Southwest Managed Investments, LLC : Global Diversified

Year-to-Date
11.17%
Jan Performance
-11.17%
Min Investment
$ 200k
Mgmt. Fee
1.80%
Perf. Fee
20.00%
Annualized Vol
22.51%
Sharpe (RFR=1%)
0.31
CAROR
5.92%
Assets
$ 8.9M
Worst DD
-32.79
S&P Correlation
-0.15

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2002
Global Diversified -11.17 -10.72 -11.17 -7.77 42.66 43.03 112.90 138.06
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 101.60
+/- S&P 500 -12.96 -17.90 -12.96 -25.22 14.82 -30.61 54.47 36.46

Strategy Description

Summary

SWMI currently offers one trading program: the Global Diversified Program. Additional leverage is garnered by taking exposure to multiple units of the Global Diversified Program versus a single unit of the Global Diversified Program. For example, larger capitalized clients along... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.80%
Performance Fee
20.00%
Average Commission
$50.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1305 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
11.65%
Worst Peak-to-Trough
-32.79%
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
1.00%
Systematic
99.00%

Strategy

Pattern Recognition
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
22.00%
Softs
15.00%
Grains
11.00%
Energy
11.00%
Industrial Metals
7.00%
Precious Metals
7.00%
Livestock
4.00%
Other
1.00%
Composition Pie Chart

Summary

SWMI currently offers one trading program: the Global Diversified Program. Additional leverage is garnered by taking exposure to multiple units of the Global Diversified Program versus a single unit of the Global Diversified Program. For example, larger capitalized clients along with institutional investors may elect to invest in five unit increments, whereby the Global Diversified Program’s leverage is five (5) times that of a single unit of the Global Diversified Program. History In 1999 Mr. Batla decided to study different time frames as it related to trend following along with volatility and risk reward studies. Upon completion of the research and development of the initial trading system, trading began in September 1999, with some modifications and optimization taking place during this period. Beginning in January 2002, the optimize version of the initial system continued trading investor funds to present. In June 2003, minor changes were made to the system to make it less responsive to short term fluctuations. Also, in an attempt to reduce overall drawdown without significantly impacting the system’s performance, weekly data began to be utilized rather than the customary daily data utilized by most trend following CTAs.

Investment Strategy

The exact nature of SWMI’s trading strategy is proprietary and confidential. The following description is of necessity general and is not intended to be all-inclusive. SWMI’s strategy is strictly technical in nature. The general trading strategy of the SWMI program is trend following. No fundamental analysis is used. The strategy is not based on analysis of supply and demand factors, general economic factors or world events. The SWMI model generates its own entry and exit signals and trades both sides of the market (long and short). The SWMI model is very long term in time-frame focus. The SWMI model attempts to locate potentially profitable performance characteristics across a wide range of markets. Approximately 27 domestic and international commodity interests may be traded. Six of these may either be long or short interest rate contracts reflecting interest rates in Europe, the US and Australia. All markets are traded with equal parameters. SWMI reserves the right to make adjustments in the exact entry or exit price the program uses, or to delay entry or exit on any order, in order to attempt to reduce the impact of slippage. The balance of the commodity interests followed are currencies, grains, metals, softs and energies. The program utilizes one long-term time-frame model. It should be noted that there will be times when there is significant correlation between markets within a market sector or between market sectors, possibly in an adverse direction to positions held in a client’s account. Clients of this program should be aware that this factor alone, although there are others, will lead to periods of extreme volatility and possibly very large drawdowns in an account's equity.

   

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
-32.79 20 11 5/1/2012 1/1/2014
-23.25 4 4 9/1/2011 1/1/2012
-18.49 4 2 3/1/2008 7/1/2008
-17.20 21 5 3/1/2004 12/1/2005
-15.90 2 - 11/1/2016 1/1/2017
-15.74 6 4 2/1/2003 8/1/2003
-15.08 16 5 12/1/2008 4/1/2010
-12.85 6 3 12/1/2010 6/1/2011
-11.78 7 2 2/1/2016 9/1/2016
-10.19 2 4 5/1/2006 7/1/2006
-10.19 9 4 11/1/2006 8/1/2007
-10.05 7 4 3/1/2015 10/1/2015
-8.33 2 2 9/1/2002 11/1/2002
-6.84 3 2 1/1/2002 4/1/2002
-4.65 1 1 10/1/2010 11/1/2010
-3.51 1 2 6/1/2002 7/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
60.58 5 8/1/2008 12/1/2008
44.73 1 5/1/2012 5/1/2012
34.28 7 9/1/2007 3/1/2008
29.29 5 11/1/2014 3/1/2015
28.16 4 6/1/2014 9/1/2014
24.83 4 12/1/2003 3/1/2004
20.89 2 9/1/2010 10/1/2010
17.79 3 7/1/2011 9/1/2011
16.63 2 4/1/2006 5/1/2006
14.99 2 10/1/2016 11/1/2016
12.81 3 12/1/2002 2/1/2003
11.80 2 10/1/2004 11/1/2004
11.66 1 6/1/2002 6/1/2002
11.38 1 2/1/2014 2/1/2014
10.95 2 1/1/2016 2/1/2016
10.31 1 5/1/2009 5/1/2009
9.04 3 3/1/2007 5/1/2007
8.77 2 9/1/2003 10/1/2003
8.39 3 5/1/2010 7/1/2010
7.55 2 2/1/2012 3/1/2012
7.14 1 11/1/2006 11/1/2006
5.99 1 7/1/2015 7/1/2015
5.76 1 12/1/2010 12/1/2010
5.74 3 5/1/2005 7/1/2005
5.58 1 11/1/2009 11/1/2009
5.18 2 8/1/2006 9/1/2006
4.53 2 11/1/2012 12/1/2012
4.35 2 8/1/2002 9/1/2002
4.21 2 1/1/2006 2/1/2006
3.88 1 11/1/2015 11/1/2015
3.81 1 6/1/2013 6/1/2013
3.34 2 6/1/2016 7/1/2016
2.97 1 9/1/2015 9/1/2015
2.64 2 4/1/2003 5/1/2003
2.35 1 7/1/2012 7/1/2012
1.83 2 7/1/2009 8/1/2009
1.77 1 4/1/2016 4/1/2016
1.66 1 4/1/2011 4/1/2011
1.57 1 11/1/2013 11/1/2013
1.55 1 11/1/2005 11/1/2005
1.08 1 7/1/2004 7/1/2004
0.87 1 1/1/2002 1/1/2002
0.65 1 2/1/2010 2/1/2010
0.43 1 2/1/2005 2/1/2005
0.24 1 3/1/2013 3/1/2013
0.23 1 7/1/2003 7/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.25 4 10/1/2011 1/1/2012
-18.49 4 4/1/2008 7/1/2008
-16.67 3 8/1/2012 10/1/2012
-15.90 2 12/1/2016 1/1/2017
-12.84 3 4/1/2004 6/1/2004
-12.18 4 7/1/2013 10/1/2013
-11.65 1 3/1/2003 3/1/2003
-11.52 4 1/1/2009 4/1/2009
-10.39 2 12/1/2009 1/1/2010
-10.19 2 6/1/2006 7/1/2006
-9.66 3 1/1/2011 3/1/2011
-9.34 3 6/1/2007 8/1/2007
-9.15 3 12/1/2006 2/1/2007
-8.41 3 4/1/2015 6/1/2015
-8.33 2 10/1/2002 11/1/2002
-8.09 3 3/1/2014 5/1/2014
-7.22 1 5/1/2016 5/1/2016
-7.11 2 9/1/2009 10/1/2009
-6.84 4 2/1/2002 5/1/2002
-6.70 2 8/1/2016 9/1/2016
-6.37 1 6/1/2003 6/1/2003
-6.27 1 6/1/2012 6/1/2012
-6.00 1 12/1/2005 12/1/2005
-5.78 2 3/1/2005 4/1/2005
-5.62 1 8/1/2015 8/1/2015
-5.28 2 12/1/2013 1/1/2014
-5.11 2 5/1/2011 6/1/2011
-5.02 2 4/1/2013 5/1/2013
-4.93 2 8/1/2004 9/1/2004
-4.65 1 10/1/2015 10/1/2015
-4.65 1 11/1/2010 11/1/2010
-4.23 1 11/1/2003 11/1/2003
-4.17 1 4/1/2012 4/1/2012
-3.98 2 12/1/2004 1/1/2005
-3.67 2 1/1/2013 2/1/2013
-3.60 3 8/1/2005 10/1/2005
-3.51 1 7/1/2002 7/1/2002
-3.18 1 12/1/2015 12/1/2015
-3.09 1 3/1/2016 3/1/2016
-2.27 1 6/1/2009 6/1/2009
-1.86 1 8/1/2010 8/1/2010
-1.80 1 10/1/2014 10/1/2014
-1.17 2 3/1/2010 4/1/2010
-0.99 1 8/1/2003 8/1/2003
-0.22 1 3/1/2006 3/1/2006
-0.10 1 10/1/2006 10/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods181.00179.00176.00170.00164.00158.00146.00134.00122.00
Percent Profitable49.7248.6056.2562.9474.3984.1884.9397.0193.44
Average Period Return0.672.184.268.4312.6617.7125.7734.7747.42
Average Gain5.0210.4412.8517.9720.1322.7731.6835.9051.15
Average Loss-3.67-5.64-6.78-7.78-9.03-9.22-7.57-1.94-5.76
Best Period44.7355.7051.6862.6262.6370.7393.5499.37113.14
Worst Period-11.65-16.67-18.62-23.37-29.94-31.19-18.01-3.60-9.70
Standard Deviation6.5011.0714.2117.9419.8921.0124.8627.2929.16
Gain Standard Deviation6.3610.2213.2015.7617.2118.6622.1326.9226.38
Loss Standard Deviation2.593.744.595.387.198.655.231.693.20
Sharpe Ratio (1%)0.090.170.260.410.560.750.911.131.45
Average Gain / Average Loss1.371.851.902.312.232.474.1818.498.88
Profit / Loss Ratio1.371.752.443.936.4813.1323.59601.04126.54
Downside Deviation (10%)3.405.606.848.489.348.9710.269.3110.56
Downside Deviation (5%)3.214.995.686.256.435.604.581.322.90
Downside Deviation (0%)3.164.845.405.745.814.983.550.421.66
Sortino Ratio (10%)0.080.170.260.400.540.830.981.421.87
Sortino Ratio (5%)0.180.390.661.191.742.804.9723.3014.62
Sortino Ratio (0%)0.210.450.791.472.183.557.2782.8128.52

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 20.12 9/2014
IASG CTA Index Month 7 20.12 9/2014
Systematic Trader Index Month 7 20.12 9/2014
Diversified Trader Index Month 7 20.12 9/2014
IASG CTA Index Month 8 11.38 2/2014
Diversified Trader Index Month 8 11.38 2/2014
Trend Following Strategy Index Month 5 11.38 2/2014
Systematic Trader Index Month 6 11.38 2/2014
IASG CTA Index Month 2 44.73 5/2012
Trend Following Strategy Index Month 2 44.73 5/2012
Systematic Trader Index Month 2 44.73 5/2012
Diversified Trader Index Month 2 44.73 5/2012
Trend Following Strategy Index Month 5 14.82 9/2010
Systematic Trader Index Month 5 14.82 9/2010
Diversified Trader Index Month 7 14.82 9/2010
IASG CTA Index Month 7 16.40 8/2008
Systematic Trader Index Month 5 16.40 8/2008
Trend Following Strategy Index Month 5 16.40 8/2008
Diversified Trader Index Month 4 16.40 8/2008
Diversified Trader Index Month 5 3.97 3/2007
Trend Following Strategy Index Month 1 3.97 3/2007
Systematic Trader Index Month 7 3.97 3/2007
IASG CTA Index Month 8 3.97 3/2007
Trend Following Strategy Index Month 10 7.14 11/2006
Systematic Trader Index Month 8 2.55 2/2006
Diversified Trader Index Month 6 2.55 2/2006
Trend Following Strategy Index Month 4 2.55 2/2006
Trend Following Strategy Index Month 4 18.80 12/2003
Systematic Trader Index Month 4 18.80 12/2003
Diversified Trader Index Month 4 18.80 12/2003
IASG CTA Index Month 4 18.80 12/2003

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