Spring Valley Asset Management (SVAM) : SVAM Tactical Trend Portfolio

Year-to-Date
12.42%
Aug Performance
3.48%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
9.76%
Sharpe (RFR=1%)
0.24
CAROR
2.89%
Assets
$ 14.0M
Worst DD
-17.57
S&P Correlation
0.14

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
5/2014
SVAM Tactical Trend Portfolio 3.48 6.63 12.42 11.71 0.34 10.71 - 16.41
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 50.59
+/- S&P 500 5.29 0.29 -4.31 10.86 -33.09 -33.88 - -34.18

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
4.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
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
11%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
65.00%
1-30 Days
15.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
26.00%
Interest Rates
22.00%
Currency Futures
15.00%
Energy
10.00%
Softs
8.00%
Precious Metals
6.00%
Grains
6.00%
Livestock
4.00%
Industrial Metals
3.00%
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

The SVAM Tactical Trend Portfolio pursues a multi-strategy approach to trading across a diversified blend of futures markets. The portfolio dynamically allocates exposures based upon a proprietary assessment of the prevailing market environment (e.g., expanding vs. contracting volatility, increasing vs. decreasing correlation, etc.) and allocates across many models (over 100) and timeframes (short, intermediate and long) in order to obtain the best (absolute) risk-adjusted returns, regardless of market environment and conditions.

Risk Management

The Tactical Trend Portfolio employs a systematic process to dynamically balance portfolio exposures across more than 100 distinct trading models and seeks to ensure optimal exposures across the prevailing opportunity set.

   

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
-17.57 9 - 1/1/2018 10/1/2018
-9.23 12 4 9/1/2016 9/1/2017
-4.25 2 2 2/1/2016 4/1/2016
-3.97 4 5 6/1/2014 10/1/2014
-3.80 5 3 3/1/2015 8/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
10.59 4 10/1/2017 1/1/2018
9.64 6 9/1/2015 2/1/2016
8.95 3 2/1/2019 4/1/2019
8.08 5 5/1/2016 9/1/2016
6.88 2 5/1/2014 6/1/2014
6.84 2 11/1/2018 12/1/2018
6.63 3 6/1/2019 8/1/2019
4.54 5 11/1/2014 3/1/2015
4.01 1 2/1/2017 2/1/2017
3.30 2 11/1/2016 12/1/2016
1.87 1 8/1/2018 8/1/2018
1.01 2 6/1/2015 7/1/2015
0.90 2 3/1/2018 4/1/2018
0.81 2 8/1/2014 9/1/2014
0.45 1 8/1/2017 8/1/2017
0.05 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.52 1 2/1/2018 2/1/2018
-7.00 2 9/1/2018 10/1/2018
-6.20 5 3/1/2017 7/1/2017
-4.69 1 10/1/2016 10/1/2016
-4.25 2 3/1/2016 4/1/2016
-3.85 1 1/1/2017 1/1/2017
-3.67 1 8/1/2015 8/1/2015
-3.52 1 5/1/2018 5/1/2018
-2.87 1 1/1/2019 1/1/2019
-2.48 1 10/1/2014 10/1/2014
-2.32 1 7/1/2014 7/1/2014
-2.16 1 9/1/2017 9/1/2017
-1.14 2 4/1/2015 5/1/2015
-0.37 1 5/1/2019 5/1/2019
-0.17 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods64.0062.0059.0053.0047.0041.0029.0017.00
Percent Profitable65.6353.2359.3262.2655.3260.9848.2835.29
Average Period Return0.280.520.780.450.270.620.310.14
Average Gain1.743.684.144.866.036.285.575.45
Average Loss-2.52-3.07-4.11-6.81-6.87-8.22-4.60-2.75
Best Period7.269.3013.8012.3911.7311.2913.7412.78
Worst Period-10.52-9.71-13.00-15.01-14.79-13.18-9.83-5.58
Standard Deviation2.824.165.506.717.217.856.604.83
Gain Standard Deviation1.642.343.683.082.882.995.063.83
Loss Standard Deviation2.472.513.784.243.533.593.151.98
Sharpe Ratio (1%)0.070.070.05-0.08-0.17-0.18-0.41-0.81
Average Gain / Average Loss0.691.201.010.710.880.761.211.98
Profit / Loss Ratio1.321.361.471.181.091.191.131.08
Downside Deviation (10%)2.223.404.867.8410.1812.3616.7621.91
Downside Deviation (5%)2.082.833.775.436.056.765.995.70
Downside Deviation (0%)2.042.693.534.905.135.583.972.68
Sortino Ratio (10%)-0.06-0.21-0.35-0.58-0.72-0.78-0.92-0.98
Sortino Ratio (5%)0.090.100.07-0.10-0.20-0.21-0.45-0.69
Sortino Ratio (0%)0.140.190.220.090.050.110.080.05

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 4.01 2/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.