Valu-Trac Investment Management : 2.5XUSD

archived programs
Year-to-Date
N / A
Feb Performance
-8.94%
Min Investment
$ 1,000k
Mgmt. Fee
5.00%
Perf. Fee
20.00%
Annualized Vol
39.09%
Sharpe (RFR=1%)
0.28
CAROR
4.37%
Assets
$ 44k
Worst DD
-47.44
S&P Correlation
0.12

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2004
2.5XUSD -8.94 - - - - - -22.32 47.44
S&P 500 1.11 - - - - - 80.04 202.56
+/- S&P 500 -10.05 - - - - - -102.37 -155.12

Strategy Description

Summary

-Valu-Trac Strategic is a global absolute return alternative investment strategy. It is diversified over equity and bond markets, currencies and commodities. Its investment edge comes from a systematic application of the Level and Behavior of Intrinsic Value. Intrinsic Value, for income... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 5.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1300 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

Composition

Summary

-Valu-Trac Strategic is a global absolute return alternative investment strategy. It is diversified over equity and bond markets, currencies and commodities. Its investment edge comes from a systematic application of the Level and Behavior of Intrinsic Value. Intrinsic Value, for income producing assets such as equities and bonds, is a long-term, globally consistent, potential annual real rate of income return, incorporating objective growth and inflation rates. Intrinsic Value for currencies and commodities is calculated with reference to monetary inflation. Valu-Trac Strategic as an investment strategy was launched in October 2002 as a managed account. The inception of Valu-Trac Strategic Fund SPC was 3 March 2003. Valu-Trac Strategic is available either as a managed account or through investment in the Fund. The Fund is available in a number of different currency denominations and different leverages. The performance returns shown are for a representative account for the Valu-Trac Strategic SPC 10x USD program which is our higher leverage program targeting an annualized volatility of 25%. Assets shown are the aggregated assets managed under the 10x USD program. Standard dealing instruments include futures and forwards and the strategy is registered as a CTA/CPO with the NFA.

   

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
-47.44 18 7 2/1/2004 8/1/2005
-46.04 22 - 4/1/2011 2/1/2013
-37.43 6 15 2/1/2008 8/1/2008
-29.13 5 13 4/1/2006 9/1/2006
-27.36 1 3 10/1/2007 11/1/2007
-18.46 2 4 11/1/2009 1/1/2010
-16.69 1 3 6/1/2010 7/1/2010
-8.91 1 1 2/1/2011 3/1/2011
-0.03 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
99.39 6 11/1/2005 4/1/2006
49.86 2 9/1/2007 10/1/2007
37.74 3 10/1/2006 12/1/2006
35.16 1 2/1/2008 2/1/2008
30.70 3 12/1/2010 2/1/2011
30.06 5 2/1/2010 6/1/2010
26.16 1 9/1/2009 9/1/2009
24.40 1 11/1/2009 11/1/2009
21.78 1 9/1/2005 9/1/2005
21.49 3 8/1/2010 10/1/2010
18.86 2 4/1/2009 5/1/2009
17.79 1 12/1/2007 12/1/2007
14.66 3 5/1/2005 7/1/2005
13.92 1 4/1/2011 4/1/2011
13.92 1 9/1/2008 9/1/2008
12.11 2 8/1/2012 9/1/2012
11.32 1 2/1/2007 2/1/2007
10.97 1 11/1/2011 11/1/2011
10.87 1 7/1/2009 7/1/2009
8.80 3 11/1/2012 1/1/2013
8.29 2 12/1/2004 1/1/2005
7.00 2 7/1/2006 8/1/2006
6.78 1 2/1/2004 2/1/2004
5.64 1 12/1/2008 12/1/2008
3.58 1 7/1/2011 7/1/2011
3.52 1 6/1/2007 6/1/2007
3.52 1 5/1/2008 5/1/2008
3.00 1 5/1/2012 5/1/2012
2.50 1 5/1/2004 5/1/2004
1.62 1 10/1/2004 10/1/2004
1.05 1 8/1/2004 8/1/2004
0.27 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.80 3 6/1/2008 8/1/2008
-31.25 1 8/1/2005 8/1/2005
-27.36 1 11/1/2007 11/1/2007
-25.29 2 5/1/2006 6/1/2006
-20.43 2 7/1/2007 8/1/2007
-20.18 3 8/1/2011 10/1/2011
-19.83 2 3/1/2004 4/1/2004
-18.46 2 12/1/2009 1/1/2010
-16.69 1 7/1/2010 7/1/2010
-16.26 2 5/1/2011 6/1/2011
-14.14 1 4/1/2012 4/1/2012
-14.13 2 6/1/2004 7/1/2004
-13.90 3 12/1/2011 2/1/2012
-13.31 1 10/1/2012 10/1/2012
-12.96 1 6/1/2009 6/1/2009
-11.38 2 3/1/2008 4/1/2008
-11.34 1 9/1/2006 9/1/2006
-10.72 1 9/1/2004 9/1/2004
-8.95 1 1/1/2007 1/1/2007
-8.94 1 2/1/2013 2/1/2013
-8.91 1 3/1/2011 3/1/2011
-8.37 3 1/1/2009 3/1/2009
-7.84 1 10/1/2005 10/1/2005
-7.68 3 3/1/2007 5/1/2007
-4.46 2 6/1/2012 7/1/2012
-3.97 3 2/1/2005 4/1/2005
-3.63 1 10/1/2009 10/1/2009
-1.57 2 10/1/2008 11/1/2008
-1.48 1 1/1/2008 1/1/2008
-1.25 1 8/1/2009 8/1/2009
-0.89 1 11/1/2004 11/1/2004
-0.03 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods109.00107.00104.0098.0092.0086.0074.0062.0050.00
Percent Profitable51.3848.6054.8162.2469.5777.9193.24100.0098.00
Average Period Return0.992.525.6612.6322.7734.1452.4770.5797.01
Average Gain9.2016.1721.9831.9842.1748.2756.9770.5799.16
Average Loss-7.69-10.39-14.13-19.26-21.56-15.68-9.59-8.62
Best Period35.1656.8599.3978.88121.42124.82121.72158.70238.20
Worst Period-31.25-31.80-37.43-43.05-47.44-44.00-19.397.68-8.62
Standard Deviation11.2817.2524.7330.5239.0239.7033.6836.8862.39
Gain Standard Deviation7.9114.0121.1220.5429.2232.7230.1736.8861.12
Loss Standard Deviation6.987.079.8111.2514.5012.418.01
Sharpe Ratio (1%)0.080.130.210.380.550.811.471.801.47
Average Gain / Average Loss1.201.561.561.661.963.085.9411.50
Profit / Loss Ratio1.261.471.892.744.4710.8581.98563.66
Downside Deviation (10%)7.439.7312.9216.4017.9413.527.173.217.13
Downside Deviation (5%)7.269.1311.8014.1914.9510.073.771.94
Downside Deviation (0%)7.228.9911.5213.6614.259.303.111.22
Sortino Ratio (10%)0.080.130.250.470.851.775.1215.279.74
Sortino Ratio (5%)0.120.250.440.821.423.1913.1147.36
Sortino Ratio (0%)0.140.280.490.931.603.6716.8679.57

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.