Vallen Advisors : Vallen Short-Term Systematic

archived programs
Year-to-Date
N / A
Aug Performance
-2.70%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.34%
Sharpe (RFR=1%)
0.56
CAROR
5.42%
Assets
$ 1.0M
Worst DD
-13.07
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Vallen Short-Term Systematic -2.70 - - - - -1.90 - 27.95
S&P 500 -0.12 - - - - 78.08 - 164.00
+/- S&P 500 -2.58 - - - - -79.98 - -136.05

Strategy Description

Summary

Vallen Advisors employs numerous proprietary quantitative models to make accurate risk adjusted predictions of future price movements in liquid global markets. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $3.00
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 1100 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 6.30%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
40.00%
Momentum
40.00%
Pattern Recognition
20.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Precious Metals
13.00%
Energy
12.00%
Composition Pie Chart

Summary

Vallen Advisors employs numerous proprietary quantitative models to make accurate risk adjusted predictions of future price movements in liquid global markets.

Investment Strategy

Vallen Advisors, LLC is an alternative investment management firm focusing on short term systematic prediction strategies. At Vallen we have developed investment best practices from 30+ years of quantitative research and investing experience. Our Research & Trading Group works on projects ranging from new markets to model enhancements to the reduction of trade execution costs. We employ numerous proprietary quantitative models to make accurate risk adjusted predictions of future price movements in liquid global markets. Vallen research focuses its market predictive analysis on the maximization of the longer term Sharpe Ratio of each strategy and its impact on the overall Sharpe Ratio of the portfolio. Vallen believes that this focus will yield our investors the optimal return over the long run.

Risk Management

Vallen has extensive real world experience in the risk management field. We believe that to invest in any Investment Strategy one needs to fully understand the daily risk and the maximum drawdown potential of the Strategy and be comfortable with those potential outcomes. We have daily monitoring of VaR, Stress Testing & Margin to Equity Ratio for risk control

   

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
-13.07 19 - 5/1/2014 12/1/2015
-4.67 1 3 11/1/2012 12/1/2012
-1.37 1 1 5/1/2012 6/1/2012
-0.83 1 1 7/1/2012 8/1/2012
-0.65 1 2 1/1/0001 1/1/2012
-0.64 1 3 8/1/2013 9/1/2013
-0.58 1 1 12/1/2013 1/1/2014
-0.35 1 1 3/1/2012 4/1/2012
-0.18 1 1 4/1/2013 5/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
11.82 3 6/1/2013 8/1/2013
8.37 3 9/1/2012 11/1/2012
7.12 1 5/1/2012 5/1/2012
6.63 1 1/1/2015 1/1/2015
5.95 2 3/1/2013 4/1/2013
5.29 4 2/1/2014 5/1/2014
4.93 2 6/1/2016 7/1/2016
3.08 1 1/1/2016 1/1/2016
2.92 2 2/1/2012 3/1/2012
1.96 1 1/1/2013 1/1/2013
1.90 2 7/1/2015 8/1/2015
1.58 1 7/1/2012 7/1/2012
1.50 3 10/1/2013 12/1/2013
1.09 1 11/1/2014 11/1/2014
1.00 1 10/1/2015 10/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.37 5 2/1/2015 6/1/2015
-6.45 5 6/1/2014 10/1/2014
-5.38 2 11/1/2015 12/1/2015
-4.67 1 12/1/2012 12/1/2012
-2.70 1 8/1/2016 8/1/2016
-1.85 4 2/1/2016 5/1/2016
-1.73 1 12/1/2014 12/1/2014
-1.37 1 6/1/2012 6/1/2012
-0.83 1 8/1/2012 8/1/2012
-0.65 1 1/1/2012 1/1/2012
-0.64 1 9/1/2013 9/1/2013
-0.61 1 9/1/2015 9/1/2015
-0.58 1 1/1/2014 1/1/2014
-0.35 1 4/1/2012 4/1/2012
-0.18 1 5/1/2013 5/1/2013
-0.08 1 2/1/2013 2/1/2013
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Time Windows Analysis

 5 Year1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods4.0056.0054.0051.0045.0039.0033.0021.00
Percent Profitable100.0050.0062.9664.7157.7858.9757.5895.24
Average Period Return92.380.471.542.885.628.9211.2516.69
Average Gain92.382.304.056.4013.4719.8224.2717.79
Average Loss-1.36-2.72-3.56-5.11-6.74-6.40-5.21
Best Period93.267.1211.8218.2624.4735.4138.4042.13
Worst Period90.45-4.67-5.70-9.18-10.04-12.93-12.05-5.21
Standard Deviation1.302.414.086.1110.8915.5517.4913.03
Gain Standard Deviation1.301.872.694.417.1310.5210.7212.33
Loss Standard Deviation1.171.872.332.942.633.21
Sharpe Ratio (1%)66.890.160.320.390.420.480.531.05
Average Gain / Average Loss1.691.491.802.632.943.793.41
Profit / Loss Ratio1.692.533.303.604.235.1468.24
Downside Deviation (10%)1.492.653.866.919.4911.147.66
Downside Deviation (5%)1.302.122.764.395.535.841.83
Downside Deviation (0%)1.262.002.513.814.614.631.14
Sortino Ratio (10%)0.040.120.110.090.140.090.12
Sortino Ratio (5%)0.300.610.861.051.341.587.47
Sortino Ratio (0%)0.370.771.151.481.932.4314.67

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.