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/ Shared Enlightenment, Inc. / CopulaMax NetDebitOps I

Shared Enlightenment, Inc. : CopulaMax NetDebitOps I

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archived programs
Year-to-Date
N / A
Feb Performance
11.98%
Min Investment
$ 25k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
42.30%
Sharpe (RFR=1%)
0.18
CAROR
-0.28%
Assets
$ 27k
Worst DD
-30.96
S&P Correlation
0.28
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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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2012
CopulaMax NetDebitOps I 11.98 -22.69 - -13.39 - - - -0.59
S&P 500 4.31 2.97 - 22.76 - - - 37.10
+/- S&P 500 7.67 -25.66 - -36.15 - - - -37.69

Strategy Description

Summary

The CopulaMax NetDebitOps I, II, III program series implements futures and options trading strategies and sophisticated trade & risk management methodologies. Trades are placed in a very selective, opportunistic manner, with maximal exploitation of trends and options time decay. Positions... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
37%
Targeted Worst DD
20.00%
Worst Peak-to-Trough
-28.08%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
2.00%
1-3 Months
21.00%
1-30 Days
73.00%
Intraday
4.00%

Decision-Making

Discretionary
80.00%
Systematic
20.00%

Strategy

Fundamental
5.00%
Option-purchasing
60.00%
Option-spreads
15.00%
Option-writing
15.00%
Technical
5.00%
Strategy Pie Chart

Composition

Currency Futures
27.00%
Energy
25.00%
Softs
20.00%
Grains
18.00%
Interest Rates
6.00%
Stock Indices
2.00%
Precious Metals
1.00%
Livestock
1.00%
Composition Pie Chart

Summary

The CopulaMax NetDebitOps I, II, III program series implements futures and options trading strategies and sophisticated trade & risk management methodologies. Trades are placed in a very selective, opportunistic manner, with maximal exploitation of trends and options time decay. Positions are held from a few minutes to several days or weeks. Gains are correlated with the ability to anticipate favorable developments in price and volatility. Strategies emphasize selection of combinations of futures and options contracts, technical as well as fundamental factors and in-house, global research.

   

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
-30.96 1 - 12/1/2013 1/1/2014
-26.49 2 6 10/1/2012 12/1/2012
-15.08 2 3 6/1/2013 8/1/2013
-2.66 1 1 8/1/2012 9/1/2012
-1.44 1 3 1/1/0001 2/1/2012
-0.62 1 1 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
35.38 2 1/1/2013 2/1/2013
28.22 4 9/1/2013 12/1/2013
18.72 1 6/1/2013 6/1/2013
11.98 1 2/1/2014 2/1/2014
11.90 2 7/1/2012 8/1/2012
6.20 1 5/1/2012 5/1/2012
2.84 1 10/1/2012 10/1/2012
1.24 1 4/1/2013 4/1/2013
1.22 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.96 1 1/1/2014 1/1/2014
-26.49 2 11/1/2012 12/1/2012
-15.08 2 7/1/2013 8/1/2013
-14.40 1 5/1/2013 5/1/2013
-2.66 1 9/1/2012 9/1/2012
-1.55 1 3/1/2013 3/1/2013
-1.44 1 2/1/2012 2/1/2012
-0.68 1 4/1/2012 4/1/2012
-0.62 1 6/1/2012 6/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable56.0060.8755.0050.0075.00
Average Period Return0.721.743.104.743.95
Average Gain8.1411.4012.4919.6811.11
Average Loss-8.72-13.29-8.38-10.20-17.52
Best Period29.1933.2837.1249.3222.96
Worst Period-30.96-24.40-17.65-20.20-20.00
Standard Deviation12.2115.2814.2918.5515.54
Gain Standard Deviation8.149.7511.6113.299.47
Loss Standard Deviation9.838.366.846.933.50
Sharpe Ratio (1%)0.050.100.180.200.16
Average Gain / Average Loss0.930.861.491.930.63
Profit / Loss Ratio1.191.331.821.931.90
Downside Deviation (10%)8.6810.338.5011.6713.02
Downside Deviation (5%)8.539.807.369.139.60
Downside Deviation (0%)8.499.677.108.528.85
Sortino Ratio (10%)0.040.050.07-0.02-0.28
Sortino Ratio (5%)0.080.150.350.410.26
Sortino Ratio (0%)0.090.180.440.560.45

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.

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