Silver Tide Management : Systematic Global Macro

archived programs
Year-to-Date
N / A
Sep Performance
0.81%
Min Investment
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.60%
Sharpe (RFR=1%)
0.90
CAROR
-
Assets
$ 2.5M
Worst DD
-7.84
S&P Correlation
-0.58

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
12/2014
Systematic Global Macro 0.81 - - - - 0.81 - 13.73
S&P 500 -2.64 - - - - 68.22 - 68.28
+/- S&P 500 3.45 - - - - -67.41 - -54.55

Strategy Description

Summary

The Silver Tide strategy is the product of our cumulative experiences as portfolio manager, risk manager, execution trader, researcher, product developer, and software developer prior to founding our firm. It is specifically built on an extensive knowledge of market structures and... Read More

Account & Fees

Type Managed Account
Minimum Investment
Trading Level Incremental Increase $ 5,000k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.50
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -15.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Momentum
40.00%
Pattern Recognition
40.00%
Strategy Pie Chart

Composition

Stock Indices
35.00%
Currency FX
25.00%
Interest Rates
20.00%
Energy
15.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The Silver Tide strategy is the product of our cumulative experiences as portfolio manager, risk manager, execution trader, researcher, product developer, and software developer prior to founding our firm. It is specifically built on an extensive knowledge of market structures and trading inefficiencies through an empirical evaluation of these disciplines.

Investment Strategy

The Silver Tide Management investment strategy is based on the belief that markets are driven by waves of capital flow, the Silver Tide, and that these flows are the primary determinant of price action. Rather than fight these flows, our models identify the points of least resistance, where flows intensify, and the points of greatest resistance, where these flows abate.

Risk Management

The firm uses a systematic risk allocation model which de-allocates to unsuccessful models based on criteria most predictive of future returns. Silver Tide does not use its own discretion to remove models from the portfolio or change their allocation. It is a 100% systemic and formulaic process. Each model within the portfolio contains its own risk management parameters which guide its risk allocation. The portfolio allocation changes once per month and the risk allocation adjusts according to a criteria which predicts which elements are most predictive of future results. Models which best fit that criteria can see its allocation incrementally increased. Models which least fit that criteria can see its allocation incrementally reduced. The assumption is that the current portfolio is already very good and thusly, we are trying to improve the portfolio by making small changes each month.

   

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
-7.84 3 1 4/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
15.34 2 8/1/2015 9/1/2015
6.99 5 12/1/2014 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.84 3 5/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable70.0062.50
Average Period Return1.402.39
Average Gain3.156.62
Average Loss-2.67-4.65
Best Period14.4113.93
Worst Period-5.00-7.84
Standard Deviation5.087.09
Gain Standard Deviation5.054.50
Loss Standard Deviation2.044.02
Sharpe Ratio (1%)0.260.30
Average Gain / Average Loss1.181.42
Profit / Loss Ratio2.752.37
Downside Deviation (10%)1.924.12
Downside Deviation (5%)1.763.61
Downside Deviation (0%)1.723.49
Sortino Ratio (10%)0.520.28
Sortino Ratio (5%)0.750.59
Sortino Ratio (0%)0.810.69

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.