Somers Brothers Capital : Diversified Futures Program #1

archived programs
Year-to-Date
N / A
Dec Performance
1.10%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.50%
Sharpe (RFR=1%)
0.41
CAROR
8.22%
Assets
$ 1.8M
Worst DD
-33.56
S&P Correlation
-0.07

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Diversified Futures Program #1 1.10 2.59 - -2.21 -27.29 11.17 32.33 179.15
S&P 500 3.43 5.21 - 18.21 28.55 85.57 80.21 136.60
+/- S&P 500 -2.33 -2.63 - -20.42 -55.84 -74.40 -47.88 42.55

Strategy Description

Summary

-The Diversified Futures Program #1 employs a proprietary model to identify trends in roughly 40 financial and commodity futures markets. Market entry and exit signals are generated by the model based on analysis of daily market data. Somers Brothers uses proprietary, multivariate... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
35.00%
1-3 Months
60.00%
1-30 Days
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

-The Diversified Futures Program #1 employs a proprietary model to identify trends in roughly 40 financial and commodity futures markets. Market entry and exit signals are generated by the model based on analysis of daily market data. Somers Brothers uses proprietary, multivariate statistical algorithms to distinguish market trends from short-term noise. The system uses its trend identification filters to generate market entry and exit signals and to determine optimal allocation of capital to each trade. Somers Brothers Capital believes there is a substantial benefit in adhering to a disciplined, systematic approach to trading. We also constantly seek to improve fund performance through exhaustive research and testing. Somers Brothers Capital believes that the cornerstone to a successful trading approach is the proper management of risk. We control risk at each step of the investment process, from establishing maximum adverse excursion at the time of entry into markets to limiting allocations on a relative basis at both the sector and individual position level.

Investment Strategy

At Somers Brothers Capital, we believe in a strictly systematic approach to trading. Our investment decisions are based on the disciplined application of computerized algorithms that process market data daily. This is rooted in our belief that non-systematic investment approaches are susceptible to emotional biases. Many money management professionals’ investment decisions are centered on predictions of future prices. These predictions, while often driven by sound research and logical judgments, can become a source of bias as the manager seeks validation of their prediction in the face of changing circumstances. This can lead to poor trading decisions, whether staying with market positions while losses mount or liquidating winning positions prematurely. At Somers Brothers Capital, decisions to enter and exit markets are driven by a mathematical model, without qualitative input from individuals. Our approach is designed to achieve long-term capital appreciation by systematically exploiting price trends among a diverse portfolio of futures markets. Long and short positions are established to benefit in both rising and declining markets. Profitable positions are maintained as long as the model determines the trend remains favorable.

Risk Management

Somers Brothers Capital believes that the cornerstone to a successful trading program is the proper management of risk. Our primary focus is on potential losses, not gains. Our methodology is based on the premise that successful identification of a trending market has the ability to generate enough very large gains to overwhelm a number of small losses. Our risk management strategy seeks to limit risk on a relative basis at both sector and individual position levels as soon as a trade is initiated. We diversify our positions using an array of approximately forty global markets in commodities, currencies and financial futures. We constantly monitor the amount of open risk in the portfolio and proactively adjust allocation when predetermined risk tolerances are exceeded.

   

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
-33.56 9 5 11/1/2006 8/1/2007
-30.84 32 - 1/1/2015 9/1/2017
-27.60 19 5 12/1/2008 7/1/2010
-23.82 26 10 9/1/2011 11/1/2013
-17.61 1 2 6/1/2008 7/1/2008
-14.27 5 3 1/1/2011 6/1/2011
-8.02 2 2 2/1/2008 4/1/2008
-7.59 1 1 9/1/2014 10/1/2014
-6.30 1 1 7/1/2005 8/1/2005
-5.21 4 1 1/1/0001 4/1/2005
-4.75 2 2 5/1/2006 7/1/2006
-2.90 1 2 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
91.79 6 9/1/2007 2/1/2008
51.80 5 9/1/2005 1/1/2006
43.97 5 8/1/2008 12/1/2008
40.38 10 12/1/2013 9/1/2014
33.17 3 8/1/2010 10/1/2010
22.54 4 8/1/2006 11/1/2006
20.99 3 11/1/2014 1/1/2015
19.39 3 3/1/2006 5/1/2006
16.94 3 7/1/2011 9/1/2011
13.47 2 2/1/2012 3/1/2012
13.42 1 4/1/2007 4/1/2007
13.07 1 11/1/2009 11/1/2009
11.93 2 12/1/2010 1/1/2011
10.61 3 5/1/2005 7/1/2005
10.27 1 7/1/2012 7/1/2012
9.24 3 4/1/2017 6/1/2017
9.09 2 5/1/2008 6/1/2008
7.72 3 7/1/2009 9/1/2009
6.46 2 6/1/2016 7/1/2016
5.84 1 3/1/2013 3/1/2013
5.52 2 3/1/2010 4/1/2010
5.13 3 10/1/2017 12/1/2017
5.06 1 9/1/2016 9/1/2016
4.41 1 5/1/2009 5/1/2009
3.93 1 5/1/2013 5/1/2013
2.90 1 6/1/2007 6/1/2007
2.85 1 8/1/2013 8/1/2013
2.60 1 4/1/2016 4/1/2016
2.56 1 9/1/2015 9/1/2015
2.02 2 11/1/2016 12/1/2016
2.01 1 3/1/2015 3/1/2015
1.86 1 11/1/2015 11/1/2015
1.60 1 1/1/2007 1/1/2007
1.37 1 6/1/2010 6/1/2010
0.98 2 1/1/2016 2/1/2016
0.98 1 2/1/2017 2/1/2017
0.77 2 5/1/2015 6/1/2015
0.71 1 4/1/2011 4/1/2011
0.65 1 11/1/2012 11/1/2012
0.45 1 1/1/2013 1/1/2013
0.18 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.50 2 7/1/2007 8/1/2007
-21.25 3 12/1/2009 2/1/2010
-17.61 1 7/1/2008 7/1/2008
-17.48 3 8/1/2012 10/1/2012
-13.17 4 1/1/2009 4/1/2009
-12.40 3 4/1/2012 6/1/2012
-11.66 1 5/1/2010 5/1/2010
-11.41 3 7/1/2017 9/1/2017
-10.97 1 10/1/2011 10/1/2011
-10.89 2 2/1/2007 3/1/2007
-8.02 2 3/1/2008 4/1/2008
-7.77 2 5/1/2011 6/1/2011
-7.70 2 2/1/2011 3/1/2011
-7.59 1 10/1/2014 10/1/2014
-7.44 2 6/1/2013 7/1/2013
-7.00 1 6/1/2009 6/1/2009
-6.95 1 2/1/2015 2/1/2015
-6.76 1 5/1/2016 5/1/2016
-6.51 1 8/1/2016 8/1/2016
-6.30 1 8/1/2005 8/1/2005
-6.09 1 10/1/2016 10/1/2016
-6.05 1 3/1/2016 3/1/2016
-5.21 4 1/1/2005 4/1/2005
-5.12 1 4/1/2015 4/1/2015
-4.90 1 5/1/2007 5/1/2007
-4.86 1 12/1/2006 12/1/2006
-4.85 1 10/1/2015 10/1/2015
-4.81 1 3/1/2017 3/1/2017
-4.75 2 6/1/2006 7/1/2006
-4.44 3 9/1/2013 11/1/2013
-4.33 2 7/1/2015 8/1/2015
-3.64 1 10/1/2009 10/1/2009
-3.02 1 11/1/2010 11/1/2010
-2.90 1 2/1/2006 2/1/2006
-2.84 1 1/1/2017 1/1/2017
-2.70 2 12/1/2011 1/1/2012
-2.49 1 12/1/2015 12/1/2015
-1.68 1 7/1/2010 7/1/2010
-1.48 1 12/1/2012 12/1/2012
-1.40 1 4/1/2013 4/1/2013
-1.26 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods156.00154.00151.00145.00139.00133.00121.00109.0097.00
Percent Profitable57.6949.3552.3253.1058.9967.6780.9985.3282.47
Average Period Return0.892.755.6811.4716.2019.8531.6840.1642.97
Average Gain5.0311.9018.1230.4636.1235.9441.8048.6653.83
Average Loss-4.76-6.18-7.97-10.04-12.45-13.84-11.41-9.21-8.14
Best Period24.6059.0491.7984.48117.87107.96162.64206.06168.49
Worst Period-27.70-28.48-28.61-21.79-26.36-25.65-24.65-19.23-19.03
Standard Deviation6.7812.6718.7326.5332.0732.6744.3554.5550.68
Gain Standard Deviation5.0311.3417.7822.9627.3227.4743.3154.6949.32
Loss Standard Deviation4.355.525.775.536.266.237.655.955.85
Sharpe Ratio (1%)0.120.200.280.390.460.550.650.660.75
Average Gain / Average Loss1.061.932.273.032.902.603.665.286.61
Profit / Loss Ratio1.441.882.493.434.175.4315.6130.7031.12
Downside Deviation (10%)4.386.568.2410.9913.4814.3313.1114.0318.99
Downside Deviation (5%)4.226.017.068.459.789.677.105.556.12
Downside Deviation (0%)4.185.886.787.848.918.615.954.164.15
Sortino Ratio (10%)0.110.230.390.590.640.671.211.330.81
Sortino Ratio (5%)0.190.420.731.241.501.844.046.506.19
Sortino Ratio (0%)0.210.470.841.461.822.305.339.6510.34

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 0.49 6/2015
IASG CTA Index Month 9 8.62 6/2014
Trend Following Strategy Index Month 5 8.62 6/2014
Diversified Trader Index Month 5 8.62 6/2014
Systematic Trader Index Month 8 8.62 6/2014
Trend Following Strategy Index Month 9 3.36 3/2014
Trend Following Strategy Index Month 9 5.84 3/2013
IASG CTA Index Month 10 5.84 3/2013
Systematic Trader Index Month 10 5.84 3/2013
Diversified Trader Index Month 7 5.84 3/2013
Trend Following Strategy Index Month 10 3.73 3/2012
Diversified Trader Index Month 8 9.39 2/2012
IASG CTA Index Month 8 9.39 2/2012
Trend Following Strategy Index Month 7 9.39 2/2012
Systematic Trader Index Month 7 9.39 2/2012
Trend Following Strategy Index Month 9 14.18 10/2010
IASG CTA Index Month 3 15.01 9/2008
Trend Following Strategy Index Month 3 15.01 9/2008
Systematic Trader Index Month 3 15.01 9/2008
Diversified Trader Index Month 3 15.01 9/2008
IASG CTA Index Month 4 24.60 1/2008
Systematic Trader Index Month 4 24.60 1/2008
Diversified Trader Index Month 4 24.60 1/2008
Trend Following Strategy Index Month 3 24.60 1/2008
IASG CTA Index Month 8 13.74 10/2007
Trend Following Strategy Index Month 8 13.74 10/2007
Diversified Trader Index Month 7 13.74 10/2007
Systematic Trader Index Month 8 13.74 10/2007
Trend Following Strategy Index Month 6 13.42 4/2007
Systematic Trader Index Month 9 13.42 4/2007
Diversified Trader Index Month 9 13.42 4/2007
IASG CTA Index Month 10 13.42 4/2007
IASG CTA Index Year Rolling 7 39.68 2005 - 2006
Trend Following Strategy Index Month 7 8.84 10/2006
Systematic Trader Index Month 8 8.84 10/2006
Diversified Trader Index Month 10 8.84 10/2006
Trend Following Strategy Index Month 5 5.90 5/2006
IASG CTA Index Month 7 5.90 5/2006
Systematic Trader Index Month 6 5.90 5/2006
Diversified Trader Index Month 6 5.90 5/2006
IASG CTA Index Year Rolling 7 37.45 2004 - 2005
IASG CTA Index Month 1 19.70 11/2005
Trend Following Strategy Index Month 1 19.70 11/2005
Systematic Trader Index Month 1 19.70 11/2005
Diversified Trader Index Month 1 19.70 11/2005
Diversified Trader Index Month 10 2.60 10/2005
Diversified Trader Index Month 6 10.60 9/2005
Trend Following Strategy Index Month 5 10.60 9/2005
Systematic Trader Index Month 5 10.60 9/2005
IASG CTA Index Month 6 10.60 9/2005
Trend Following Strategy Index Month 5 0.00 1/2005

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.