Sparta Administradora de Recursos Ltda. : Sparta Anti-Cíclico Fundo de Investimento Multimercado

archived programs
Year-to-Date
N / A
Aug Performance
9.15%
Min Investment
$ 10k
Mgmt. Fee
4.00%
Perf. Fee
20.00%
Annualized Vol
41.25%
Sharpe (RFR=1%)
0.83
CAROR
31.17%
Assets
$ 9.8M
Worst DD
-38.63
S&P Correlation
0.10

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2005
Sparta Anti-Cíclico Fundo de Investimento Multimercado 9.15 - - - - - 4.25 553.07
S&P 500 1.98 - - - - - 53.52 187.00
+/- S&P 500 7.17 - - - - - -49.27 366.07

Strategy Description

Summary

The fund employs fundamental analysis to create scenarios for each of the markets it invests, maximizing perceived upside/risk ratio. It trades commodities, stock indexes, currency and interest rates, mainly in Brazil, but also in US exchange-listed derivatives. The fund keeps in its... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 5k
CTA Max Funding Factor
Management Fee 4.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

The fund employs fundamental analysis to create scenarios for each of the markets it invests, maximizing perceived upside/risk ratio. It trades commodities, stock indexes, currency and interest rates, mainly in Brazil, but also in US exchange-listed derivatives. The fund keeps in its portfolio at least 67% of Ibovespa-listed stocks, which can be hedged with derivatives. The leverage is controlled through risk controls (such as VaR and Stress Testing), and since it offers daily liquidity, positions are based in liquid instruments. The fund is regulated by Brazilian SEC-equivalent (CVM). Returns in USD. Official currency is BRL.Minimum initial investment : BRL 10,000.

   

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
-38.63 2 2 11/1/2007 1/1/2008
-34.58 6 - 3/1/2011 9/1/2011
-29.84 6 9 12/1/2009 6/1/2010
-22.01 3 14 6/1/2008 9/1/2008
-10.66 1 1 7/1/2006 8/1/2006
-9.70 1 2 10/1/2005 11/1/2005
-8.75 3 2 2/1/2006 5/1/2006
-5.79 1 1 7/1/2007 8/1/2007
-4.27 1 3 12/1/2006 1/1/2007
-3.72 1 2 9/1/2006 10/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
177.29 5 2/1/2008 6/1/2008
77.56 3 9/1/2007 11/1/2007
64.92 4 4/1/2007 7/1/2007
33.73 1 10/1/2005 10/1/2005
28.14 4 9/1/2009 12/1/2009
26.86 4 9/1/2010 12/1/2010
20.74 3 12/1/2005 2/1/2006
15.79 2 6/1/2006 7/1/2006
15.63 5 12/1/2011 4/1/2012
14.89 3 1/1/2009 3/1/2009
14.19 1 9/1/2006 9/1/2006
11.85 1 10/1/2011 10/1/2011
11.73 1 7/1/2010 7/1/2010
10.37 2 7/1/2012 8/1/2012
8.29 1 10/1/2008 10/1/2008
8.18 2 11/1/2006 12/1/2006
4.40 1 3/1/2011 3/1/2011
4.30 1 2/1/2007 2/1/2007
2.19 1 2/1/2010 2/1/2010
0.73 1 7/1/2009 7/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.63 2 12/1/2007 1/1/2008
-34.58 6 4/1/2011 9/1/2011
-27.51 4 3/1/2010 6/1/2010
-22.01 3 7/1/2008 9/1/2008
-12.96 2 5/1/2012 6/1/2012
-10.96 3 4/1/2009 6/1/2009
-10.66 1 8/1/2006 8/1/2006
-9.70 1 11/1/2005 11/1/2005
-8.75 3 3/1/2006 5/1/2006
-5.79 1 8/1/2007 8/1/2007
-5.29 1 1/1/2010 1/1/2010
-4.27 1 1/1/2007 1/1/2007
-3.72 1 10/1/2006 10/1/2006
-2.85 2 11/1/2008 12/1/2008
-2.07 2 1/1/2011 2/1/2011
-1.49 1 8/1/2010 8/1/2010
-1.37 1 3/1/2007 3/1/2007
-1.12 1 11/1/2011 11/1/2011
-1.05 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00
Percent Profitable55.4266.6771.7968.0672.7376.6772.9291.67
Average Period Return2.938.1817.1140.2574.71116.39185.06259.39
Average Gain10.0317.6429.4164.12107.57155.87255.69284.03
Average Loss-5.90-10.74-14.21-10.60-12.89-13.35-5.10-11.66
Best Period60.4798.84133.56210.72362.34435.37490.23600.27
Worst Period-34.85-26.03-34.58-24.78-29.56-26.32-9.94-21.81
Standard Deviation11.9121.5132.1063.46101.43134.06173.46186.14
Gain Standard Deviation10.5719.7729.2664.07100.77129.27150.43174.29
Loss Standard Deviation6.238.3410.218.179.538.982.778.80
Sharpe Ratio (1%)0.240.370.520.620.720.851.051.37
Average Gain / Average Loss1.701.642.076.058.3411.6850.1524.35
Profit / Loss Ratio2.123.295.2712.8822.2538.37135.01267.89
Downside Deviation (10%)5.888.3710.329.9311.7512.2811.3010.07
Downside Deviation (5%)5.727.919.447.968.948.524.464.99
Downside Deviation (0%)5.697.799.227.508.297.682.993.95
Sortino Ratio (10%)0.430.831.423.555.718.6414.9823.62
Sortino Ratio (5%)0.501.001.764.938.1913.4340.7951.16
Sortino Ratio (0%)0.521.051.865.369.0115.1561.8465.59

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.