Skibo Asset Management : Diversified Program

archived programs
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

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
Diversified Program -1.66 - - - - - - -1.68
S&P 500 -0.99 - - - - - - 170.62
+/- S&P 500 -0.67 - - - - - - -172.29

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

   

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
-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
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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
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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
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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.