Snowbridge Asset Management LLC : Projective Trend Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -2.70% Min Investment $ 3,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 10.93% Sharpe (RFR=1%) 0.42 CAROR 5.18% Assets $ 6.8M Worst DD -6.65 S&P Correlation 0.15 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since4/2010 Projective Trend Program -2.70 - - - - - -2.16 10.62 S&P 500 3.13 - - - - - 22.73 242.08 +/- S&P 500 -5.83 - - - - - -24.90 -231.46 Strategy Description SummaryThe Projective Trend Program is designed to produce consistent annual returns by capturing medium-term trends in global futures markets while tightly controlling portfolio volatility. We have developed innovative and intuitive methods to dampen downside risk and volatility while preserving... Read More Account & Fees Type Managed Account Minimum Investment $ 3,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 5.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 550 RT/YR/$M Avg. Margin-to-Equity 9% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency Futures 20.00% Interest Rates 20.00% Stock Indices 20.00% Softs 10.00% Precious Metals 9.00% Energy 8.00% Grains 7.00% Industrial Metals 3.00% Livestock 3.00% SummaryThe Projective Trend Program is designed to produce consistent annual returns by capturing medium-term trends in global futures markets while tightly controlling portfolio volatility. We have developed innovative and intuitive methods to dampen downside risk and volatility while preserving long-term average annual returns. All aspects of the program are 100% systematic and are designed to provide the broad benefits of Managed Futures products.Investment StrategyTwo models have been developed to separately identify trends and forecast returns in a single market. Both models are designed to be adaptive, allowing the significance of recent market moves to vary, and drive the initial decision whether to be long, short, or flat a given market. These models are uniformly applied to a diverse set of over 50 liquid futures markets across 5 broad sectors in 3 global regions. Daily bottom-up risk management begins with individual position sizing based on underlying market volatility and recent model performance. Protective stop losses at the individual market level are also used. All individually-managed positions are combined into a portfolio through our portfolio construction process which stresses diversification. A final layer of top-down global risk management is then applied which can aggressively increase or decrease leverage across the portfolio as a whole. These three components, directionality models, portfolio construction and risk management, combine together to form the Projective Trend Program. 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 -6.65 2 - 4/1/2011 6/1/2011 -6.34 3 2 4/1/2010 7/1/2010 -1.56 1 1 2/1/2011 3/1/2011 -0.25 1 1 10/1/2010 11/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.86 3 8/1/2010 10/1/2010 7.02 2 7/1/2011 8/1/2011 4.29 1 4/1/2011 4/1/2011 2.83 3 12/1/2010 2/1/2011 1.28 1 12/1/2011 12/1/2011 1.17 1 2/1/2012 2/1/2012 0.58 1 4/1/2010 4/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.65 2 5/1/2011 6/1/2011 -6.34 3 5/1/2010 7/1/2010 -5.00 3 9/1/2011 11/1/2011 -2.70 1 3/1/2012 3/1/2012 -1.56 1 3/1/2011 3/1/2011 -0.86 1 1/1/2012 1/1/2012 -0.25 1 11/1/2010 11/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods24.0022.0019.0013.007.00 Percent Profitable50.0050.0068.4276.92100.00 Average Period Return0.471.824.708.5014.05 Average Gain2.916.198.4811.4714.05 Average Loss-1.97-2.55-3.50-1.40 Best Period6.7618.8620.5224.7519.29 Worst Period-3.44-6.34-4.66-2.164.41 Standard Deviation3.156.007.799.304.81 Gain Standard Deviation2.615.446.448.534.81 Loss Standard Deviation0.991.981.090.66 Sharpe Ratio (1%)0.120.260.540.812.61 Average Gain / Average Loss1.472.432.428.19 Profit / Loss Ratio1.472.435.2527.30 Downside Deviation (10%)1.812.983.403.781.20 Downside Deviation (5%)1.602.392.321.23 Downside Deviation (0%)1.552.242.040.72 Sortino Ratio (10%)0.030.200.650.935.36 Sortino Ratio (5%)0.240.661.816.10 Sortino Ratio (0%)0.300.812.3011.79 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