Silverback Managed Futures PA LLC : SilverBack Managed Futures

archived programsClosed to new investments
Year-to-Date
N / A
Sep Performance
23.24%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
44.71%
Sharpe (RFR=1%)
0.40
CAROR
10.86%
Assets
$ 230k
Worst DD
-39.91
S&P Correlation
-0.36

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
5/2009
SilverBack Managed Futures 23.24 - - - - - 60.92 28.30
S&P 500 -7.18 - - - - - 8.68 289.95
+/- S&P 500 30.42 - - - - - 52.24 -261.65

Strategy Description

Summary

SilverBack Managed Futures objective is to produce appreciation of the client's assets through the speculative trading of commodity futures contracts and options on commodity futures contracts, using both long and short strategies (the SilverBack Managed Futures PA LLC System). The... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 15k
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
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 11000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

SilverBack Managed Futures objective is to produce appreciation of the client's assets through the speculative trading of commodity futures contracts and options on commodity futures contracts, using both long and short strategies (the SilverBack Managed Futures PA LLC System). The majority of the activities will be engaged in daily directional trend strategies which entail the purchase and sale future contracts during the day in order to profit from a perceived market movement. Currently, the CTA limits its trading to U.S. domestic futures markets. It reserves the right to trade in International Futures Markets in the future. Specifically, the product currently traded is the S&P 500 emini futures.

   

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
-39.91 23 5 5/1/2009 4/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
51.24 2 8/1/2011 9/1/2011
49.22 2 5/1/2011 6/1/2011
23.97 3 5/1/2010 7/1/2010
16.38 1 10/1/2009 10/1/2009
6.85 2 1/1/2010 2/1/2010
6.43 1 12/1/2010 12/1/2010
5.68 1 5/1/2009 5/1/2009
0.23 1 10/1/2010 10/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.84 4 6/1/2009 9/1/2009
-25.16 4 1/1/2011 4/1/2011
-18.32 2 11/1/2009 12/1/2009
-10.48 1 7/1/2011 7/1/2011
-8.87 2 3/1/2010 4/1/2010
-3.63 1 11/1/2010 11/1/2010
-1.58 2 8/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable44.8340.7454.1755.5641.67
Average Period Return1.592.322.113.865.89
Average Gain11.6721.4517.7218.4134.83
Average Loss-7.04-10.84-16.33-14.32-14.79
Best Period43.5957.7584.9455.4472.83
Worst Period-16.25-30.75-28.97-35.29-25.34
Standard Deviation12.9120.9524.0522.1130.24
Gain Standard Deviation12.4218.1521.6815.6624.97
Loss Standard Deviation5.159.378.6713.867.96
Sharpe Ratio (1%)0.120.100.070.130.14
Average Gain / Average Loss1.661.981.091.282.36
Profit / Loss Ratio1.441.361.281.611.68
Downside Deviation (10%)6.4511.6213.9115.5418.00
Downside Deviation (5%)6.2511.0312.6913.3813.66
Downside Deviation (0%)6.2010.8812.3912.8812.62
Sortino Ratio (10%)0.180.09-0.03-0.07-0.09
Sortino Ratio (5%)0.240.190.130.210.32
Sortino Ratio (0%)0.260.210.170.300.47

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.