Valia Capital Management : Global Tactical Program

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-0.02%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.75%
Sharpe (RFR=1%)
-0.48
CAROR
-2.42%
Assets
$ 2.1M
Worst DD
-20.99
S&P Correlation
0.04

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Global Tactical Program -0.02 -0.06 - -1.21 1.50 - - -10.80
S&P 500 -9.18 -13.97 - -6.24 21.41 - - 39.16
+/- S&P 500 9.16 13.91 - 5.03 -19.91 - - -49.96

Strategy Description

Summary

The head trader of Valia Capital Management is Anthony Lazzara, former member of the CBOT. Anthony is a veteran futures trader. Valia Capital Management is an unconstrained, global investment firm created to manage assets using a highly risk-senstive, technical trading approach... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
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
3500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-7.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
60.00%
Intraday
30.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Composition

Precious Metals
25.00%
Energy
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Composition Pie Chart

Summary

The head trader of Valia Capital Management is Anthony Lazzara, former member of the CBOT. Anthony is a veteran futures trader. Valia Capital Management is an unconstrained, global investment firm created to manage assets using a highly risk-senstive, technical trading approach for QEP investors. Our trading style can be summarized as highly technical, relatively short-term (1-10 day holds), and opportunistic. The 4 key asset classes traded are: SP500, gold and metals spreads, crude oil, and bonds.

Investment Strategy

Valia is constantly monitoring our key markets and asset classes for short-term technical entry points with a very risk-managed approach which seeks outsized gains relative to risk taken. We do consider the fundamental backdrops of each market, however much of the trading is technically based.

Risk Management

Valia's hallmark is risk management. After 2014, Valia drastically refined the risk protocol of the program, and that has beneficially altered the landscape of post-2014 performance. Valia enters each trade (typically) with small positions, and then may add to positions upon market movement. Trailing stops are used as a further risk-management practice, as well as stops upon entry.

   

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
-20.99 12 - 6/1/2014 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
14.37 4 7/1/2015 10/1/2015
5.38 4 2/1/2016 5/1/2016
2.66 2 1/1/2015 2/1/2015
1.92 1 10/1/2016 10/1/2016
1.49 2 7/1/2016 8/1/2016
1.24 1 1/1/2017 1/1/2017
0.88 1 4/1/2015 4/1/2015
0.83 2 8/1/2017 9/1/2017
0.66 1 3/1/2017 3/1/2017
0.58 2 5/1/2014 6/1/2014
0.46 1 5/1/2017 5/1/2017
0.45 3 2/1/2018 4/1/2018
0.17 1 11/1/2017 11/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.71 6 7/1/2014 12/1/2014
-3.30 3 11/1/2015 1/1/2016
-2.96 2 5/1/2015 6/1/2015
-2.83 2 11/1/2016 12/1/2016
-1.72 2 6/1/2017 7/1/2017
-1.65 8 5/1/2018 12/1/2018
-1.57 1 6/1/2016 6/1/2016
-1.10 1 2/1/2017 2/1/2017
-0.85 1 3/1/2015 3/1/2015
-0.57 1 9/1/2016 9/1/2016
-0.52 1 4/1/2017 4/1/2017
-0.51 2 12/1/2017 1/1/2018
-0.37 1 10/1/2017 10/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable44.6437.0437.2540.0041.0345.4557.14
Average Period Return-0.19-0.55-0.850.391.732.283.23
Average Gain1.212.734.417.729.159.189.64
Average Loss-1.31-2.47-3.98-4.49-3.43-3.48-5.32
Best Period4.2510.1913.2215.0615.0215.5513.77
Worst Period-7.61-15.63-20.71-20.99-10.55-9.37-9.57
Standard Deviation1.954.386.868.447.607.508.39
Gain Standard Deviation1.293.024.074.965.545.083.81
Loss Standard Deviation1.643.916.266.523.302.753.51
Sharpe Ratio (1%)-0.14-0.18-0.20-0.070.030.040.02
Average Gain / Average Loss0.921.101.111.722.672.641.81
Profit / Loss Ratio0.750.650.661.151.862.202.42
Downside Deviation (10%)1.764.257.098.959.0510.7414.97
Downside Deviation (5%)1.593.746.036.534.534.515.88
Downside Deviation (0%)1.553.635.816.063.613.244.10
Sortino Ratio (10%)-0.34-0.42-0.47-0.51-0.65-0.74-0.84
Sortino Ratio (5%)-0.17-0.21-0.22-0.090.050.060.03
Sortino Ratio (0%)-0.12-0.15-0.150.060.480.700.79

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 4.25 10/2015
Diversified Trader Index Month 9 4.25 10/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.