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/ Swiss Managed Futures / Equity Index Gap Trade

Swiss Managed Futures : Equity Index Gap Trade

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archived programsClosed to new investments
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
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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 Since
7/2013
Equity Index Gap Trade -6.49 - - - - - - -12.04
S&P 500 5.49 - - - - - - 140.85
+/- S&P 500 -11.98 - - - - - - -152.89

Strategy Description

Summary

This program is now closed and has been superseded by the II Program...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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This program is now closed and has been superseded by the II Program

Risk Management

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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.

Monthly Annual
Reward
Average RoR:
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Gain Frequency:
Average Gain:
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Loss Frequency:
Average Loss:
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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:
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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
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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
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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.

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