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

archived programs
Year-to-Date
N / A
Aug Performance
11.45%
Min Investment
$ 10k
Mgmt. Fee
4.00%
Perf. Fee
20.00%
Annualized Vol
43.47%
Sharpe (RFR=1%)
0.97
CAROR
41.19%
Assets
$ 42.9M
Worst DD
-42.73
S&P Correlation
0.12

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 Cíclico Fundo de Investimento Multimercado 11.45 - - - - - 1.88 986.56
S&P 500 1.98 - - - - - 53.52 187.00
+/- S&P 500 9.47 - - - - - -51.64 799.56

Strategy Description

Summary

Sparta is a Brazil-based investment manager focused on the management of global macro, absolute return objective funds. We use fundamentalist analysis to invest in commodities, stock indexes, interest rates and currencies, whether long or short, putting on positions mainly with exchange-listed... Read More

Account & Fees

Type Fund
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 Anytime
Redemption Frequency Anytime
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 20.00%
4-12 Months 70.00%
1-3 Months 10.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Fundamental
60.00%
Seasonal/cyclical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Summary

Sparta is a Brazil-based investment manager focused on the management of global macro, absolute return objective funds. We use fundamentalist analysis to invest in commodities, stock indexes, interest rates and currencies, whether long or short, putting on positions mainly with exchange-listed instruments

Investment Strategy

The fund invests in stocks, bonds, funds or derivatives. The risk allocation is made upon proprietary techniques and strategies of the Portfolio Manager, seeking to provide return in excess of the CDI rate in sideway and trend markets.

Risk Management

Based on VaR and Stress Test controls, managed at real time basis

   

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
-42.73 21 - 12/1/2009 9/1/2011
-28.44 2 1 11/1/2007 1/1/2008
-22.27 10 4 10/1/2008 8/1/2009
-12.04 1 2 10/1/2005 11/1/2005
-8.41 1 1 7/1/2006 8/1/2006
-5.77 1 1 12/1/2006 1/1/2007
-4.38 1 2 2/1/2006 3/1/2006
-1.93 2 1 7/1/2008 9/1/2008
-1.78 1 1 5/1/2006 6/1/2006
-1.62 1 1 9/1/2006 10/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
269.25 10 2/1/2007 11/1/2007
228.21 6 2/1/2008 7/1/2008
30.86 1 10/1/2005 10/1/2005
29.05 4 9/1/2009 12/1/2009
26.19 3 12/1/2005 2/1/2006
19.48 2 9/1/2010 10/1/2010
18.88 5 12/1/2011 4/1/2012
14.83 1 9/1/2006 9/1/2006
12.79 1 10/1/2011 10/1/2011
12.48 1 7/1/2010 7/1/2010
12.15 3 1/1/2009 3/1/2009
12.04 2 7/1/2012 8/1/2012
8.70 2 11/1/2006 12/1/2006
7.22 1 7/1/2006 7/1/2006
6.40 1 12/1/2010 12/1/2010
6.05 2 4/1/2006 5/1/2006
6.04 1 10/1/2008 10/1/2008
2.42 2 3/1/2011 4/1/2011
1.94 1 2/1/2010 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.59 5 5/1/2011 9/1/2011
-29.67 4 3/1/2010 6/1/2010
-28.44 2 12/1/2007 1/1/2008
-21.09 5 4/1/2009 8/1/2009
-13.70 2 5/1/2012 6/1/2012
-12.17 2 11/1/2008 12/1/2008
-12.04 1 11/1/2005 11/1/2005
-8.41 1 8/1/2006 8/1/2006
-5.99 1 1/1/2010 1/1/2010
-5.77 1 1/1/2007 1/1/2007
-5.40 1 8/1/2010 8/1/2010
-4.38 1 3/1/2006 3/1/2006
-3.54 2 1/1/2011 2/1/2011
-2.80 1 11/1/2010 11/1/2010
-1.93 2 8/1/2008 9/1/2008
-1.78 1 6/1/2006 6/1/2006
-1.62 1 10/1/2006 10/1/2006
-1.60 1 11/1/2011 11/1/2011
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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 Profitable59.0467.9066.6756.9460.6158.3368.7588.89
Average Period Return3.6111.0025.4268.93141.41232.12380.89477.13
Average Gain10.3321.5245.34131.21243.78410.09565.15539.88
Average Loss-6.09-11.25-14.41-13.45-16.07-17.04-24.48-24.85
Best Period61.8095.61228.21392.84767.21891.061298.181171.69
Worst Period-27.83-30.70-34.34-30.62-38.10-35.18-39.08-31.62
Standard Deviation12.5526.1649.15117.52219.25301.10407.41379.14
Gain Standard Deviation11.6725.1148.81123.46229.70281.08362.92354.56
Loss Standard Deviation5.408.3710.386.9310.489.708.798.28
Sharpe Ratio (1%)0.280.410.510.580.640.760.931.25
Average Gain / Average Loss1.701.913.159.7615.1724.0723.0821.72
Profit / Loss Ratio2.444.056.2912.9023.3433.7050.79173.79
Downside Deviation (10%)5.378.4611.3812.9216.2418.7623.0215.65
Downside Deviation (5%)5.228.0010.4210.4812.7813.7416.109.93
Downside Deviation (0%)5.187.8910.189.8911.9712.5914.498.62
Sortino Ratio (10%)0.591.162.024.958.2411.8315.8629.11
Sortino Ratio (5%)0.681.342.396.4810.9516.7523.4847.64
Sortino Ratio (0%)0.701.392.506.9711.8118.4326.2955.34

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.