Strat Asset Management, LLC : Global Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance -1.49% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.01% Sharpe (RFR=1%) -0.44 CAROR -3.33% Assets $ 228k Worst DD -22.58 S&P Correlation 0.07 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since8/2009 Global Diversified Program -1.49 - - - - - -18.68 -14.14 S&P 500 -3.56 - - - - - 57.57 260.16 +/- S&P 500 2.07 - - - - - -76.24 -274.30 Strategy Description SummaryThere are many professionals that use a long term break out approach for investing in the commodity markets. What makes us different is the way we manage the positions in the portfolio everyday. We strive to have the absolute lowest volatility in our portfolio on a daily basis with... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 500 RT/YR/$M Avg. Margin-to-Equity 6% Targeted Worst DD -10.00% Worst Peak-to-Trough 15.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 10.00% 4-12 Months 50.00% 1-3 Months 40.00% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition SummaryThere are many professionals that use a long term break out approach for investing in the commodity markets. What makes us different is the way we manage the positions in the portfolio everyday. We strive to have the absolute lowest volatility in our portfolio on a daily basis with long-term capital appreciation.Investment StrategyThe Advisor relies on a systematic technical trading algorithm that utilizes quantitative analysis of pricing data to identify and exploit long-term price movements in the commodity markets. Once a signal is generated, the position is initiated as long as the portfolio is adequately funded for that particular commodity, and the allocation (depending on open positions in the portfolio) allows the advisor to add that commodity to the portfolio. All US futures contracts, foreign futures, and forward contracts will be considered for trading in this program. The strategy is designed to take advantage of long term movements in the futures markets while keeping risk to a minimum. Based on this type of trading approach, the systematic technical trading algorithm calculates a strategic exit level from the entry price to minimize the loss in that market. The risk on each trade varies depending on the diversification of open positions in the portfolio. On average, the risk is less that one percent of the portfolio value per commodity.Risk ManagementAsset allocation is based upon the premise that no one market should impact the portfolio to a greater or lesser extent than any other market. Due to the different market values and volatility of each market all trades are position adjusted based on the equity in the portfolio. Furthermore, the account is analyzed with a proprietary algorithm to measure the relationship between all open positions to equalize the return impact that one commodity or a group of commodities can have on a portfolio. This allocation and diversification is recalculated on a daily basis. Clients should note that managed futures are inherently volatile and risky, and that no risk reduction strategy can eliminate the possibility of significant losses. 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 -22.58 28 - 9/1/2011 1/1/2014 -6.69 5 6 11/1/2009 4/1/2010 -4.98 1 9 10/1/2010 11/1/2010 -4.72 2 1 8/1/2009 10/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 9.61 3 8/1/2010 10/1/2010 8.30 3 7/1/2011 9/1/2011 8.23 1 11/1/2009 11/1/2009 4.76 2 12/1/2010 1/1/2011 4.71 1 7/1/2012 7/1/2012 2.30 1 4/1/2011 4/1/2011 1.76 1 3/1/2013 3/1/2013 1.20 2 5/1/2010 6/1/2010 0.73 2 7/1/2013 8/1/2013 0.60 1 11/1/2013 11/1/2013 0.58 1 3/1/2010 3/1/2010 0.54 1 3/1/2012 3/1/2012 0.33 1 1/1/2010 1/1/2010 0.13 1 8/1/2009 8/1/2009 0.04 1 12/1/2011 12/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.32 7 8/1/2012 2/1/2013 -6.02 3 4/1/2013 6/1/2013 -5.29 1 12/1/2009 12/1/2009 -4.98 1 11/1/2010 11/1/2010 -4.84 3 4/1/2012 6/1/2012 -4.72 2 9/1/2009 10/1/2009 -4.49 2 10/1/2011 11/1/2011 -3.44 2 9/1/2013 10/1/2013 -2.68 2 2/1/2011 3/1/2011 -2.57 2 5/1/2011 6/1/2011 -1.91 2 12/1/2013 1/1/2014 -1.74 2 1/1/2012 2/1/2012 -1.27 1 2/1/2010 2/1/2010 -1.11 1 4/1/2010 4/1/2010 -0.76 1 7/1/2010 7/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods54.0052.0049.0043.0037.0031.0019.00 Percent Profitable40.7432.6932.6539.5340.5448.3921.05 Average Period Return-0.25-0.74-1.41-2.12-2.64-3.29-5.73 Average Gain1.973.044.155.736.966.233.03 Average Loss-1.78-2.58-4.10-7.25-9.19-12.22-8.06 Best Period8.239.6010.0811.1713.8311.604.31 Worst Period-5.29-6.18-9.37-14.19-17.69-20.51-18.68 Standard Deviation2.603.404.757.509.4610.317.18 Gain Standard Deviation2.282.723.183.563.603.381.29 Loss Standard Deviation1.461.802.484.145.845.146.19 Sharpe Ratio (1%)-0.13-0.29-0.40-0.42-0.44-0.51-1.22 Average Gain / Average Loss1.111.181.010.790.760.510.38 Profit / Loss Ratio0.760.570.490.520.520.480.10 Downside Deviation (10%)2.023.465.7710.1113.7916.9222.60 Downside Deviation (5%)1.812.744.287.159.3510.8311.20 Downside Deviation (0%)1.762.573.926.468.349.488.92 Sortino Ratio (10%)-0.33-0.57-0.67-0.70-0.74-0.80-0.95 Sortino Ratio (5%)-0.18-0.36-0.45-0.44-0.44-0.49-0.78 Sortino Ratio (0%)-0.14-0.29-0.36-0.33-0.32-0.35-0.64 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. x {{title}} x {{title}} Add Cancel