Skibo Asset Management : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -1.66% Min Investment $ 150k Mgmt. Fee 0% Perf. Fee 0% Annualized Vol 8.75% Sharpe (RFR=1%) -0.15 CAROR -0.65% Assets $ 150k Worst DD -13.33 S&P Correlation 0.26 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since1/2006 Diversified Program -1.66 - - - - - - -1.68 S&P 500 -0.99 - - - - - - 190.39 +/- S&P 500 -0.67 - - - - - - -192.07 Strategy Description Summary-The Skibo Diversified Program is a technical and mechanical trading strategy designed to capture long-term and short-term trends in treasury bonds, grains, metals, currencies, food and fiber by employing a multi-system approach that blends short and long-term trend following methodologies... Read More Account & Fees Type Managed Account Minimum Investment $ 150k 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 Diversified Program is a technical and mechanical trading strategy designed to capture long-term and short-term trends in treasury bonds, grains, metals, currencies, food and fiber by employing a multi-system approach that blends short and long-term trend following methodologies together with pattern recognition. The Program is committed to adhere to strict money management and risk control procedures. Each trade has its own specific entry, exit, and stop points and is updated both daily and intra-day. Commodiities Traded: Treasury Bonds Grains Metals Currencies Food & Fibers Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -13.33 18 - 1/1/2007 7/1/2008 -1.83 2 2 8/1/2006 10/1/2006 -1.39 1 2 2/1/2006 3/1/2006 -1.10 1 1 6/1/2006 7/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 6.71 3 11/1/2006 1/1/2007 5.85 2 11/1/2007 12/1/2007 5.20 2 3/1/2008 4/1/2008 4.63 2 1/1/2006 2/1/2006 3.87 3 4/1/2006 6/1/2006 2.88 2 5/1/2007 6/1/2007 2.17 1 8/1/2006 8/1/2006 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.06 2 1/1/2008 2/1/2008 -7.32 3 5/1/2008 7/1/2008 -5.32 4 7/1/2007 10/1/2007 -4.14 3 2/1/2007 4/1/2007 -1.83 2 9/1/2006 10/1/2006 -1.39 1 3/1/2006 3/1/2006 -1.10 1 7/1/2006 7/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods31.0029.0026.0020.0014.00 Percent Profitable48.3958.6261.5460.0057.14 Average Period Return-0.02-0.14-0.260.290.09 Average Gain2.072.392.975.075.31 Average Loss-1.98-3.72-5.43-6.89-6.87 Best Period5.416.717.1711.8711.88 Worst Period-6.43-9.68-10.84-10.63-13.33 Standard Deviation2.533.894.907.097.29 Gain Standard Deviation1.441.682.203.853.27 Loss Standard Deviation1.543.253.253.894.63 Sharpe Ratio (1%)-0.04-0.10-0.15-0.10-0.19 Average Gain / Average Loss1.040.640.550.740.77 Profit / Loss Ratio0.980.910.881.101.03 Downside Deviation (10%)2.023.775.338.0710.21 Downside Deviation (5%)1.833.244.155.506.14 Downside Deviation (0%)1.783.123.874.935.28 Sortino Ratio (10%)-0.21-0.36-0.51-0.58-0.73 Sortino Ratio (5%)-0.06-0.12-0.18-0.13-0.23 Sortino Ratio (0%)-0.01-0.04-0.070.060.02 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. x {{title}} x {{title}} Add Cancel