SHAD Trading LLC : SHAD - 1 (Proprietary)

archived programs
Year-to-Date
N / A
Jan Performance
-1.70%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.61%
Sharpe (RFR=1%)
0.09
CAROR
1.37%
Assets
$ 400k
Worst DD
-30.95
S&P Correlation
0.05

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
7/2010
SHAD - 1 (Proprietary) -1.70 - - - - -1.72 1.38 7.90
S&P 500 -5.07 - - - - 50.84 51.55 202.13
+/- S&P 500 3.37 - - - - -52.56 -50.16 -194.23

Strategy Description

Summary

SHAD Trading LLC offers a managed account program to trade futures contracts, options on futures contracts and physical commodities on US exchanges and markets in grains, meats, stock indexes, metals, interest rates, currencies, softs and energies.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 1100 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

SHAD Trading LLC offers a managed account program to trade futures contracts, options on futures contracts and physical commodities on US exchanges and markets in grains, meats, stock indexes, metals, interest rates, currencies, softs and energies.

Investment Strategy

SHAD's trading strategy is strictly technical developed from analysis of patterns of actual price movements, and is not based on fundamental factors. SHAD evaluates price movements utilizing technical indicators including, but not limited to, moving averages, trend lines, channels and bands. The underlying premise is that commodity interest will, from time to time, enter into periods of major price changes know as "trends", which have been observed and recorded since the beginning of market history. There is reason to believe that in free markets, prices will continue to trend. The trading approach used by SHAD is designed to exploit these price moves.

   

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
-30.95 12 - 1/1/2015 1/1/2016
-18.95 23 7 2/1/2012 1/1/2014
-4.10 3 2 3/1/2011 6/1/2011
-3.99 2 1 10/1/2014 12/1/2014
-2.49 2 3 9/1/2010 11/1/2010
-1.00 1 1 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
36.65 4 7/1/2014 10/1/2014
17.23 2 2/1/2014 3/1/2014
15.42 6 7/1/2011 12/1/2011
6.42 3 7/1/2010 9/1/2010
5.79 1 1/1/2015 1/1/2015
5.19 4 12/1/2010 3/1/2011
5.03 1 5/1/2014 5/1/2014
2.51 3 5/1/2013 7/1/2013
1.93 1 11/1/2015 11/1/2015
1.80 1 8/1/2012 8/1/2012
1.50 1 2/1/2012 2/1/2012
0.70 1 5/1/2011 5/1/2011
0.34 1 5/1/2012 5/1/2012
0.06 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.12 9 2/1/2015 10/1/2015
-6.93 4 9/1/2012 12/1/2012
-6.68 6 8/1/2013 1/1/2014
-5.76 1 4/1/2014 4/1/2014
-5.26 2 3/1/2012 4/1/2012
-3.99 2 11/1/2014 12/1/2014
-3.90 1 6/1/2011 6/1/2011
-3.85 2 6/1/2012 7/1/2012
-3.06 2 12/1/2015 1/1/2016
-2.49 2 10/1/2010 11/1/2010
-2.24 3 2/1/2013 4/1/2013
-1.40 1 6/1/2014 6/1/2014
-1.00 1 1/1/2012 1/1/2012
-0.90 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable44.7846.1551.6157.1458.0063.6481.2570.00
Average Period Return0.200.711.555.308.748.959.2820.01
Average Gain3.207.0211.6018.6621.1618.5012.2031.72
Average Loss-2.36-4.70-9.18-12.50-8.41-7.78-3.37-7.30
Best Period18.9131.5741.5158.7949.5748.5230.6248.78
Worst Period-8.10-16.83-27.44-30.95-15.40-17.74-6.31-9.80
Standard Deviation4.228.8014.0820.3719.8818.9811.0821.40
Gain Standard Deviation4.308.2511.0715.8417.0917.1410.2113.23
Loss Standard Deviation2.024.727.438.645.205.961.802.44
Sharpe Ratio (1%)0.030.050.070.210.360.370.560.75
Average Gain / Average Loss1.351.491.261.492.522.383.624.34
Profit / Loss Ratio1.161.281.351.993.474.1615.6810.13
Downside Deviation (10%)2.475.539.5812.7311.0511.9411.5216.13
Downside Deviation (5%)2.284.988.4410.437.226.862.976.34
Downside Deviation (0%)2.234.858.169.886.375.841.624.18
Sortino Ratio (10%)-0.09-0.09-0.100.020.10-0.11-0.56-0.10
Sortino Ratio (5%)0.050.090.120.411.001.012.102.51
Sortino Ratio (0%)0.090.150.190.541.371.535.724.78

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.