Strat Asset Management, LLC : Global Diversified Program

archived programs
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

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
8/2009
Global Diversified Program -1.49 - - - - - -11.30 -14.14
S&P 500 -3.56 - - - - - 57.57 239.41
+/- S&P 500 2.07 - - - - - -68.87 -253.56

Strategy Description

Summary

There 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%
Strategy Pie Chart

Composition

Summary

There 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 Strategy

The 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 Management

Asset 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.

   

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:
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Risk
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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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
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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
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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
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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
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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.