Spring Valley Asset Management (SVAM) : SVAM Diversified Alpha Portfolio

archived programs
Year-to-Date
3.71%
Jan Performance
3.71%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.30%
Sharpe (RFR=1%)
0.21
CAROR
-
Assets
$ 1.1M
Worst DD
-11.08
S&P Correlation
0.24

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
2/2019
SVAM Diversified Alpha Portfolio 3.71 - 3.71 -7.10 - - - 3.03
S&P 500 -0.16 - -0.16 19.27 - - - 25.70
+/- S&P 500 3.87 - 3.87 -26.38 - - - -22.67

Strategy Description

Summary

Spring Valley Asset Management (“SVAM”) is a quantitative investment management firm founded on the principles of science, cutting-edge technology and ingenuity to deliver innovative solutions to institutions and high-net-worth individuals. The firm was founded in 2014 and is headquartered... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 3.00
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 14%
Targeted Worst DD
Worst Peak-to-Trough
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
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Precious Metals
7.00%
Energy
7.00%
Grains
7.00%
Livestock
7.00%
Softs
7.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

Spring Valley Asset Management (“SVAM”) is a quantitative investment management firm founded on the principles of science, cutting-edge technology and ingenuity to deliver innovative solutions to institutions and high-net-worth individuals. The firm was founded in 2014 and is headquartered in Morristown, New Jersey.

Investment Strategy

SVAM Diversified Alpha is a multi-dimensional, systematic trading system. We apply innovative modeling methodologies to a rich set of fundamental and technical features across short, medium, and long-term horizons that aim to capture both direction and divergence across liquid global futures markets. The application of sophisticated and robust risk management systems allows us to dynamically budget, neutralize, and target risk.

   

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
-11.08 5 - 7/1/2019 12/1/2019
-4.18 1 2 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
9.04 3 2/1/2019 4/1/2019
6.93 2 6/1/2019 7/1/2019
3.71 1 1/1/2020 1/1/2020
2.80 1 11/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.98 1 12/1/2019 12/1/2019
-6.00 3 8/1/2019 10/1/2019
-4.18 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable58.3350.0057.14
Average Period Return0.330.010.79
Average Gain3.174.405.80
Average Loss-3.65-4.38-5.88
Best Period5.519.0411.73
Worst Period-7.98-9.02-7.78
Standard Deviation4.135.487.22
Gain Standard Deviation1.813.174.83
Loss Standard Deviation2.833.062.06
Sharpe Ratio (1%)0.06-0.040.04
Average Gain / Average Loss0.871.000.99
Profit / Loss Ratio1.221.001.31
Downside Deviation (10%)3.094.415.62
Downside Deviation (5%)2.913.804.32
Downside Deviation (0%)2.873.654.01
Sortino Ratio (10%)-0.03-0.28-0.30
Sortino Ratio (5%)0.08-0.060.07
Sortino Ratio (0%)0.110.000.20

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.