Somers Brothers Capital : Diversified Futures Program #1 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since1/2005 Diversified Futures Program #1 1.10 - - - - -14.44 -11.69 179.15 S&P 500 3.43 - - - - 85.57 80.21 229.66 +/- S&P 500 -2.33 - - - - -100.02 -91.90 -50.51 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% 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 StrategyAt 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 ManagementSomers 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. 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 -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 Show More 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 Show More 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 Show More 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 Annual 7 39.68 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 Annual 7 37.45 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. x {{title}} x {{title}} Add Cancel