Spectrum Asset Management LLC : Global Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance 0.39% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.33% Sharpe (RFR=1%) 0.23 CAROR 3.06% Assets $ 10.0M Worst DD -33.89 S&P Correlation -0.15 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since1/2001 Global Diversified 0.39 - - - - - -29.91 50.23 S&P 500 1.91 - - - - - 71.80 197.17 +/- S&P 500 -1.52 - - - - - -101.70 -146.95 Strategy Description SummaryThe Global Diversified Program is a computerized, mechanical trading program that is diversified across methodologies, markets and time frames. It consists of twelve trading systems, which trade over 60 different global futures markets with average holding periods ranging from 2 to... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD Worst Peak-to-Trough 0% 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 23.00% Grains 18.00% Softs 18.00% Energy 13.00% Interest Rates 12.00% Precious Metals 8.00% Livestock 5.00% Industrial Metals 2.00% Stock Indices 1.00% SummaryThe Global Diversified Program is a computerized, mechanical trading program that is diversified across methodologies, markets and time frames. It consists of twelve trading systems, which trade over 60 different global futures markets with average holding periods ranging from 2 to 65 days. The Global Diversified Program targets a 15% annual return with a target volatility of 11%. It is a low leverage program with an average margin to equity of 10%, and has a low correlation to traditional asset classes. There is a heavy emphasis on risk control. Using volatility, market correlation, system correlation and utility theory, a unique money management system is employed. The result is a robust collection of systems designed to maximize return and minimize risk. Spectrum Asset Management LLC is a Delaware limited liability company specializing in the management of alternative investment products. Spectrum is registered with the Commodity Futures Trading Commission as a commodity trading advisor and as a commodity pool operator and is a Member of the National Futures Association. Michael E. Songer (President) has worked in the investment industry since 1988. Prior to Spectrum, Mr. Songer was a trader at C&D Commodities, Inc. (Dennis Trading Group). George T. Dowd III (Vice President) has also worked in the investment industry since 1988. Most recently, Mr. Dowd worked in the foreign exchange groups of Bank of America and JP Morgan Chase. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -33.89 35 - 4/1/2011 3/1/2014 -21.77 41 6 3/1/2004 8/1/2007 -10.59 6 5 11/1/2009 5/1/2010 -8.15 1 7 2/1/2003 3/1/2003 -7.55 2 2 9/1/2002 11/1/2002 -7.23 4 3 2/1/2009 6/1/2009 -5.99 6 2 9/1/2001 3/1/2002 -5.49 3 1 6/1/2008 9/1/2008 -3.63 4 2 3/1/2001 7/1/2001 -1.84 1 1 12/1/2003 1/1/2004 -1.67 1 3 2/1/2008 3/1/2008 -1.45 1 1 9/1/2009 10/1/2009 -0.82 1 1 2/1/2011 3/1/2011 -0.55 1 1 10/1/2010 11/1/2010 -0.13 1 1 12/1/2008 1/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.26 3 12/1/2007 2/1/2008 23.69 6 4/1/2002 9/1/2002 19.65 3 12/1/2002 2/1/2003 19.24 5 6/1/2010 10/1/2010 15.89 2 9/1/2007 10/1/2007 11.16 3 3/1/2006 5/1/2006 10.90 5 7/1/2004 11/1/2004 10.81 4 9/1/2003 12/1/2003 10.04 3 10/1/2008 12/1/2008 9.08 3 7/1/2009 9/1/2009 9.07 2 2/1/2004 3/1/2004 7.48 2 8/1/2001 9/1/2001 6.99 2 4/1/2003 5/1/2003 6.14 3 12/1/2010 2/1/2011 5.87 1 11/1/2009 11/1/2009 5.78 3 4/1/2008 6/1/2008 5.64 2 2/1/2010 3/1/2010 5.15 3 7/1/2011 9/1/2011 4.98 1 5/1/2012 5/1/2012 4.91 3 4/1/2007 6/1/2007 3.77 3 1/1/2001 3/1/2001 3.51 1 1/1/2006 1/1/2006 3.49 1 11/1/2011 11/1/2011 3.19 2 12/1/2006 1/1/2007 3.16 1 7/1/2012 7/1/2012 2.97 1 4/1/2011 4/1/2011 2.97 3 4/1/2014 6/1/2014 2.82 1 12/1/2001 12/1/2001 2.50 1 11/1/2005 11/1/2005 2.14 2 5/1/2005 6/1/2005 2.13 1 2/1/2014 2/1/2014 0.98 2 11/1/2012 12/1/2012 0.96 2 5/1/2001 6/1/2001 0.84 1 12/1/2013 12/1/2013 0.61 1 1/1/2012 1/1/2012 0.36 1 2/1/2009 2/1/2009 0.23 1 4/1/2013 4/1/2013 0.09 1 10/1/2013 10/1/2013 0.03 1 8/1/2005 8/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.61 2 7/1/2007 8/1/2007 -13.14 3 8/1/2012 10/1/2012 -12.76 5 5/1/2013 9/1/2013 -10.97 5 12/1/2004 4/1/2005 -10.04 3 4/1/2004 6/1/2004 -8.93 6 6/1/2006 11/1/2006 -8.31 2 4/1/2010 5/1/2010 -8.15 1 3/1/2003 3/1/2003 -7.69 2 12/1/2009 1/1/2010 -7.55 2 10/1/2002 11/1/2002 -7.46 1 6/1/2012 6/1/2012 -7.23 4 3/1/2009 6/1/2009 -6.72 2 5/1/2011 6/1/2011 -6.56 2 9/1/2005 10/1/2005 -5.49 3 7/1/2008 9/1/2008 -5.47 3 1/1/2013 3/1/2013 -4.89 3 2/1/2012 4/1/2012 -4.77 2 10/1/2001 11/1/2001 -4.54 1 10/1/2011 10/1/2011 -4.18 3 6/1/2003 8/1/2003 -4.00 3 1/1/2002 3/1/2002 -3.58 1 11/1/2007 11/1/2007 -3.02 2 2/1/2007 3/1/2007 -2.99 1 7/1/2001 7/1/2001 -2.79 1 7/1/2005 7/1/2005 -2.39 1 3/1/2014 3/1/2014 -1.84 1 1/1/2004 1/1/2004 -1.67 1 3/1/2008 3/1/2008 -1.61 1 4/1/2001 4/1/2001 -1.45 1 10/1/2009 10/1/2009 -1.33 1 12/1/2011 12/1/2011 -0.96 1 1/1/2014 1/1/2014 -0.82 1 3/1/2011 3/1/2011 -0.55 1 11/1/2010 11/1/2010 -0.26 1 2/1/2006 2/1/2006 -0.21 1 11/1/2013 11/1/2013 -0.13 1 1/1/2009 1/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods162.00160.00157.00151.00145.00139.00127.00115.00103.00 Percent Profitable53.0950.0052.2364.2464.1471.2273.2377.3985.44 Average Period Return0.310.951.883.836.569.2715.0020.3826.40 Average Gain2.855.988.7511.6217.2719.5625.6929.5033.19 Average Loss-2.59-4.08-5.63-10.18-12.60-16.18-14.24-10.81-13.46 Best Period11.0224.2638.8538.0050.5452.8351.3777.4263.43 Worst Period-8.94-15.36-16.89-26.24-30.86-32.22-33.10-23.69-19.24 Standard Deviation3.566.529.5313.4717.4420.0322.0522.4421.46 Gain Standard Deviation2.494.947.599.1410.1612.0813.8716.2614.66 Loss Standard Deviation2.113.154.337.139.4510.9210.797.595.34 Sharpe Ratio (1%)0.060.110.150.210.290.360.540.730.99 Average Gain / Average Loss1.101.471.551.141.371.211.802.732.47 Profit / Loss Ratio1.261.471.702.052.452.994.939.3414.47 Downside Deviation (10%)2.494.366.3610.0913.4315.5216.9216.6517.06 Downside Deviation (5%)2.313.785.187.9110.1411.3510.507.927.38 Downside Deviation (0%)2.263.644.907.419.4010.439.196.245.50 Sortino Ratio (10%)-0.04-0.06-0.09-0.12-0.08-0.06-0.05-0.07-0.07 Sortino Ratio (5%)0.100.190.270.360.500.641.142.062.89 Sortino Ratio (0%)0.140.260.380.520.700.891.633.274.80 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 10 1.62 4/2002 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel