Snowbridge Asset Management LLC : Projective Trend Program

archived programs
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

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 Since
4/2010
Projective Trend Program -2.70 - - - - - 10.94 10.62
S&P 500 3.13 - - - - - 22.73 191.92
+/- S&P 500 -5.83 - - - - - -11.80 -181.29

Strategy Description

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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 Strategy

Two 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.

   

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:
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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Average Loss:
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Sharpe Ratio: (RF=1%)
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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
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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
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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
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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.