Systematic Absolute Return AG : SAR Adaptive Asset Allocation (AAA)

archived programs
Year-to-Date
N / A
Feb Performance
2.41%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
0.00%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
$ 1.0M
Worst DD
N/A
S&P Correlation
0.00

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
2/2017
SAR Adaptive Asset Allocation (AAA) 2.41 - - - - - - 2.41
S&P 500 3.72 - - - - - - 36.94
+/- S&P 500 -1.31 - - - - - - -34.53

Strategy Description

Summary

The SAR Adaptive Asset Allocation (AAA) is an actively managed, diversified strategy with daily liquidity, running a dynamic and adaptive asset allocation strategy covering all global asset classes. AAA gains exposure to these asset classes via liquid Futures. The strategy dynamically... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 2.00
Management Fee 1.00%
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 24.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 30.00%
1-30 Days 70.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Momentum
70.00%
Other
30.00%
Strategy Pie Chart

Composition

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

Summary

The SAR Adaptive Asset Allocation (AAA) is an actively managed, diversified strategy with daily liquidity, running a dynamic and adaptive asset allocation strategy covering all global asset classes. AAA gains exposure to these asset classes via liquid Futures. The strategy dynamically balances and adjusts portfolio holdings.

Investment Strategy

Invests on average into 14 underlying instruments Long positions only The geographical breakdown is global.

Risk Management

The objective is to outperform a passively invested, globally balanced 60% equity, 40% bond portfolio while minimizing overall portfolio volatility with managed tail risk.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
2.41 1 2/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
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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.