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/ Serac, LLC / Diversified Reversal Program

Serac, LLC : Diversified Reversal Program

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Year-to-Date
N / A
Dec Performance
6.68%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
31.78%
Sharpe (RFR=1%)
0.97
CAROR
31.52%
Assets
$ 362k
Worst DD
-19.83
S&P Correlation
-0.11
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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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
4/2011
Diversified Reversal Program 6.68 - - - - - - 179.38
S&P 500 -0.42 - - - - - - 125.00
+/- S&P 500 7.10 - - - - - - 54.38

Strategy Description

Summary

The Diversified Reversal Program trades futures primarily in gold, silver, and crude oil. The majority of the trading is done using fully automated algorithmic trading programs. These proprietary systems will be mainly day trades or very short swing trades. These systems use very... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 30.00%
Average Commission $6.50
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 4000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 18.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 25.00%
Intraday 75.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Pattern Recognition
30.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Precious Metals
65.00%
Energy
35.00%
Composition Pie Chart

Summary

The Diversified Reversal Program trades futures primarily in gold, silver, and crude oil. The majority of the trading is done using fully automated algorithmic trading programs. These proprietary systems will be mainly day trades or very short swing trades. These systems use very different technical indicators such as time, moving averages, ATR, volume, and other tools specific to each system. When discretionary trading takes place it is only after extensive characterization of market conditions and past trade opportunities. We consider these trades discretionary even though we are using rule based systems that, in the future, will most likely by duplicated in an automated environment.

   

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

Monthly Annual
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
-19.83 5 - 5/1/2014 10/1/2014
-16.37 3 3 5/1/2012 8/1/2012
-8.48 1 2 1/1/2013 2/1/2013
-6.61 2 4 9/1/2013 11/1/2013
-5.80 1 1 7/1/2013 8/1/2013
-3.88 7 2 8/1/2011 3/1/2012
-1.48 1 1 4/1/2013 5/1/2013
-0.29 1 1 3/1/2014 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
101.36 5 4/1/2011 8/1/2011
24.82 5 9/1/2012 1/1/2013
21.32 2 3/1/2013 4/1/2013
17.11 2 11/1/2014 12/1/2014
14.32 2 6/1/2013 7/1/2013
8.61 4 12/1/2013 3/1/2014
8.11 2 4/1/2012 5/1/2012
7.20 1 9/1/2013 9/1/2013
6.67 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.83 5 6/1/2014 10/1/2014
-16.37 3 6/1/2012 8/1/2012
-8.48 1 2/1/2013 2/1/2013
-6.61 2 10/1/2013 11/1/2013
-5.80 1 8/1/2013 8/1/2013
-3.88 7 9/1/2011 3/1/2012
-1.48 1 5/1/2013 5/1/2013
-0.29 1 4/1/2014 4/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable53.3355.8167.5079.4192.86100.00
Average Period Return2.666.779.8819.1730.7244.40
Average Gain7.7116.1517.5426.0333.1844.40
Average Loss-4.08-6.02-6.02-7.29-1.18
Best Period47.2781.9193.8193.5481.80121.56
Worst Period-10.21-16.37-14.49-13.09-1.6425.09
Standard Deviation9.1718.8721.3024.7319.9522.62
Gain Standard Deviation9.7720.6621.9923.1618.5022.62
Loss Standard Deviation3.004.224.563.510.64
Sharpe Ratio (1%)0.280.350.440.731.461.87
Average Gain / Average Loss1.892.682.913.5728.09
Profit / Loss Ratio2.834.036.0513.77365.18
Downside Deviation (10%)3.195.095.465.852.49
Downside Deviation (5%)3.034.564.484.040.73
Downside Deviation (0%)2.994.444.243.620.34
Sortino Ratio (10%)0.711.091.362.429.30
Sortino Ratio (5%)0.851.432.104.5040.15
Sortino Ratio (0%)0.891.532.335.2990.82

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 6.67 5/2014
Systematic Trader Index Month 5 6.67 5/2014
Diversified Trader Index Month 6 6.67 5/2014
IASG CTA Index Month 8 6.67 5/2014
Systematic Trader Index Month 7 7.20 9/2013
Diversified Trader Index Month 5 7.20 9/2013
Trend Following Strategy Index Month 2 7.20 9/2013
Trend Following Strategy Index Month 2 8.30 7/2013
Diversified Trader Index Month 1 8.30 7/2013
Systematic Trader Index Month 2 8.30 7/2013
IASG CTA Index Month 3 8.30 7/2013
Trend Following Strategy Index Month 6 5.56 6/2013
Diversified Trader Index Month 9 5.56 6/2013
Systematic Trader Index Month 10 5.56 6/2013
IASG CTA Index Month 2 21.21 4/2013
Trend Following Strategy Index Month 2 21.21 4/2013
Systematic Trader Index Month 2 21.21 4/2013
Diversified Trader Index Month 2 21.21 4/2013
Systematic Trader Index Month 2 12.64 11/2012
Diversified Trader Index Month 2 12.64 11/2012
Trend Following Strategy Index Month 1 12.64 11/2012
IASG CTA Index Month 2 12.64 11/2012
Trend Following Strategy Index Month 4 2.23 10/2012
Trend Following Strategy Index Month 9 3.89 9/2012
Diversified Trader Index Month 4 9.26 6/2011
IASG CTA Index Month 4 9.26 6/2011
Trend Following Strategy Index Month 2 9.26 6/2011
Systematic Trader Index Month 2 9.26 6/2011
IASG CTA Index Month 1 47.27 5/2011
Trend Following Strategy Index Month 1 47.27 5/2011
Systematic Trader Index Month 1 47.27 5/2011
Diversified Trader Index Month 1 47.27 5/2011

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

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