Superfund Group : Superfund Green L.P. Series A

archived programs
Year-to-Date
N / A
Nov Performance
-0.29%
Min Investment
$ 5k
Mgmt. Fee
1.85%
Perf. Fee
25.00%
Annualized Vol
21.67%
Sharpe (RFR=1%)
0.04
CAROR
-0.37%
Assets
$ 1.3M
Worst DD
-51.57
S&P Correlation
0.06

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
10/2002
Superfund Green L.P. Series A -0.29 -6.19 - -12.68 -24.97 -20.57 -50.59 -5.77
S&P 500 1.79 -4.87 - 6.78 31.33 51.31 204.81 208.42
+/- S&P 500 -2.08 -1.32 - -19.46 -56.31 -71.88 -255.40 -214.19

Strategy Description

Summary

All Superfund products are based on fully automated computer trading systems, designed primarily to profit from price trends. The Superfund trading systems are able to choose from more than 100 futures markets worldwide - bonds, stock indices, currencies, commodities.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 5k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.85%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
0%
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

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

All Superfund products are based on fully automated computer trading systems, designed primarily to profit from price trends. The Superfund trading systems are able to choose from more than 100 futures markets worldwide - bonds, stock indices, currencies, commodities.

Investment Strategy

The Company's objective is to achieve long-term capital appreciation by investing in derivative instruments - such as forward contracts or futures on commodities, currencies, interest rates-, in units or shares of other undertakings for collective investment, primarily Hedge Funds, or directly in transferable securities or other assets and financial instruments authorized by the Law, or a combination of the investments mentioned above. All Superfund products are based on fully automated computer trading systems. Diversification: Superfund funds trade futures in many financial centers around the globe. Bonds, stock indices and currencies are traded as well as commodites like crude oil, gold, wheat, coffee, cattle and cotton. The Superfund trading systems are able to choose from more than 100 futures markets worldwide and are constantly on the lookout for attractive investment opportunities. Diversification is also achieved by a low correlation between the individual traded contracts. Technical Analysis: The Superfund trading strategy uses self-developed, fully-automated computerized trading systems. The systems use a wide array of technical indicators to identify price patterns offering a high probability of success. Based on these price patterns, the trading systems automatically issue real time buy and sell orders. Trend Following Strategies: The Superfund trading systems were designed primarily to profit from price trends. The lifespan of these trends varies; some last for a few days, others for several months. The key to success lies in limiting draw downs through the continual updating of stop-loss orders. In this way, if a trend reverses, losses can be limited; if a trend continues, profits can accumulate. Money Management: Consistent risk management represents the most important element of the Superfund trading strategy. It limits initial risk per trade to a pre-determined maximum of 2.0 percent of the fund's total assets. In addition, the trading systems continuously screen volatility and adjust portfolio exposure accordingly.

   

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
-51.57 125 - 6/1/2008 11/1/2018
-25.97 6 42 2/1/2004 8/1/2004
-22.79 5 7 2/1/2003 7/1/2003
-3.59 1 1 10/1/2002 11/1/2002
-1.57 1 1 3/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
41.77 3 12/1/2002 2/1/2003
37.87 3 12/1/2003 2/1/2004
30.32 4 9/1/2004 12/1/2004
21.44 3 2/1/2010 4/1/2010
21.07 5 12/1/2012 4/1/2013
20.63 2 2/1/2008 3/1/2008
18.13 3 4/1/2007 6/1/2007
16.04 2 9/1/2007 10/1/2007
15.79 5 10/1/2008 2/1/2009
15.78 1 5/1/2012 5/1/2012
15.63 2 4/1/2003 5/1/2003
15.10 3 8/1/2010 10/1/2010
13.93 1 11/1/2009 11/1/2009
13.34 2 5/1/2008 6/1/2008
11.36 1 12/1/2006 12/1/2006
10.53 2 3/1/2006 4/1/2006
10.13 1 12/1/2010 12/1/2010
9.32 3 8/1/2006 10/1/2006
9.30 1 4/1/2011 4/1/2011
9.02 2 10/1/2015 11/1/2015
8.81 1 11/1/2005 11/1/2005
8.04 2 2/1/2005 3/1/2005
7.21 1 5/1/2004 5/1/2004
6.87 1 1/1/2006 1/1/2006
6.43 2 8/1/2009 9/1/2009
6.36 3 8/1/2003 10/1/2003
6.36 1 10/1/2017 10/1/2017
6.25 2 8/1/2014 9/1/2014
6.23 2 8/1/2005 9/1/2005
5.91 1 11/1/2014 11/1/2014
5.55 1 7/1/2011 7/1/2011
5.27 2 12/1/2017 1/1/2018
4.42 3 10/1/2013 12/1/2013
4.35 2 1/1/2015 2/1/2015
4.10 1 2/1/2011 2/1/2011
4.09 2 6/1/2016 7/1/2016
3.44 2 1/1/2017 2/1/2017
2.85 1 2/1/2014 2/1/2014
2.82 1 12/1/2007 12/1/2007
2.75 2 5/1/2005 6/1/2005
2.54 1 7/1/2012 7/1/2012
2.07 2 7/1/2017 8/1/2017
1.75 1 7/1/2015 7/1/2015
1.62 1 3/1/2018 3/1/2018
1.58 1 5/1/2014 5/1/2014
1.33 1 5/1/2017 5/1/2017
1.24 1 2/1/2016 2/1/2016
0.99 1 7/1/2018 7/1/2018
0.95 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.07 5 3/1/2009 7/1/2009
-20.12 1 3/1/2003 3/1/2003
-18.22 3 1/1/2007 3/1/2007
-17.93 2 12/1/2009 1/1/2010
-17.80 3 6/1/2004 8/1/2004
-17.66 6 8/1/2011 1/1/2012
-17.41 3 5/1/2006 7/1/2006
-16.41 2 6/1/2003 7/1/2003
-16.00 2 3/1/2004 4/1/2004
-15.63 3 5/1/2010 7/1/2010
-14.72 4 8/1/2012 11/1/2012
-13.90 3 7/1/2008 9/1/2008
-13.29 5 8/1/2016 12/1/2016
-13.26 5 5/1/2013 9/1/2013
-12.22 1 4/1/2005 4/1/2005
-11.60 1 10/1/2009 10/1/2009
-10.67 2 5/1/2011 6/1/2011
-10.44 3 3/1/2016 5/1/2016
-9.87 1 1/1/2005 1/1/2005
-9.83 2 7/1/2007 8/1/2007
-9.42 1 6/1/2012 6/1/2012
-9.22 4 3/1/2015 6/1/2015
-8.60 4 8/1/2018 11/1/2018
-8.47 2 3/1/2012 4/1/2012
-7.93 1 10/1/2005 10/1/2005
-6.55 2 8/1/2015 9/1/2015
-6.40 3 4/1/2018 6/1/2018
-5.52 1 2/1/2018 2/1/2018
-4.69 1 11/1/2007 11/1/2007
-4.22 1 1/1/2011 1/1/2011
-4.05 2 12/1/2015 1/1/2016
-3.78 2 3/1/2014 4/1/2014
-3.66 1 2/1/2006 2/1/2006
-3.59 2 10/1/2002 11/1/2002
-2.85 1 7/1/2005 7/1/2005
-2.73 1 1/1/2008 1/1/2008
-2.71 1 11/1/2010 11/1/2010
-2.13 1 1/1/2014 1/1/2014
-2.05 2 6/1/2014 7/1/2014
-1.86 2 3/1/2017 4/1/2017
-1.76 1 6/1/2017 6/1/2017
-1.75 1 11/1/2003 11/1/2003
-1.59 1 10/1/2014 10/1/2014
-1.57 1 4/1/2008 4/1/2008
-1.28 1 11/1/2006 11/1/2006
-1.09 1 12/1/2014 12/1/2014
-0.60 1 3/1/2011 3/1/2011
-0.28 1 12/1/2005 12/1/2005
-0.14 1 11/1/2017 11/1/2017
-0.12 1 9/1/2017 9/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods194.00192.00189.00183.00177.00171.00159.00147.00135.00
Percent Profitable47.4248.4447.0949.1846.8943.8637.7436.7336.30
Average Period Return0.160.410.390.620.44-0.45-1.57-1.89-2.38
Average Gain5.018.1010.5612.7815.0615.4019.0022.2525.85
Average Loss-4.25-6.81-8.66-11.13-12.47-12.84-14.04-15.91-18.46
Best Period19.4541.7741.0342.1448.8654.4153.5360.7872.92
Worst Period-20.12-20.88-28.04-36.70-35.14-33.67-35.91-42.05-38.83
Standard Deviation6.269.9112.3314.8817.8317.7819.2921.8426.40
Gain Standard Deviation4.607.748.879.7313.2713.3814.0114.6421.65
Loss Standard Deviation3.875.146.597.889.338.558.099.6110.64
Sharpe Ratio (1%)0.010.02-0.01-0.03-0.06-0.14-0.24-0.27-0.28
Average Gain / Average Loss1.181.191.221.151.211.201.351.401.40
Profit / Loss Ratio1.071.121.091.111.070.940.820.810.80
Downside Deviation (10%)4.366.849.4012.8216.2318.6424.6931.2538.73
Downside Deviation (5%)4.186.268.1910.3012.2312.8214.9017.6220.63
Downside Deviation (0%)4.146.127.909.7111.3311.5412.7714.7716.98
Sortino Ratio (10%)-0.06-0.12-0.22-0.34-0.44-0.57-0.70-0.75-0.77
Sortino Ratio (5%)0.020.03-0.01-0.04-0.09-0.19-0.31-0.34-0.36
Sortino Ratio (0%)0.040.070.050.060.04-0.04-0.12-0.13-0.14

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 11.47 4/2013
Trend Following Strategy Index Month 8 14.41 3/2010
Systematic Trader Index Month 8 14.41 3/2010
Diversified Trader Index Month 7 14.41 3/2010
IASG CTA Index Month 9 14.41 3/2010
IASG CTA Index Month 6 11.36 12/2006
Trend Following Strategy Index Month 6 11.36 12/2006
Systematic Trader Index Month 6 11.36 12/2006
Diversified Trader Index Month 6 11.36 12/2006
Diversified Trader Index Month 6 6.15 3/2005
Systematic Trader Index Month 6 6.15 3/2005
Trend Following Strategy Index Month 6 6.15 3/2005
IASG CTA Index Month 8 6.15 3/2005
Diversified Trader Index Month 6 10.44 9/2004
IASG CTA Index Month 7 10.44 9/2004
Trend Following Strategy Index Month 5 10.44 9/2004
Systematic Trader Index Month 5 10.44 9/2004
Diversified Trader Index Month 5 7.21 5/2004
IASG CTA Index Month 6 7.21 5/2004
Systematic Trader Index Month 5 7.21 5/2004
Trend Following Strategy Index Month 4 7.21 5/2004
Trend Following Strategy Index Month 10 12.65 2/2004
IASG CTA Index Month 3 19.45 12/2003
Trend Following Strategy Index Month 3 19.45 12/2003
Systematic Trader Index Month 3 19.45 12/2003
Diversified Trader Index Month 3 19.45 12/2003
Trend Following Strategy Index Month 3 0.00 10/2002
Systematic Trader Index Month 10 0.00 10/2002
Diversified Trader Index Month 8 0.00 10/2002

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.