Sequent Fundamental : Diversified

archived programs
Year-to-Date
N / A
Feb Performance
5.00%
Min Investment
$ 0k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.92%
Sharpe (RFR=1%)
1.28
CAROR
15.37%
Assets
$ 46.0M
Worst DD
-12.58
S&P Correlation
0.01

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
4/2005
Diversified 5.00 - - - - - - 51.73
S&P 500 -3.48 - - - - - - 199.45
+/- S&P 500 8.48 - - - - - - -147.72

Strategy Description

Account & Fees

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

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 12%
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

   

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
-12.58 13 6 9/1/2005 10/1/2006
-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
22.18 6 4/1/2005 9/1/2005
14.20 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
6.74 2 11/1/2006 12/1/2006
2.37 1 1/1/2006 1/1/2006
1.44 1 11/1/2005 11/1/2005
1.18 1 8/1/2006 8/1/2006
0.27 1 4/1/2006 4/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.43 3 5/1/2006 7/1/2006
-6.18 1 10/1/2005 10/1/2005
-2.92 1 8/1/2007 8/1/2007
-2.12 2 2/1/2006 3/1/2006
-1.68 1 11/1/2007 11/1/2007
-1.51 2 9/1/2006 10/1/2006
-0.89 1 12/1/2005 12/1/2005
-0.83 1 1/1/2007 1/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable65.7166.6773.3370.8388.89
Average Period Return1.253.335.639.0712.00
Average Gain2.936.479.7215.0313.67
Average Loss-1.98-2.95-5.60-5.41-1.34
Best Period7.8914.3222.1827.9739.91
Worst Period-6.18-7.43-9.15-12.31-2.44
Standard Deviation3.155.578.5211.9511.09
Gain Standard Deviation2.263.735.738.3510.61
Loss Standard Deviation1.802.222.434.081.56
Sharpe Ratio (1%)0.370.550.600.670.95
Average Gain / Average Loss1.482.201.742.7810.23
Profit / Loss Ratio2.844.404.776.7581.80
Downside Deviation (10%)1.722.714.346.023.33
Downside Deviation (5%)1.572.213.364.021.02
Downside Deviation (0%)1.542.093.123.560.58
Sortino Ratio (10%)0.490.780.730.681.32
Sortino Ratio (5%)0.741.391.532.0110.34
Sortino Ratio (0%)0.811.591.812.5520.79

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.