Sequoia Financial Advisory Services, LLC. : CMSP

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.44%
Sharpe (RFR=1%)
0.58
CAROR
10.01%
Assets
$ 0k
Worst DD
-9.80
S&P Correlation
-0.09

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
CMSP 0.00 - - - - - 0.00 33.12
S&P 500 -0.23 - - - - - -10.22 135.92
+/- S&P 500 0.23 - - - - - 10.22 -102.80

Strategy Description

Summary

The Commodity Multi–System Program is a systematic commodity futures trading program based on technical indicators that also incorporates a discretionary component to dampen volatility. The discretionary component is an options overlay. Options can be used to reduce the risk, lock... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
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 QEP
Lock-up Period 0

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD 10.00%
Worst Peak-to-Trough -9.35%
Sector Focus Not Specified

Holding Periods

Over 12 Months 5.00%
4-12 Months 90.00%
1-3 Months 5.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Option-purchasing
5.00%
Trend-following
95.00%
Strategy Pie Chart

Summary

The Commodity Multi–System Program is a systematic commodity futures trading program based on technical indicators that also incorporates a discretionary component to dampen volatility. The discretionary component is an options overlay. Options can be used to reduce the risk, lock in profits or take the place of the systematic futures positions. Net shorting of options is not permitted. Option strategies are derived from the principals’ 25 years of proprietary options trading and market making experience at merchant energy companies, trading companies and international banks. The CMSP uses dynamic position sizing and money management rules that incorporate volatility and futures prices in attempting to limit risk. Portfolio-level risk targets are implied by having exposure to a limited number of contracts and by using contract- and commodity- level risk targets. The money management rules also attempt to reduce exposure during non-trending markets and add exposure as trades prove to be profitable. The system does not pick tops or bottoms. It tends to hold profitable positions for 2 to 8 months resulting in lower RT / million than most other systems.

   

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
-9.80 2 - 11/1/2009 1/1/2010
-9.35 1 13 6/1/2008 7/1/2008
-8.63 1 2 2/1/2008 3/1/2008
-6.88 2 1 8/1/2009 10/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
25.00 3 4/1/2008 6/1/2008
23.00 3 12/1/2007 2/1/2008
10.56 4 5/1/2009 8/1/2009
9.67 1 11/1/2009 11/1/2009
4.51 1 10/1/2008 10/1/2008
1.28 1 8/1/2008 8/1/2008
1.03 1 12/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.80 12 12/1/2009 11/1/2010
-9.35 1 7/1/2008 7/1/2008
-8.63 1 3/1/2008 3/1/2008
-6.88 2 9/1/2009 10/1/2009
-2.13 1 11/1/2008 11/1/2008
-1.30 4 1/1/2009 4/1/2009
-0.64 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable38.8947.0651.6172.0089.4784.62
Average Period Return0.922.514.235.609.3311.87
Average Gain5.147.2710.419.5610.7614.56
Average Loss-3.23-3.11-3.55-4.60-2.85-2.92
Best Period12.2425.0040.4032.3533.4347.58
Worst Period-9.67-9.80-9.80-9.80-5.10-5.23
Standard Deviation5.037.1410.3710.9111.9015.01
Gain Standard Deviation4.407.4210.9510.1711.7514.75
Loss Standard Deviation3.943.773.673.763.183.28
Sharpe Ratio (1%)0.170.320.360.420.660.66
Average Gain / Average Loss1.592.342.942.083.784.99
Profit / Loss Ratio1.853.744.705.3532.1027.46
Downside Deviation (10%)3.043.114.085.825.406.82
Downside Deviation (5%)2.902.663.043.491.622.14
Downside Deviation (0%)2.872.572.823.051.181.46
Sortino Ratio (10%)0.170.410.430.100.320.24
Sortino Ratio (5%)0.290.851.231.324.824.61
Sortino Ratio (0%)0.320.981.501.837.928.13

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.