Sharp Mountain Advisors, LLC : Diversified Managed Futures

archived programs
Year-to-Date
N / A
Jan Performance
0.15%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.05%
Sharpe (RFR=1%)
1.11
CAROR
8.93%
Assets
$ 1.1M
Worst DD
-4.41
S&P Correlation
0.26

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
8/2011
Diversified Managed Futures 0.15 -1.78 - -3.14 31.51 - - 34.89
S&P 500 -3.10 -1.14 - 11.92 52.01 - - 63.65
+/- S&P 500 3.25 -0.64 - -15.05 -20.50 - - -28.76

Strategy Description

Summary

Sharp Mountain Advisors, LLC("SMA") maintains a diversified commodity portfolio through managed futures with sound risk management. Investments are made in the following commodity interest sectors: agriculture, energy, grain, meat, metal, currency, etc. The trading strategies are... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
15000 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
6.00%
Worst Peak-to-Trough
-3.26%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
70.00%
Intraday
25.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Pattern Recognition
25.00%
Seasonal/cyclical
25.00%
Spreading/hedging
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Softs
45.00%
Energy
33.00%
Grains
10.00%
Precious Metals
5.00%
Livestock
3.00%
Currency Futures
2.00%
Interest Rates
2.00%
Composition Pie Chart

Summary

Sharp Mountain Advisors, LLC("SMA") maintains a diversified commodity portfolio through managed futures with sound risk management. Investments are made in the following commodity interest sectors: agriculture, energy, grain, meat, metal, currency, etc. The trading strategies are discretionary and apply technical and fundamental analysis for short and medium term investment. Risk analysis and management are used for individual positions as well as the entire portfolio on a daily basis. Investments focus on flat price, seasonal/calendar spreads and relative value intermarket spreads.

Risk Management

In calculating the above performance, pro forma fees have been used for only one of the managed accounts. The pro forma fee rates are 2% management fee and 20% incentive fee. SMA is also appointed advisor to Sharp Mountain Capital, LP a commodity pool.

   

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
-4.41 10 - 2/1/2014 12/1/2014
-3.27 3 2 8/1/2012 11/1/2012
-2.79 3 2 1/1/0001 10/1/2011
-2.45 1 1 2/1/2013 3/1/2013
-1.13 2 1 11/1/2013 1/1/2014
-0.74 1 1 4/1/2012 5/1/2012
-0.43 2 1 8/1/2013 10/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
20.82 6 11/1/2011 4/1/2012
13.84 5 4/1/2013 8/1/2013
6.66 3 12/1/2012 2/1/2013
4.94 3 6/1/2012 8/1/2012
2.22 1 8/1/2014 8/1/2014
1.18 1 2/1/2014 2/1/2014
0.91 1 11/1/2013 11/1/2013
0.15 1 1/1/2015 1/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.82 5 3/1/2014 7/1/2014
-3.27 3 9/1/2012 11/1/2012
-2.79 3 8/1/2011 10/1/2011
-2.77 4 9/1/2014 12/1/2014
-2.45 1 3/1/2013 3/1/2013
-1.13 2 12/1/2013 1/1/2014
-0.74 1 5/1/2012 5/1/2012
-0.43 2 9/1/2013 10/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable50.0065.0067.5777.4292.00100.00
Average Period Return0.742.485.5510.8217.6924.65
Average Gain2.304.658.8314.6319.3224.65
Average Loss-0.88-1.53-1.28-2.24-0.99
Best Period6.6914.5120.8224.1533.4943.58
Worst Period-2.45-3.27-2.68-4.02-1.489.57
Standard Deviation2.034.367.178.909.9412.85
Gain Standard Deviation1.703.916.515.998.5512.85
Loss Standard Deviation0.650.960.841.170.69
Sharpe Ratio (1%)0.320.510.701.101.631.76
Average Gain / Average Loss2.633.046.896.5219.45
Profit / Loss Ratio2.765.6414.3422.37223.66
Downside Deviation (10%)0.991.752.243.532.540.16
Downside Deviation (5%)0.791.191.111.620.72
Downside Deviation (0%)0.741.060.861.180.31
Sortino Ratio (10%)0.330.721.381.653.9892.12
Sortino Ratio (5%)0.821.884.546.0522.50
Sortino Ratio (0%)0.992.356.459.1456.55

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 3.51 4/2013
Diversified Trader Index Month 8 5.96 3/2012
Discretionary Trader Index Month 6 5.96 3/2012
Discretionary Trader Index Month 3 6.69 2/2012

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