Serac, LLC : Diversified Reversal Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since4/2011 Diversified Reversal Program 6.68 - - - - - - 179.38 S&P 500 -0.42 - - - - - - 172.59 +/- S&P 500 7.10 - - - - - - 6.79 Strategy Description SummaryThe 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% Composition Precious Metals 65.00% Energy 35.00% SummaryThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel