S.Z. Trading : Global Diversified Higher Leveraged Trend Program

archived programsClosed to new investments
Year-to-Date
N / A
Mar Performance
0.38%
Min Investment
$ 0k
Mgmt. Fee
Perf. Fee
0%
Annualized Vol
59.74%
Sharpe (RFR=1%)
0.70
CAROR
33.88%
Assets
$ 0k
Worst DD
-32.04
S&P Correlation
-0.34

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2008
Global Diversified Higher Leveraged Trend Program 0.38 - - - - - - 92.79
S&P 500 5.88 - - - - - - 151.29
+/- S&P 500 -5.50 - - - - - - -58.50

Strategy Description

Summary

Higher leveraged diversified portfolio of multiple systems and markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -100.00%
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Summary

Higher leveraged diversified portfolio of multiple systems and markets.

Investment Strategy

Private investment program.

Risk Management

Enhanced risk for higher returns with projected maximum drawdown of 40%. Monte Carlo 99% confidence level maximum drawdown 73%.

   

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
-32.04 7 - 1/1/2009 8/1/2009
-19.18 4 3 3/1/2008 7/1/2008
-2.47 1 1 1/1/0001 1/1/2008
-2.06 1 2 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
73.07 1 10/1/2008 10/1/2008
22.62 1 8/1/2008 8/1/2008
21.62 2 2/1/2008 3/1/2008
21.49 2 2/1/2010 3/1/2010
19.83 1 9/1/2009 9/1/2009
12.69 1 5/1/2009 5/1/2009
6.40 2 12/1/2008 1/1/2009
5.06 1 5/1/2008 5/1/2008
1.86 1 11/1/2009 11/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.76 3 6/1/2009 8/1/2009
-21.93 3 2/1/2009 4/1/2009
-18.95 2 6/1/2008 7/1/2008
-5.09 1 4/1/2008 4/1/2008
-4.96 2 12/1/2009 1/1/2010
-3.96 1 10/1/2009 10/1/2009
-2.47 1 1/1/2008 1/1/2008
-2.06 1 11/1/2008 11/1/2008
-1.14 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable44.4452.0059.0968.75100.00
Average Period Return3.5910.6319.4434.5952.44
Average Gain15.3428.8341.8757.2252.44
Average Loss-5.81-9.08-12.96-15.20
Best Period73.07109.80118.63114.8965.90
Worst Period-16.60-22.76-27.29-24.2841.17
Standard Deviation17.2430.4339.8343.879.87
Gain Standard Deviation20.0832.4336.9732.489.87
Loss Standard Deviation4.767.5910.808.42
Sharpe Ratio (1%)0.200.340.480.775.16
Average Gain / Average Loss2.643.173.233.77
Profit / Loss Ratio2.113.444.678.28
Downside Deviation (10%)5.768.7411.8412.05
Downside Deviation (5%)5.578.1910.809.99
Downside Deviation (0%)5.528.0610.549.48
Sortino Ratio (10%)0.551.081.432.46
Sortino Ratio (5%)0.631.271.753.36
Sortino Ratio (0%)0.651.321.843.65

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.