Structured Markets Inc. : Structured Markets Inc. Proprietary Trading Program

archived programs
Year-to-Date
N / A
Apr Performance
-2.76%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.37%
Sharpe (RFR=1%)
0.73
CAROR
7.67%
Assets
$ 273k
Worst DD
-13.10
S&P Correlation
-0.21

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
1/2005
Structured Markets Inc. Proprietary Trading Program -2.76 - - - - - 25.82 114.62
S&P 500 0.85 - - - - - 80.25 193.26
+/- S&P 500 -3.61 - - - - - -54.42 -78.63

Strategy Description

Summary

Performance note: Notional funding has recently been added to the Proprietary trading performance. This change was made to better refelect leverage levels that are utilized by customer accounts. Please see the "Structured Markets Inc." listing for client trading results, which started... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 2,000k
CTA Max Funding Factor 1.00
Management Fee 2.00%
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 6000 RT/YR/$M
Avg. Margin-to-Equity 11%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 13.00%
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 15.00%
Systematic 85.00%

Strategy

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

Composition

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

Summary

Performance note: Notional funding has recently been added to the Proprietary trading performance. This change was made to better refelect leverage levels that are utilized by customer accounts. Please see the "Structured Markets Inc." listing for client trading results, which started in March of 2012.

Investment Strategy

Structured Markets Inc. ("SMI") is an emerging CTA owned and operated by Nigel Bahadur. The trading Program manages approximately 85% 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
Average RoR:
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Gain Frequency:
Average Gain:
Gain Deviation:
Risk
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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:
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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
-13.10 3 11 5/1/2009 8/1/2009
-11.20 5 6 12/1/2006 5/1/2007
-10.08 11 - 12/1/2013 11/1/2014
-5.97 1 3 4/1/2011 5/1/2011
-4.99 7 8 8/1/2012 3/1/2013
-3.84 2 2 1/1/2006 3/1/2006
-3.58 2 4 9/1/2011 11/1/2011
-2.87 2 1 7/1/2010 9/1/2010
-2.36 1 4 8/1/2005 9/1/2005
-2.35 1 2 3/1/2012 4/1/2012
-1.54 1 1 12/1/2007 1/1/2008
-1.33 1 1 3/1/2009 4/1/2009
-0.87 1 1 1/1/2011 2/1/2011
-0.61 1 1 2/1/2005 3/1/2005
-0.20 1 1 6/1/2012 7/1/2012
-0.14 1 1 1/1/2009 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
37.75 12 2/1/2008 1/1/2009
17.33 4 10/1/2010 1/1/2011
14.84 3 5/1/2010 7/1/2010
13.81 9 4/1/2006 12/1/2006
10.83 4 6/1/2007 9/1/2007
9.85 2 3/1/2011 4/1/2011
9.36 3 9/1/2009 11/1/2009
8.02 4 6/1/2011 9/1/2011
7.57 3 10/1/2013 12/1/2013
6.81 5 4/1/2005 8/1/2005
6.31 1 5/1/2009 5/1/2009
5.22 2 11/1/2007 12/1/2007
5.12 2 4/1/2013 5/1/2013
4.87 4 12/1/2014 3/1/2015
4.45 4 12/1/2011 3/1/2012
3.67 4 10/1/2005 1/1/2006
2.87 2 5/1/2012 6/1/2012
2.32 1 1/1/2010 1/1/2010
2.29 1 2/1/2014 2/1/2014
1.08 2 1/1/2005 2/1/2005
1.04 1 1/1/2013 1/1/2013
0.92 1 5/1/2014 5/1/2014
0.85 1 3/1/2009 3/1/2009
0.68 1 11/1/2012 11/1/2012
0.23 1 8/1/2012 8/1/2012
0.15 1 3/1/2007 3/1/2007
0.12 1 8/1/2013 8/1/2013
0.08 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.10 3 6/1/2009 8/1/2009
-9.54 3 2/1/2010 4/1/2010
-8.80 2 1/1/2007 2/1/2007
-7.72 3 9/1/2014 11/1/2014
-5.97 1 5/1/2011 5/1/2011
-3.84 2 2/1/2006 3/1/2006
-3.67 2 2/1/2013 3/1/2013
-3.58 2 10/1/2011 11/1/2011
-2.87 2 8/1/2010 9/1/2010
-2.78 2 4/1/2007 5/1/2007
-2.76 1 4/1/2015 4/1/2015
-2.60 1 1/1/2014 1/1/2014
-2.37 2 6/1/2013 7/1/2013
-2.36 1 9/1/2005 9/1/2005
-2.35 1 4/1/2012 4/1/2012
-1.97 1 12/1/2012 12/1/2012
-1.88 2 3/1/2014 4/1/2014
-1.54 1 1/1/2008 1/1/2008
-1.33 1 4/1/2009 4/1/2009
-1.31 2 6/1/2014 7/1/2014
-1.10 1 10/1/2007 10/1/2007
-1.09 2 9/1/2012 10/1/2012
-0.87 1 2/1/2011 2/1/2011
-0.61 1 3/1/2005 3/1/2005
-0.49 1 9/1/2013 9/1/2013
-0.35 1 12/1/2009 12/1/2009
-0.20 1 7/1/2012 7/1/2012
-0.14 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods124.00122.00119.00113.00107.00101.0089.0077.0065.00
Percent Profitable64.5264.7571.4380.5389.7290.1092.1398.70100.00
Average Period Return0.652.044.108.9414.4720.0434.7251.6467.34
Average Gain2.124.827.2112.0616.4122.5137.8152.3467.34
Average Loss-2.01-3.07-3.66-3.94-2.51-2.45-1.41-1.51
Best Period9.2815.8327.1042.5150.2365.2667.98101.78110.56
Worst Period-6.39-13.10-10.39-8.99-5.91-5.64-2.66-1.5126.95
Standard Deviation2.705.047.2211.7914.5615.9018.3722.8723.93
Gain Standard Deviation1.903.495.9710.9814.1014.7815.6222.1823.93
Loss Standard Deviation1.733.082.963.051.851.640.62
Sharpe Ratio (1%)0.210.360.500.670.891.131.732.082.60
Average Gain / Average Loss1.051.571.973.066.549.2026.8634.56
Profit / Loss Ratio1.922.894.9212.6557.0483.69314.682626.49
Downside Deviation (10%)1.773.133.684.434.184.895.574.480.09
Downside Deviation (5%)1.612.672.722.551.411.491.280.69
Downside Deviation (0%)1.572.562.502.180.980.910.430.17
Sortino Ratio (10%)0.140.260.440.891.652.003.416.72442.13
Sortino Ratio (5%)0.350.671.333.129.1712.1124.7869.44
Sortino Ratio (0%)0.420.801.644.1014.7121.9481.52299.20

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.