Sequential Capital Management : Sequential 1

archived programs
Year-to-Date
N / A
Mar Performance
0.11%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.20%
Sharpe (RFR=1%)
1.27
CAROR
7.74%
Assets
$ 2.3M
Worst DD
-3.48
S&P Correlation
-0.30

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Sequential 1 0.11 - - - - - - 19.00
S&P 500 5.88 - - - - - - 135.92
+/- S&P 500 -5.77 - - - - - - -116.92

Strategy Description

Summary

Sequential Capital Management is a managed futures firm based in Chicago. We have a twenty-two month track record and currently manage $5mm. We have consistently maintained a Sharpe ratio above 1, a near-zero correlation to the S&P 500, and 80% of our trading months have been posi... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -3.00%
Worst Peak-to-Trough 6.00%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
40.00%
Trend-following
60.00%
Strategy Pie Chart

Summary

Sequential Capital Management is a managed futures firm based in Chicago. We have a twenty-two month track record and currently manage $5mm. We have consistently maintained a Sharpe ratio above 1, a near-zero correlation to the S&P 500, and 80% of our trading months have been positive.

Investment Strategy

Our focus is extremely short term: the vast majority of SCM's trades last between four to eight hours. Less than 10% of positions are carried overnight.

Risk Management

SCM's algorithm dynamically calculates all risk/position reversal levels. Embedded volatility measures dynamically control position sizes.Risk stops/reversals are automatically placed following order execution. Per trade risk is approximately 0.35%

   

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
-3.48 2 - 1/1/2009 3/1/2009
-0.03 1 1 1/1/0001 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
14.61 7 1/1/2008 7/1/2008
6.93 5 9/1/2008 1/1/2009
2.01 4 4/1/2009 7/1/2009
1.04 2 9/1/2009 10/1/2009
0.31 1 1/1/2010 1/1/2010
0.11 1 3/1/2010 3/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.48 2 2/1/2009 3/1/2009
-1.63 2 11/1/2009 12/1/2009
-1.03 1 8/1/2009 8/1/2009
-0.13 1 2/1/2010 2/1/2010
-0.03 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable71.4373.0860.8776.47100.00
Average Period Return0.632.044.217.6811.90
Average Gain1.203.287.5210.5411.90
Average Loss-0.91-1.32-0.93-1.61
Best Period4.098.1913.8421.7320.09
Worst Period-2.23-3.24-1.54-2.843.16
Standard Deviation1.503.075.468.526.80
Gain Standard Deviation1.342.594.507.686.80
Loss Standard Deviation0.751.010.460.93
Sharpe Ratio (1%)0.370.590.680.781.53
Average Gain / Average Loss1.332.508.046.54
Profit / Loss Ratio3.806.7712.5121.27
Downside Deviation (10%)0.751.482.223.572.09
Downside Deviation (5%)0.600.950.941.33
Downside Deviation (0%)0.570.840.650.87
Sortino Ratio (10%)0.300.550.790.752.06
Sortino Ratio (5%)0.911.903.955.02
Sortino Ratio (0%)1.112.446.538.78

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.