Spectrum Asset Management LLC : Global Diversified

archived programs
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

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 Since
1/2001
Global Diversified 0.39 2.97 - -0.69 -27.03 -10.97 8.14 50.23
S&P 500 1.91 4.69 - 22.04 48.40 113.19 71.80 40.79
+/- S&P 500 -1.52 -1.73 - -22.73 -75.43 -124.16 -63.66 9.43

Strategy Description

Summary

The 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
N/A
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%
Softs
18.00%
Grains
18.00%
Energy
13.00%
Interest Rates
12.00%
Precious Metals
8.00%
Livestock
5.00%
Industrial Metals
2.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

The 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.

   

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
-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
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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
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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
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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.