Strategic Investments : Equity Hedge Program

archived programs
Year-to-Date
N / A
Dec Performance
1.60%
Min Investment
$ 400k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.19%
Sharpe (RFR=1%)
0.66
CAROR
9.72%
Assets
$ 0k
Worst DD
-23.59
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/1992
Equity Hedge Program 1.60 - - - - - -2.31 456.01
S&P 500 6.53 - - - - - -4.74 662.91
+/- S&P 500 -4.93 - - - - - 2.43 -206.90

Strategy Description

Summary

The Equity Hedge Program is a stock index program which uses technical signals for entry and exit while trading up to 75% in Stock Indexes.  Curencies, Debt, Precious Metals, and Energies are used to hedge against stocks when fundamentals warrant.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 400k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Stock Index 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 0%

Strategy

Composition

Summary

The Equity Hedge Program is a stock index program which uses technical signals for entry and exit while trading up to 75% in Stock Indexes.  Curencies, Debt, Precious Metals, and Energies are used to hedge against stocks when fundamentals warrant.

   

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
-23.59 3 7 7/1/1992 10/1/1992
-15.74 13 7 3/1/2004 4/1/2005
-11.65 6 3 10/1/2001 4/1/2002
-11.47 24 5 9/1/1998 9/1/2000
-11.18 4 3 4/1/1996 8/1/1996
-10.36 4 3 3/1/2008 7/1/2008
-9.19 16 2 4/1/2006 8/1/2007
-7.88 7 6 8/1/1993 3/1/1994
-6.83 2 4 1/1/1997 3/1/1997
-6.81 2 8 11/1/2009 1/1/2010
-6.69 4 5 2/1/2009 6/1/2009
-6.55 2 4 5/1/2003 7/1/2003
-6.54 1 2 1/1/1996 2/1/1996
-5.85 4 3 12/1/1997 4/1/1998
-4.71 2 1 9/1/2002 11/1/2002
-4.59 1 4 3/1/2001 4/1/2001
-4.58 1 2 5/1/1993 6/1/1993
-4.45 2 2 1/1/2003 3/1/2003
-3.85 1 - 10/1/2010 11/1/2010
-3.79 3 2 7/1/1997 10/1/1997
-3.65 2 1 10/1/2007 12/1/2007
-3.33 1 1 12/1/2008 1/1/2009
-3.31 1 1 11/1/1996 12/1/1996
-3.06 1 2 12/1/1994 1/1/1995
-2.92 1 2 1/1/2006 2/1/2006
-2.43 3 1 7/1/1995 10/1/1995
-1.89 2 1 12/1/2003 2/1/2004
-1.29 1 1 7/1/2002 8/1/2002
-0.37 1 1 10/1/1994 11/1/1994
-0.20 1 2 4/1/1995 5/1/1995
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
32.72 7 11/1/1992 5/1/1993
27.91 5 8/1/2008 12/1/2008
27.43 5 5/1/1998 9/1/1998
23.44 4 7/1/2001 10/1/2001
22.92 6 10/1/2000 3/1/2001
21.35 4 4/1/1997 7/1/1997
17.37 3 9/1/1996 11/1/1996
16.45 3 11/1/1995 1/1/1996
16.32 2 12/1/2002 1/1/2003
15.62 2 9/1/2007 10/1/2007
15.14 3 1/1/2008 3/1/2008
14.82 3 5/1/2002 7/1/2002
14.41 5 8/1/2003 12/1/2003
13.90 2 3/1/1996 4/1/1996
13.09 5 5/1/2005 9/1/2005
12.63 3 2/1/1995 4/1/1995
12.31 3 11/1/2005 1/1/2006
11.39 4 7/1/1994 10/1/1994
10.34 2 4/1/2003 5/1/2003
8.89 4 9/1/2004 12/1/2004
8.52 1 1/1/1997 1/1/1997
7.95 2 7/1/1993 8/1/1993
7.27 1 6/1/1999 6/1/1999
6.24 2 4/1/1994 5/1/1994
4.95 1 12/1/1998 12/1/1998
4.90 2 11/1/1997 12/1/1997
4.88 3 11/1/1999 1/1/2000
4.82 1 7/1/1992 7/1/1992
4.77 3 8/1/2010 10/1/2010
4.67 3 4/1/2007 6/1/2007
4.06 1 11/1/2009 11/1/2009
3.74 5 2/1/2010 6/1/2010
3.71 1 2/1/2009 2/1/2009
3.53 2 3/1/2006 4/1/2006
3.40 2 4/1/2000 5/1/2000
3.26 1 9/1/2002 9/1/2002
3.15 1 3/1/2004 3/1/2004
2.77 1 9/1/2009 9/1/2009
2.59 1 6/1/2008 6/1/2008
2.30 1 7/1/2009 7/1/2009
2.19 2 12/1/2001 1/1/2002
2.03 1 11/1/2006 11/1/2006
1.91 1 4/1/1999 4/1/1999
1.61 2 7/1/2006 8/1/2006
1.60 1 12/1/2010 12/1/2010
1.38 1 9/1/1992 9/1/1992
1.10 1 3/1/1998 3/1/1998
1.08 1 12/1/1994 12/1/1994
1.04 1 8/1/1999 8/1/1999
0.83 1 9/1/1997 9/1/1997
0.76 1 9/1/1995 9/1/1995
0.74 2 6/1/1995 7/1/1995
0.56 1 1/1/1994 1/1/1994
0.55 1 5/1/2001 5/1/2001
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-19.86 1 10/1/1992 10/1/1992
-13.14 5 4/1/2004 8/1/2004
-11.18 4 5/1/1996 8/1/1996
-10.92 4 1/1/2005 4/1/2005
-10.22 2 4/1/2008 5/1/2008
-8.93 3 2/1/2002 4/1/2002
-8.00 2 10/1/1998 11/1/1998
-7.20 3 1/1/1999 3/1/1999
-6.87 2 7/1/2007 8/1/2007
-6.83 2 2/1/1997 3/1/1997
-6.81 2 12/1/2009 1/1/2010
-6.69 4 3/1/2009 6/1/2009
-6.55 2 6/1/2003 7/1/2003
-6.54 1 2/1/1996 2/1/1996
-6.15 4 6/1/2000 9/1/2000
-6.03 2 5/1/2006 6/1/2006
-5.95 1 8/1/1992 8/1/1992
-5.50 2 1/1/1998 2/1/1998
-5.06 1 11/1/2001 11/1/2001
-4.98 4 9/1/1993 12/1/1993
-4.71 2 10/1/2002 11/1/2002
-4.59 1 4/1/2001 4/1/2001
-4.58 1 6/1/1993 6/1/1993
-4.45 2 2/1/2003 3/1/2003
-4.28 2 9/1/1999 10/1/1999
-4.14 1 7/1/1999 7/1/1999
-3.85 1 11/1/2010 11/1/2010
-3.65 2 11/1/2007 12/1/2007
-3.63 2 2/1/2000 3/1/2000
-3.59 2 2/1/1994 3/1/1994
-3.33 1 1/1/2009 1/1/2009
-3.31 1 12/1/1996 12/1/1996
-3.06 1 1/1/1995 1/1/1995
-2.92 1 2/1/2006 2/1/2006
-2.77 1 6/1/1994 6/1/1994
-2.68 1 7/1/2008 7/1/2008
-2.58 1 8/1/1997 8/1/1997
-2.55 4 12/1/2006 3/1/2007
-2.32 1 8/1/1995 8/1/1995
-2.06 1 10/1/1997 10/1/1997
-1.89 2 1/1/2004 2/1/2004
-1.85 2 9/1/2006 10/1/2006
-1.45 1 4/1/1998 4/1/1998
-1.29 1 8/1/2002 8/1/2002
-0.87 1 10/1/1995 10/1/1995
-0.82 1 8/1/2009 8/1/2009
-0.64 1 10/1/2009 10/1/2009
-0.61 1 5/1/1999 5/1/1999
-0.46 1 10/1/2005 10/1/2005
-0.37 1 11/1/1994 11/1/1994
-0.35 1 7/1/2010 7/1/2010
-0.20 1 5/1/1995 5/1/1995
-0.11 1 6/1/2001 6/1/2001
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods222.00220.00217.00211.00205.00199.00187.00175.00163.00
Percent Profitable57.2162.2770.9784.3690.2495.9899.47100.00100.00
Average Period Return0.862.595.3910.8916.8223.4937.1551.1567.04
Average Gain3.446.549.3213.7319.1324.6637.3551.1567.04
Average Loss-2.59-3.94-4.20-4.43-4.49-4.58-0.26
Best Period15.4721.7227.1945.2447.4459.6785.29104.15130.53
Worst Period-19.86-23.59-12.19-11.82-10.61-11.47-0.269.6021.13
Standard Deviation4.106.968.8110.5912.6014.6717.8620.5522.45
Gain Standard Deviation2.925.377.248.9310.9713.7417.6920.5522.45
Loss Standard Deviation2.653.503.092.983.214.90
Sharpe Ratio (1%)0.190.340.560.931.221.461.912.292.76
Average Gain / Average Loss1.331.662.223.104.265.39146.38
Profit / Loss Ratio1.772.745.4216.7139.42128.5727226.55
Downside Deviation (10%)2.613.834.004.084.293.632.381.730.51
Downside Deviation (5%)2.463.343.022.442.121.610.24
Downside Deviation (0%)2.423.232.802.101.711.300.02
Sortino Ratio (10%)0.170.360.731.442.153.658.9817.0977.03
Sortino Ratio (5%)0.320.701.624.057.2313.31142.02
Sortino Ratio (0%)0.360.801.925.189.8418.081990.93

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.