Sequoia Hill Capital Management : SHCM Diversified SST

archived programs
Year-to-Date
N / A
Oct Performance
-2.61%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.36%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
$ 167k
Worst DD
-22.02
S&P Correlation
0.33

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
SHCM Diversified SST -2.61 - - - - - - -0.49
S&P 500 4.46 - - - - - - 164.00
+/- S&P 500 -7.07 - - - - - - -164.49

Strategy Description

Summary

SHCM’s Diversified Swing Strategy Trading (SST) is a multilateral quantitative trading strategy that invests in multiple futures markets over a short-term trading cycle. The program was developed from over 10 years of trading experience, knowledge, and research in the futures market.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 2.50
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 6600 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 3.92%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 98.00%
Intraday 2.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Counter-trend
40.00%
Technical
30.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Currency Futures
19.00%
Precious Metals
13.00%
Energy
13.00%
Grains
13.00%
Stock Indices
13.00%
Softs
12.00%
Livestock
10.00%
Interest Rates
7.00%
Composition Pie Chart

Summary

SHCM’s Diversified Swing Strategy Trading (SST) is a multilateral quantitative trading strategy that invests in multiple futures markets over a short-term trading cycle. The program was developed from over 10 years of trading experience, knowledge, and research in the futures market.

Our philosophy is to apply a wide collection of statistical modeling and mathematical formulas to a broad range of global financial and futures markets. SST uses a mixture of both trend and counter trend strategies to capture the ongoing dynamic change in market behavior. After testing and validating SST, we have created a unique trading style that incorporates risk adjusted returns enhancing performance while reducing risk.

Sequoia Hill strives on diversifying portfolios for our investors. Applied across all sectors of the futures market, the SST has been researched and modified to build the utmost diversified portfolio with an array of highly liquid markets. The exposure to the different commodities add value to both individual and institutional portfolios.

   

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
-22.02 12 - 10/1/2012 10/1/2013
-4.17 1 3 4/1/2012 5/1/2012
-0.59 1 1 2/1/2012 3/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
20.03 3 8/1/2012 10/1/2012
6.70 2 1/1/2012 2/1/2012
6.25 1 4/1/2013 4/1/2013
5.90 1 7/1/2013 7/1/2013
3.69 1 4/1/2012 4/1/2012
0.90 1 6/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.38 2 5/1/2013 6/1/2013
-12.77 3 8/1/2013 10/1/2013
-7.20 5 11/1/2012 3/1/2013
-4.17 1 5/1/2012 5/1/2012
-0.59 1 3/1/2012 3/1/2012
-0.04 1 7/1/2012 7/1/2012
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Time Windows Analysis

 2 Year1 Month3 Month6 Month12 Month
Number of Periods5.0022.0020.0017.0011.00
Percent Profitable100.0040.9145.0052.9472.73
Average Period Return77.870.080.361.655.20
Average Gain77.874.708.2111.7712.76
Average Loss-3.11-6.06-9.72-14.99
Best Period115.529.1720.0318.9325.13
Worst Period55.62-7.59-12.77-20.91-22.02
Standard Deviation23.314.728.8212.5514.84
Gain Standard Deviation23.312.656.575.967.40
Loss Standard Deviation2.713.536.338.30
Sharpe Ratio (1%)3.250.000.010.090.28
Average Gain / Average Loss1.511.361.210.85
Profit / Loss Ratio1.051.111.362.27
Downside Deviation (10%)3.365.959.3011.08
Downside Deviation (5%)3.175.308.109.07
Downside Deviation (0%)3.125.147.818.59
Sortino Ratio (10%)-0.10-0.14-0.090.02
Sortino Ratio (5%)0.000.020.140.46
Sortino Ratio (0%)0.030.070.210.60

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.