Spectrum Asset Management LLC : Global Diversified

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

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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	2019	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

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%

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.

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	162.00	160.00	157.00	151.00	145.00	139.00	127.00	115.00	103.00
Percent Profitable	53.09	50.00	52.23	64.24	64.14	71.22	73.23	77.39	85.44
Average Period Return	0.31	0.95	1.88	3.83	6.56	9.27	15.00	20.38	26.40
Average Gain	2.85	5.98	8.75	11.62	17.27	19.56	25.69	29.50	33.19
Average Loss	-2.59	-4.08	-5.63	-10.18	-12.60	-16.18	-14.24	-10.81	-13.46
Best Period	11.02	24.26	38.85	38.00	50.54	52.83	51.37	77.42	63.43
Worst Period	-8.94	-15.36	-16.89	-26.24	-30.86	-32.22	-33.10	-23.69	-19.24
Standard Deviation	3.56	6.52	9.53	13.47	17.44	20.03	22.05	22.44	21.46
Gain Standard Deviation	2.49	4.94	7.59	9.14	10.16	12.08	13.87	16.26	14.66
Loss Standard Deviation	2.11	3.15	4.33	7.13	9.45	10.92	10.79	7.59	5.34
Sharpe Ratio (1%)	0.06	0.11	0.15	0.21	0.29	0.36	0.54	0.73	0.99
Average Gain / Average Loss	1.10	1.47	1.55	1.14	1.37	1.21	1.80	2.73	2.47
Profit / Loss Ratio	1.26	1.47	1.70	2.05	2.45	2.99	4.93	9.34	14.47
Downside Deviation (10%)	2.49	4.36	6.36	10.09	13.43	15.52	16.92	16.65	17.06
Downside Deviation (5%)	2.31	3.78	5.18	7.91	10.14	11.35	10.50	7.92	7.38
Downside Deviation (0%)	2.26	3.64	4.90	7.41	9.40	10.43	9.19	6.24	5.50
Sortino Ratio (10%)	-0.04	-0.06	-0.09	-0.12	-0.08	-0.06	-0.05	-0.07	-0.07
Sortino Ratio (5%)	0.10	0.19	0.27	0.36	0.50	0.64	1.14	2.06	2.89
Sortino Ratio (0%)	0.14	0.26	0.38	0.52	0.70	0.89	1.63	3.27	4.80

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.

^#10

Top Performer

DIVERSIFIED TRADER INDEX

APRIL
2002

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Spectrum Asset Management LLC : Global Diversified

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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