Southport Energy Asset Management : Southport Energy Program

archived programs
Year-to-Date
N / A
Jul Performance
5.13%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.55%
Sharpe (RFR=1%)
-0.02
CAROR
0.14%
Assets
$ 1.0M
Worst DD
-19.63
S&P Correlation
-0.26

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Southport Energy Program 5.13 - - - 3.36 - - 0.32
S&P 500 1.31 - - - 35.72 - - 45.32
+/- S&P 500 3.82 - - - -32.36 - - -45.00

Strategy Description

Summary

Southport Energy Asset Management has deployed a systematic process to trade natural gas. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $3.50
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 654 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD 9.00%
Worst Peak-to-Trough 4.50%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Southport Energy Asset Management has deployed a systematic process to trade natural gas.

Investment Strategy

The North American natural gas market has abundant fundamental data where supply, demand, exports, and imports can be measured daily. That, combined with a finite amount of storage available, our systematic models yield a buy, sell, or neutral signal on a daily basis. With the overlay of weather forecasts, we project expected demand factors which influence the market. Our proprietary fundamental analysis, working alongside strict risk adjusted position sizing methods, allows Southport the ability to tailor a risk and return profile to the client’s specific needs.

Risk Management

We utilize a proprietary volatility governor which alters position sizing as volatility changes.

   

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
-19.63 11 - 12/1/2017 11/1/2018
-3.08 1 3 7/1/2017 8/1/2017
-2.96 1 3 1/1/0001 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
9.41 4 9/1/2017 12/1/2017
8.52 4 2/1/2019 5/1/2019
7.10 1 12/1/2018 12/1/2018
5.26 3 3/1/2018 5/1/2018
5.13 1 7/1/2019 7/1/2019
3.20 3 5/1/2017 7/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.47 6 6/1/2018 11/1/2018
-6.35 2 1/1/2018 2/1/2018
-3.08 1 8/1/2017 8/1/2017
-2.96 1 4/1/2017 4/1/2017
-2.24 1 1/1/2019 1/1/2019
-1.60 1 6/1/2019 6/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable57.1453.8556.5229.419.09
Average Period Return0.060.05-0.52-4.42-6.75
Average Gain2.384.105.214.910.09
Average Loss-3.02-4.66-7.97-8.31-7.43
Best Period7.108.7713.627.180.09
Worst Period-6.11-11.05-18.47-14.95-12.98
Standard Deviation3.335.538.267.173.93
Gain Standard Deviation2.082.534.262.06
Loss Standard Deviation1.794.115.814.153.38
Sharpe Ratio (1%)-0.01-0.04-0.12-0.76-2.10
Average Gain / Average Loss0.790.880.650.590.01
Profit / Loss Ratio1.051.030.850.250.00
Downside Deviation (10%)2.514.817.8211.6914.82
Downside Deviation (5%)2.324.286.668.509.06
Downside Deviation (0%)2.274.156.397.747.71
Sortino Ratio (10%)-0.14-0.24-0.38-0.81-0.97
Sortino Ratio (5%)-0.01-0.05-0.15-0.64-0.91
Sortino Ratio (0%)0.030.01-0.08-0.57-0.87

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.