Sophic Associates, LLC : Sophic Macro Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -0.08% Min Investment $ 250k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 7.44% Sharpe (RFR=1%) 0.00 CAROR 0.76% Assets $ 1.0M Worst DD -10.71 S&P Correlation 0.05 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 Since1/2013 Sophic Macro -0.08 -0.08 - -2.82 14.55 - - 3.25 S&P 500 -0.04 5.53 - 14.71 26.19 - - 59.15 +/- S&P 500 -0.04 -5.61 - -17.53 -11.64 - - -55.90 Strategy Description SummarySophic aims to provide superior risk adjusted absolute returns in all market environments. It does this by melding technical and fundamental analysis with an objective psychological overlay and strong respect for risk management. The following acronym was developed to describe... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Currency Futures 20.00% Precious Metals 15.00% Energy 15.00% Grains 15.00% Interest Rates 15.00% Stock Indices 15.00% Softs 5.00% SummarySophic aims to provide superior risk adjusted absolute returns in all market environments. It does this by melding technical and fundamental analysis with an objective psychological overlay and strong respect for risk management. The following acronym was developed to describe our investment system, D.A.M.P.: Defense First Advanced Signals Market Conditions Psychological Analysis We seek to generate alpha by adhering to the above four core beliefs. These tenets are designed to successfully identify trends, remove emotions from the decision making process, and profit in both bull and bear markets. 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 -10.71 16 6 1/1/2013 5/1/2014 -6.61 7 7 11/1/2014 6/1/2015 -4.73 13 - 2/1/2016 3/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 12.48 3 12/1/2015 2/1/2016 10.28 4 6/1/2014 9/1/2014 3.37 1 10/1/2013 10/1/2013 3.28 1 11/1/2014 11/1/2014 2.76 1 10/1/2015 10/1/2015 2.71 1 2/1/2014 2/1/2014 1.51 1 7/1/2015 7/1/2015 1.17 1 4/1/2013 4/1/2013 1.02 2 1/1/2015 2/1/2015 0.94 1 1/1/2013 1/1/2013 0.08 1 4/1/2015 4/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.50 5 5/1/2013 9/1/2013 -5.61 3 3/1/2014 5/1/2014 -5.46 2 5/1/2015 6/1/2015 -4.73 13 3/1/2016 3/1/2017 -4.67 3 11/1/2013 1/1/2014 -1.65 1 10/1/2014 10/1/2014 -1.40 1 11/1/2015 11/1/2015 -1.20 1 12/1/2014 12/1/2014 -1.20 2 2/1/2013 3/1/2013 -1.10 1 3/1/2015 3/1/2015 -0.65 2 8/1/2015 9/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods51.0049.0046.0040.0034.0028.0016.00 Percent Profitable33.3336.7339.1360.0082.3575.0093.75 Average Period Return0.080.280.712.334.365.398.41 Average Gain2.294.016.787.316.267.839.07 Average Loss-1.02-1.89-3.19-5.15-4.50-1.94-1.46 Best Period7.4712.4813.8812.5916.8117.8813.56 Worst Period-3.05-5.61-6.47-10.37-10.19-5.22-1.46 Standard Deviation2.154.055.886.825.726.983.72 Gain Standard Deviation2.174.064.662.833.906.302.72 Loss Standard Deviation0.961.921.913.054.381.88 Sharpe Ratio (1%)0.000.010.040.190.500.481.45 Average Gain / Average Loss2.252.122.131.421.394.046.20 Profit / Loss Ratio1.131.231.372.136.4912.1293.00 Downside Deviation (10%)1.402.924.686.746.187.908.18 Downside Deviation (5%)1.192.273.234.313.042.251.12 Downside Deviation (0%)1.142.122.893.752.531.300.37 Sortino Ratio (10%)-0.23-0.33-0.37-0.40-0.52-0.61-0.90 Sortino Ratio (5%)0.000.010.070.310.941.504.79 Sortino Ratio (0%)0.070.130.250.621.724.1423.00 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