.925.715.716.536.775.93
Sharpe Ratio (1%)0.020.050.090.120.150.180.190.160.16
Average Gain / Average Loss1.231.311.211.781.942.922.892.862.34
Profit / Loss Ratio1.201.411.591.862.322.552.412.332.40
Downside Deviation (10%)1.733.435.668.5710.3412.9619.4624.6929.41
Downside Deviation (5%)1.562.914.556.086.337.1310.2612.0313.37
Downside Deviation (0%)1.522.794.315.585.565.998.369.3610.02
Sortino Ratio (10%)-0.16-0.21-0.23-0.32-0.40-0.42-0.45-0.56-0.63
Sortino Ratio (5%)0.030.080.140.200.310.390.380.310.29
Sortino Ratio (0%)0.090.180.270.400.620.790.830.840.90

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 4.86 2/2007
Diversified Trader Index Month 8 4.86 2/2007
Diversified Trader Index Month 8 7.89 8/2005
Systematic Trader Index Month 10 7.89 8/2005
Diversified Trader Index Month 9 1.96 4/2005

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