Valorem Investments LLC : Dynamic Currency-Absolute Return

Year-to-Date
0.65%
Sep Performance
0.16%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
1.33%
Sharpe (RFR=1%)
-0.74
CAROR
-
Assets
$ 993k
Worst DD
-1.04
S&P Correlation
0.34

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
4/2018
Dynamic Currency-Absolute Return 0.16 -0.23 0.65 1.03 - - - 0.00
S&P 500 1.72 1.19 18.74 2.15 - - - 14.70
+/- S&P 500 -1.56 -1.42 -18.08 -1.12 - - - -14.70

Strategy Description

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
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
0 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
50.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Currency Futures
100.00%
Composition Pie Chart
   

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
-1.04 6 3 4/1/2018 10/1/2018
-0.87 2 4 1/1/2019 3/1/2019
-0.39 1 - 7/1/2019 8/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
1.04 2 6/1/2019 7/1/2019
0.71 1 1/1/2019 1/1/2019
0.44 1 11/1/2018 11/1/2018
0.18 1 9/1/2018 9/1/2018
0.16 1 9/1/2019 9/1/2019
0.09 1 7/1/2018 7/1/2018
0.06 1 4/1/2019 4/1/2019
0.02 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.87 2 2/1/2019 3/1/2019
-0.68 2 5/1/2018 6/1/2018
-0.39 1 8/1/2019 8/1/2019
-0.32 1 10/1/2018 10/1/2018
-0.31 1 8/1/2018 8/1/2018
-0.07 1 12/1/2018 12/1/2018
-0.05 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable50.0050.0069.2357.14
Average Period Return0.000.040.060.09
Average Gain0.300.510.320.61
Average Loss-0.30-0.42-0.52-0.59
Best Period0.711.080.820.80
Worst Period-0.64-0.81-1.04-0.82
Standard Deviation0.380.570.510.70
Gain Standard Deviation0.260.370.270.27
Loss Standard Deviation0.210.260.430.35
Sharpe Ratio (1%)-0.21-0.36-0.87-1.29
Average Gain / Average Loss1.001.200.611.03
Profit / Loss Ratio1.001.201.371.37
Downside Deviation (10%)0.541.312.464.95
Downside Deviation (5%)0.300.510.651.11
Downside Deviation (0%)0.250.340.350.43
Sortino Ratio (10%)-0.75-0.91-0.98-0.99
Sortino Ratio (5%)-0.27-0.41-0.68-0.81
Sortino Ratio (0%)0.000.130.170.22

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.