Swiss Managed Futures : Equity Index Gap Trade Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance -6.49% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 7.89% Sharpe (RFR=1%) -1.06 CAROR - Assets $ 400k Worst DD -15.12 S&P Correlation -0.31 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since7/2013 Equity Index Gap Trade -6.49 - - - - - - -12.04 S&P 500 5.49 - - - - - - 140.85 +/- S&P 500 -11.98 - - - - - - -152.89 Strategy Description SummaryThis program is now closed and has been superseded by the II Program... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 5.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $4.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3000 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -15.00% Worst Peak-to-Trough Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Other 100.00% Composition Stock Indices 100.00% SummaryThis program is now closed and has been superseded by the II ProgramRisk Management. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -15.12 17 - 9/1/2013 2/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 3.63 3 7/1/2013 9/1/2013 3.18 2 12/1/2014 1/1/2015 1.36 2 5/1/2014 6/1/2014 0.82 1 12/1/2013 12/1/2013 0.44 1 3/1/2014 3/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.99 5 7/1/2014 11/1/2014 -6.49 1 2/1/2015 2/1/2015 -1.20 2 10/1/2013 11/1/2013 -0.74 2 1/1/2014 2/1/2014 -0.71 1 4/1/2014 4/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods20.0018.0015.009.00 Percent Profitable45.0044.4433.3311.11 Average Period Return-0.61-1.67-3.68-6.71 Average Gain1.041.051.283.58 Average Loss-1.97-3.84-6.17-8.00 Best Period3.043.633.233.58 Worst Period-6.49-7.95-11.86-14.15 Standard Deviation2.283.405.145.77 Gain Standard Deviation0.981.101.17 Loss Standard Deviation2.143.024.464.58 Sharpe Ratio (1%)-0.31-0.56-0.81-1.34 Average Gain / Average Loss0.530.270.210.45 Profit / Loss Ratio0.430.220.100.06 Downside Deviation (10%)2.334.367.9012.91 Downside Deviation (5%)2.153.726.459.40 Downside Deviation (0%)2.113.576.118.55 Sortino Ratio (10%)-0.44-0.66-0.78-0.91 Sortino Ratio (5%)-0.32-0.52-0.65-0.82 Sortino Ratio (0%)-0.29-0.47-0.60-0.78 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. x {{title}} x {{title}} Add Cancel