Skibo Asset Management : Bond and Currency Program

archived programs
Year-to-Date
N / A
Jul Performance
0.84%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
6.65%
Sharpe (RFR=1%)
-0.03
CAROR
0.59%
Assets
$ 100k
Worst DD
-10.06
S&P Correlation
0.13

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Bond and Currency Program 0.84 - - - - - - 1.43
S&P 500 -0.99 - - - - - - 170.62
+/- S&P 500 1.83 - - - - - - -169.19

Strategy Description

Summary

-The Skibo Bond and Currency Program is a technical and mechanical trading strategy designed to capture short and long-term trends by employing a multi-system approach that blends both trend following methodologies together with pattern recognition. The Program is committed to adhere... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The Skibo Bond and Currency Program is a technical and mechanical trading strategy designed to capture short and long-term trends by employing a multi-system approach that blends both trend following methodologies together with pattern recognition. The Program is committed to adhere to strict money management and risk control procedures. Each commodity traded has its own specific entry, exit, and stop points and is updated daily. Commodities Traded: Treasury Bonds Dollar Index Japanese Yen British Pound Euro Currency Swiss Franc Australian Dollar

   

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
-10.06 10 7 12/1/2006 10/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
11.01 4 4/1/2008 7/1/2008
3.43 4 11/1/2007 2/1/2008
0.15 1 5/1/2007 5/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.96 5 6/1/2007 10/1/2007
-4.51 16 1/1/2006 4/1/2007
-1.78 1 3/1/2008 3/1/2008
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0029.0026.0020.0014.00
Percent Profitable31.0324.1419.2320.0021.43
Average Period Return0.070.14-0.44-3.13-5.55
Average Gain1.594.677.996.581.01
Average Loss-1.38-2.39-3.68-5.93-7.34
Best Period8.4610.0910.279.242.04
Worst Period-2.91-5.10-7.15-10.06-10.06
Standard Deviation1.923.395.095.764.11
Gain Standard Deviation2.623.674.022.620.90
Loss Standard Deviation1.031.382.492.732.32
Sharpe Ratio (1%)-0.01-0.03-0.19-0.72-1.72
Average Gain / Average Loss1.151.952.171.110.14
Profit / Loss Ratio1.151.140.780.300.04
Downside Deviation (10%)1.162.595.029.8113.72
Downside Deviation (5%)0.981.913.546.438.09
Downside Deviation (0%)0.941.763.225.626.79
Sortino Ratio (10%)-0.29-0.42-0.58-0.83-0.96
Sortino Ratio (5%)-0.02-0.06-0.27-0.64-0.87
Sortino Ratio (0%)0.070.08-0.14-0.56-0.82

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.