TrendMax : TrendMax Global Opportunities

archived programs
Year-to-Date
N / A
Sep Performance
-12.16%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
32.46%
Sharpe (RFR=1%)
0.49
CAROR
12.79%
Assets
$ 1.9M
Worst DD
-33.30
S&P Correlation
-0.14

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/2008
TrendMax Global Opportunities -12.16 - - - - - -14.45 44.93
S&P 500 -7.18 - - - - - 8.68 197.00
+/- S&P 500 -4.98 - - - - - -23.14 -152.07

Strategy Description

Summary

The Global Trend Program uses a 100% proprietary mechanical trading system to identify trends in over 50 world commodity futures markets. Through extensive testing, we have arrived at a model and portfolio set that we feel effectively balances the risks and rewards of futures trading.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
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 2500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -30.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

The Global Trend Program uses a 100% proprietary mechanical trading system to identify trends in over 50 world commodity futures markets. Through extensive testing, we have arrived at a model and portfolio set that we feel effectively balances the risks and rewards of futures trading. The model is a long-term trend following model and as such, will tend to capture price movement trends after solid establishment. All market entry and exit signals are generated by the trading system based on analysis of daily data. The Global Trend trading model is driven by the influences of "crowd psychology", or the "herd instinct" that we find present in large-scale market movements. The model has built in money management parameters to determine initial trade entry, profit protection, continual position protection using market stop orders and position sizing in the event of a larger than standard draw down.

Investment Strategy

Trend Following

Risk Management

IPS – Initial Position Sizing: One of Global Trend’s key risk management techniques is initial position sizing (IPS). Initial position sizing is a function of both past and current volatility in the market to be traded. As current volatility increases position size decreases and vice versa. Initial position sizing is also a function of current account equity. As the profits accumulate over time position sizes will gradually increase to maintain the relative risk and return profile. During periods of draw downs, position sizes are gradually reduced to prevent becoming over leveraged. Global Market Diversification: By broadly diversifying across a wide array of over 40 markets, the trading system diminishes the importance of any one position in the portfolio reducing risk even further. Testing has shown that these parameters effectively reduce initial trade risk, as well as, portfolio risk on a continuing basis. We also constantly seek to improve the system’s performance through exhaustive research and testing on both the systematic front as well as the markets traded in the Program. As new commodity markets develop and become liquid, we will seek to exploit profit opportunities in these markets as well. Fat Tail Risk: One of the core focuses of the Program is the reduction of initial start trade draw down and the limiting of “fat tail” risk. Fat Tails are loosely defined as the “black swan” events that tend to de-rail otherwise successful programs. By using standard risk measures such as VAR, we believe that many managers expose their clients to fat tails, as evidenced by the performance of seemingly steady and secure managers in the October to December period of 2008. We believe that these type of event driven risks (fat tails) are due to be more prevalent in the markets and we have specifically designed the Global Trend risk model to allow is to fairly value our open market 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

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-33.30 8 - 1/1/2011 9/1/2011
-20.25 10 7 12/1/2008 10/1/2009
-8.52 1 1 10/1/2010 11/1/2010
-1.72 1 1 1/1/0001 9/1/2008
-0.90 1 1 8/1/2010 9/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
52.89 3 10/1/2008 12/1/2008
33.25 6 3/1/2010 8/1/2010
21.96 2 12/1/2010 1/1/2011
16.00 1 10/1/2010 10/1/2010
12.96 1 11/1/2009 11/1/2009
12.91 2 8/1/2009 9/1/2009
3.54 2 7/1/2011 8/1/2011
2.95 1 4/1/2011 4/1/2011
2.82 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.71 2 5/1/2011 6/1/2011
-16.32 1 10/1/2009 10/1/2009
-15.41 5 3/1/2009 7/1/2009
-12.16 1 9/1/2011 9/1/2011
-11.28 2 2/1/2011 3/1/2011
-8.52 1 11/1/2010 11/1/2010
-6.08 3 12/1/2009 2/1/2010
-2.95 1 1/1/2009 1/1/2009
-1.72 1 9/1/2008 9/1/2008
-0.90 1 9/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable51.3554.2953.1369.23100.00100.00
Average Period Return1.414.207.2918.3928.9936.16
Average Gain7.8715.0223.3630.9228.9936.16
Average Loss-5.42-8.64-10.92-9.82
Best Period36.0552.8950.4169.6071.3170.83
Worst Period-16.32-18.30-25.37-15.200.451.20
Standard Deviation9.3715.7421.3126.3121.0118.66
Gain Standard Deviation8.1113.3014.8721.6621.0118.66
Loss Standard Deviation4.515.069.154.34
Sharpe Ratio (1%)0.140.250.320.661.311.83
Average Gain / Average Loss1.451.742.143.15
Profit / Loss Ratio1.532.062.427.08
Downside Deviation (10%)5.087.4510.998.561.952.42
Downside Deviation (5%)4.916.869.896.410.240.22
Downside Deviation (0%)4.866.719.625.90
Sortino Ratio (10%)0.200.400.441.5610.9810.71
Sortino Ratio (5%)0.270.580.692.71116.29158.00
Sortino Ratio (0%)0.290.630.763.12

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.