The SEMA4 Group LLC : The SEMA4 eMini S&P MidCap 400 Index Program

archived programs
Year-to-Date
N / A
Jan Performance
0.97%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.55%
Sharpe (RFR=1%)
0.47
CAROR
5.60%
Assets
$ 1.0M
Worst DD
-22.93
S&P Correlation
-0.33

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2007
The SEMA4 eMini S&P MidCap 400 Index Program 0.97 - - - - - -17.61 49.17
S&P 500 -3.10 - - - - - 68.86 131.33
+/- S&P 500 4.07 - - - - - -86.47 -82.16

Strategy Description

Summary

The goal of this program is to produce long-term average annual returns superior to those of a broad equity index but with significantly lower volatility, smaller drawdowns, and zero/negative correlation to any broad equity index.... Read More

Account & Fees

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

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 9.95%
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 1.00%
Systematic 99.00%

Strategy

Counter-trend
33.00%
Trend-following
34.00%
Other
33.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The goal of this program is to produce long-term average annual returns superior to those of a broad equity index but with significantly lower volatility, smaller drawdowns, and zero/negative correlation to any broad equity index.

Investment Strategy

This program uses a highly sophisticated and fully automated quantitative algorithm to identify and exploit transient inefficiencies in the prices of the eMini S&P Midcap 400 index futures. Under normal circumstances no position is held overnight. Both long and short positions are taken, providing the opportunity for this program to generate positive returns in both rising and falling markets. The models comprising this program include trend-following, countertrend, and trend-independent components, including a proprietary approach known as Closing Range Extension.

Risk Management

Risk management is a core feature of the program, and takes precedence over all other considerations. Absent an event which prevents the execution of our orders (e.g. exchange closure, etc.), the program is configured so that no daily loss exceeds a predefined percentage of capital. This is accomplished through a combination of dynamic entry/exit logic which adapts in real time to changes in market volatility and an innovative model for determining position size which proactively manages the maximum daily loss without impeding the entry/exit models in any way.

   

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:
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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
-22.93 34 - 11/1/2011 9/1/2014
-9.95 11 5 1/1/2009 12/1/2009
-7.88 11 4 8/1/2010 7/1/2011
-7.77 1 1 1/1/0001 10/1/2007
-0.75 1 1 5/1/2008 6/1/2008
-0.55 2 1 2/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
37.32 7 7/1/2008 1/1/2009
31.85 4 11/1/2007 2/1/2008
14.86 5 4/1/2010 8/1/2010
8.74 4 8/1/2011 11/1/2011
5.99 2 1/1/2010 2/1/2010
4.68 1 5/1/2008 5/1/2008
1.75 2 12/1/2014 1/1/2015
1.58 1 10/1/2013 10/1/2013
1.52 1 10/1/2009 10/1/2009
1.39 1 10/1/2014 10/1/2014
1.35 1 5/1/2013 5/1/2013
0.91 2 12/1/2010 1/1/2011
0.74 1 2/1/2013 2/1/2013
0.64 1 5/1/2009 5/1/2009
0.55 2 2/1/2014 3/1/2014
0.09 1 6/1/2012 6/1/2012
0.07 1 11/1/2012 11/1/2012
0.02 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.36 6 12/1/2011 5/1/2012
-7.77 1 10/1/2007 10/1/2007
-5.45 4 6/1/2013 9/1/2013
-5.25 6 2/1/2011 7/1/2011
-5.16 4 6/1/2009 9/1/2009
-4.66 3 2/1/2009 4/1/2009
-4.63 4 7/1/2012 10/1/2012
-4.31 4 4/1/2014 7/1/2014
-3.66 3 9/1/2010 11/1/2010
-2.52 2 11/1/2009 12/1/2009
-1.78 3 11/1/2013 1/1/2014
-1.63 1 9/1/2014 9/1/2014
-0.86 2 12/1/2012 1/1/2013
-0.75 1 6/1/2008 6/1/2008
-0.64 1 3/1/2010 3/1/2010
-0.55 2 3/1/2008 4/1/2008
-0.42 2 3/1/2013 4/1/2013
-0.34 1 11/1/2014 11/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable43.1845.3543.3740.2647.8949.2352.8339.0244.83
Average Period Return0.501.612.945.275.256.028.2410.1212.18
Average Gain2.786.5912.1621.5120.4223.8028.0040.3735.67
Average Loss-1.29-2.53-4.12-5.67-8.69-11.22-13.90-9.24-6.89
Best Period12.9023.7336.5070.9878.3572.8199.10101.9774.64
Worst Period-7.77-5.99-10.36-14.38-13.94-17.98-22.12-22.29-11.17
Standard Deviation3.056.3310.7718.4919.4021.7030.1332.1425.67
Gain Standard Deviation3.216.2710.4119.8418.2917.8329.2832.4921.16
Loss Standard Deviation1.261.722.623.292.823.296.067.822.36
Sharpe Ratio (1%)0.140.210.230.230.190.180.170.190.28
Average Gain / Average Loss2.162.602.953.792.352.122.014.375.17
Profit / Loss Ratio1.712.162.262.562.162.062.262.804.20
Downside Deviation (10%)1.563.065.358.6711.9515.5421.5625.4826.47
Downside Deviation (5%)1.372.413.985.747.639.7112.3312.019.08
Downside Deviation (0%)1.322.253.665.056.588.3210.389.375.40
Sortino Ratio (10%)0.060.120.090.03-0.20-0.27-0.35-0.45-0.58
Sortino Ratio (5%)0.300.560.610.740.490.410.420.500.78
Sortino Ratio (0%)0.380.710.801.040.800.720.791.082.26

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.