TrendConcept Fund MAA : Investment Program

archived programs
Year-to-Date
N / A
Mar Performance
-0.48%
Min Investment
$ 0k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
4.24%
Sharpe (RFR=0.50%)
0.32
CAROR
1.80%
Assets
$ 38.9M
Worst DD
-7.04
S&P Correlation
-0.17

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
9/2005
Investment Program -0.48 -1.79 - -1.64 -2.82 4.72 - 14.50
S&P 500 3.60 10.03 - 11.41 34.16 18.62 - 23.24
+/- S&P 500 -4.08 -11.81 - -13.05 -36.98 -13.89 - -8.75

Strategy Description

Summary

The TrendConcept Fund MAA is a systematic managed futures fund geared to utilizing opportunities in equities, bonds, foreign exchange and commodities. The fund is currently trading in 25 markets in North America, Europe and Asia with a view to minimizing the correlation between these... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 0k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1850 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
30.00%
Intraday
50.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
28.00%
Stock Indices
22.00%
Currency Futures
17.00%
Energy
9.00%
Precious Metals
8.00%
Grains
4.00%
Industrial Metals
4.00%
Livestock
4.00%
Softs
4.00%
Composition Pie Chart

Summary

The TrendConcept Fund MAA is a systematic managed futures fund geared to utilizing opportunities in equities, bonds, foreign exchange and commodities. The fund is currently trading in 25 markets in North America, Europe and Asia with a view to minimizing the correlation between these markets. Allocation is dynamic and is based on technical and quantitative models that are used to identify short and mid-term trends. Depending on the trend, the fund systematically takes both long and short positions in liquid exchange-traded futures. Once a position has been opened, it is constantly monitored by a real-time risk and money management system. The aim is to achieve an absolute return with reduced volatility, irrespective of capital market trends.

   

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=0.50%)
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=0.50%)
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
-7.04 22 - 8/1/2009 6/1/2011
-3.75 4 5 4/1/2006 8/1/2006
-3.69 2 8 1/1/2007 3/1/2007
-2.35 3 2 12/1/2008 3/1/2009
-2.23 1 3 11/1/2005 12/1/2005
-1.33 1 1 6/1/2008 7/1/2008
-1.24 2 1 3/1/2008 5/1/2008
-1.10 1 1 11/1/2007 12/1/2007
-0.59 1 1 5/1/2009 6/1/2009
-0.33 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
10.03 5 8/1/2008 12/1/2008
5.63 4 1/1/2006 4/1/2006
4.85 3 1/1/2008 3/1/2008
4.70 5 9/1/2006 1/1/2007
3.67 2 7/1/2011 8/1/2011
3.50 2 4/1/2009 5/1/2009
3.48 3 9/1/2007 11/1/2007
2.75 3 11/1/2012 1/1/2013
1.94 1 6/1/2007 6/1/2007
1.80 1 6/1/2008 6/1/2008
1.50 2 7/1/2009 8/1/2009
1.37 1 4/1/2007 4/1/2007
1.01 1 1/1/2012 1/1/2012
0.93 1 11/1/2005 11/1/2005
0.86 1 12/1/2010 12/1/2010
0.78 1 4/1/2011 4/1/2011
0.61 3 7/1/2012 9/1/2012
0.56 1 1/1/2010 1/1/2010
0.53 3 5/1/2010 7/1/2010
0.37 1 11/1/2009 11/1/2009
0.21 1 9/1/2005 9/1/2005
0.20 1 2/1/2011 2/1/2011
0.20 1 9/1/2010 9/1/2010
0.19 1 10/1/2011 10/1/2011
0.01 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.75 4 5/1/2006 8/1/2006
-3.69 2 2/1/2007 3/1/2007
-2.76 2 2/1/2013 3/1/2013
-2.37 5 2/1/2012 6/1/2012
-2.23 1 12/1/2005 12/1/2005
-2.03 3 2/1/2010 4/1/2010
-2.00 1 3/1/2009 3/1/2009
-1.71 2 5/1/2011 6/1/2011
-1.67 2 9/1/2009 10/1/2009
-1.56 2 10/1/2010 11/1/2010
-1.33 1 7/1/2008 7/1/2008
-1.29 2 11/1/2011 12/1/2011
-1.26 2 7/1/2007 8/1/2007
-1.25 1 3/1/2011 3/1/2011
-1.24 2 4/1/2008 5/1/2008
-1.19 1 5/1/2007 5/1/2007
-1.16 1 1/1/2011 1/1/2011
-1.10 1 12/1/2009 12/1/2009
-1.10 1 12/1/2007 12/1/2007
-0.59 1 6/1/2009 6/1/2009
-0.39 1 10/1/2012 10/1/2012
-0.37 1 1/1/2009 1/1/2009
-0.33 1 10/1/2005 10/1/2005
-0.23 1 8/1/2010 8/1/2010
-0.04 1 9/1/2011 9/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods91.0089.0086.0080.0074.0068.0056.0044.0032.00
Percent Profitable53.8551.6954.6561.2559.4660.2969.6486.36100.00
Average Period Return0.160.521.072.093.424.878.1010.7112.88
Average Gain1.042.123.134.647.169.6912.9512.7212.88
Average Loss-0.90-1.20-1.41-1.94-2.07-2.46-3.04-2.03
Best Period3.337.609.6214.4516.8219.4421.4421.6918.48
Worst Period-2.29-3.68-3.13-3.81-5.80-6.13-5.98-3.254.72
Standard Deviation1.222.172.954.656.277.398.766.983.16
Gain Standard Deviation0.851.722.444.195.435.485.485.113.16
Loss Standard Deviation0.640.920.801.171.771.471.810.75
Sharpe Ratio (1%)0.060.120.190.240.310.390.580.952.46
Average Gain / Average Loss1.161.772.212.393.473.944.266.25
Profit / Loss Ratio1.391.892.673.795.085.999.7839.60
Downside Deviation (10%)0.981.832.764.896.918.6711.4912.8515.08
Downside Deviation (5%)0.781.191.391.972.542.973.492.300.07
Downside Deviation (0%)0.731.041.091.411.721.791.930.79
Sortino Ratio (10%)-0.26-0.39-0.51-0.59-0.60-0.62-0.67-0.84-0.98
Sortino Ratio (5%)0.090.220.410.550.750.961.452.90116.42
Sortino Ratio (0%)0.210.490.981.491.992.714.1913.51

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.