Structured Markets Inc. : Structured Markets Inc. 2x Standard Leverage

archived programs
Year-to-Date
N / A
Apr Performance
20.81%
Min Investment
$ 1,000k
Mgmt. Fee
4.00%
Perf. Fee
20.00%
Annualized Vol
21.43%
Sharpe (RFR=1%)
0.66
CAROR
-
Assets
$ 0k
Worst DD
-7.34
S&P Correlation
-0.02

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
3/2012
Structured Markets Inc. 2x Standard Leverage 20.81 - - - - - - 16.46
S&P 500 1.81 - - - - - - 145.99
+/- S&P 500 19.00 - - - - - - -129.54

Strategy Description

Summary

Structured Markets Inc has a related Program in IASG: Structured Markets Inc. Proprietary Trading Program. The Proprietary record started in January of 2001. Structured markets inc also manages $16 million in Standard leverage customer accounts that just started trading recently. Standard... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 1.00
Management Fee 4.00%
Performance Fee 20.00%
Average Commission $5.00
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 12000 RT/YR/$M
Avg. Margin-to-Equity 23%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 3.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 70.00%
Intraday 25.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Counter-trend
10.00%
Momentum
40.00%
Pattern Recognition
30.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
25.00%
Energy
20.00%
Currency Futures
15.00%
Precious Metals
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Structured Markets Inc has a related Program in IASG: Structured Markets Inc. Proprietary Trading Program. The Proprietary record started in January of 2001. Structured markets inc also manages $16 million in Standard leverage customer accounts that just started trading recently. Standard leverage customers trade identically to the Proprietary account.

Investment Strategy

Structured Markets Inc. ("SMI") is an emerging CTA owned and operated by Nigel Bahadur. The trading Program manages approximately 80% of the assets in the portfolio using a multi-system, short-term, diversified approach. A top-down risk management approach controls risk by allocating trading exposure to a variety of systematic, short term trading systems. Approximately 25% of all trades are day trades, 50% are held 2-5 days, 10% 5-10 days. Prior to forming Structured Markets Inc., Nigel Bahadur worked for seven years at the Granat Fund, managed by Linda Raschke. There he developed automated strategies, researched trading concepts and developed custom technology. Client trading started in March 2012.

Risk Management

The manager utilizes a top-down plan to manage risk. The model is designed to allocate market exposure to several (15) different systems that diversify the Program by markets, system type and time frames. New systems are constantly being researched and tested for inclusion in the Program. Current systems include: (short term) trend following, pattern recognition, mean reversion and counter trend. Current research is focused on additional counter trend and market neutral systems and looking for earlier entry points in trend trades. Opportunities in exchange traded spreads, non-dollar currency crosses, and additional non US markets are also being researched. The advisor believes risk adjusted rates of return will improve as new, non-correlated systems are added. The discretionary trading component gives the Program exposure to time frames not covered by systematic trading, which adds further balance to the portfolio.

   

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
-7.34 7 1 8/1/2012 3/1/2013
-2.44 1 1 3/1/2012 4/1/2012
-0.27 1 1 6/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
20.81 1 4/1/2013 4/1/2013
3.87 2 5/1/2012 6/1/2012
2.42 1 1/1/2013 1/1/2013
2.29 1 3/1/2012 3/1/2012
1.71 1 11/1/2012 11/1/2012
0.64 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.71 2 2/1/2013 3/1/2013
-2.97 1 12/1/2012 12/1/2012
-2.44 1 4/1/2012 4/1/2012
-1.74 2 9/1/2012 10/1/2012
-0.27 1 7/1/2012 7/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable50.0058.3355.56
Average Period Return1.261.121.28
Average Gain4.533.284.49
Average Loss-2.02-1.90-2.74
Best Period20.8112.7113.92
Worst Period-6.39-4.45-7.24
Standard Deviation6.194.325.75
Gain Standard Deviation7.274.375.43
Loss Standard Deviation2.231.763.19
Sharpe Ratio (1%)0.190.200.14
Average Gain / Average Loss2.241.731.64
Profit / Loss Ratio2.242.422.05
Downside Deviation (10%)2.262.294.00
Downside Deviation (5%)2.081.722.84
Downside Deviation (0%)2.041.592.59
Sortino Ratio (10%)0.38-0.05-0.30
Sortino Ratio (5%)0.560.510.27
Sortino Ratio (0%)0.610.700.49

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.