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Sophic Associates, LLC : Sophic Macro

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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
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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
1/2013
Sophic Macro -0.08 - - - - -3.92 - 3.25
S&P 500 -0.04 - - - - 67.75 - 171.01
+/- S&P 500 -0.04 - - - - -71.67 - -167.76

Strategy Description

Summary

Sophic 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%
Composition Pie Chart

Summary

Sophic 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.

   

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

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
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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
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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.

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