Strategic Capital Advisors LLC : Cross Asset Program

Year-to-Date
0.58%
Mar Performance
-0.31%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.32%
Sharpe (RFR=1%)
0.95
CAROR
-
Assets
$ 54.1M
Worst DD
-4.35
S&P Correlation
-0.28

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2019
Cross Asset Program -0.31 0.92 -0.58 11.74 - - - 20.33
S&P 500 4.24 9.21 9.21 58.70 - - - 47.51
+/- S&P 500 -4.55 -8.29 -9.78 -46.96 - - - -27.18

Strategy Description

Summary

The Strategic Cross-Asset Program (SCAP) seeks portfolio diversification and strong capital appreciation that is uncorrelated with major market indices by exploiting both contrarian and persistent directional moves in the markets. The program trades exchange-listed futures contracts,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 5.00
Management Fee 2.00%
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 2000 RT/YR/$M
Avg. Margin-to-Equity 15%
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

Interest Rates
15.00%
Stock Indices
15.00%
Currency Futures
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Softs
10.00%
VIX
10.00%
Composition Pie Chart

Summary

The Strategic Cross-Asset Program (SCAP) seeks portfolio diversification and strong capital appreciation that is uncorrelated with major market indices by exploiting both contrarian and persistent directional moves in the markets. The program trades exchange-listed futures contracts, which are taxed at more favorable rates than equities or fixed income securities.

Investment Strategy

The strategy combines active alpha-seeking strategies at different time frames in the most liquid complexes with a strategic exposure to synthetic cross-asset alpha sources designed to benefit from volatility in the markets and act as a source of crisis alpha. SCAP employs a machine learning approach known as Swarm Intelligence to systematically monitor, rank, and rebalance between multiple purpose-built alpha seeking trading strategies that exploit bullish and bearish market opportunities across multiple time frames and market complexes. The breath of alpha styles, time frames, and markets available to the program, paired with timely monitoring of alpha-source momentum, combine for a program capable of adapting to market conditions.

Risk Management

Risk controls include limits on market exposure, position-sizing using risk-parity, and diversification by sector and strategy

   

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
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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
-4.35 6 1 8/1/2019 2/1/2020
-2.60 2 2 8/1/2020 10/1/2020
-1.48 1 - 12/1/2020 1/1/2021
-1.01 1 1 3/1/2020 4/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
11.99 1 3/1/2020 3/1/2020
8.04 4 5/1/2020 8/1/2020
6.81 2 11/1/2020 12/1/2020
1.56 1 8/1/2019 8/1/2019
1.44 1 12/1/2019 12/1/2019
1.23 1 2/1/2021 2/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.33 3 9/1/2019 11/1/2019
-2.60 2 9/1/2020 10/1/2020
-2.46 2 1/1/2020 2/1/2020
-1.48 1 1/1/2021 1/1/2021
-1.01 1 4/1/2020 4/1/2020
-0.31 1 3/1/2021 3/1/2021
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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.