Valu-Trac Investment Management : USD Composite

archived programs
Year-to-Date
N / A
Feb Performance
-0.05%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.88%
Sharpe (RFR=1%)
0.34
CAROR
4.62%
Assets
$ 50.9M
Worst DD
-30.70
S&P Correlation
0.13

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
10/2002
USD Composite -0.05 - - - - - -18.43 67.49
S&P 500 4.31 - - - - - 62.38 291.09
+/- S&P 500 -4.36 - - - - - -80.81 -223.60

Strategy Description

Summary

Valu-Trac Strategic (VT Strategic) is a systematic, global investment strategy. VT Strategic is diversified over 42 assets consisting of 15 equity markets, 6 bond markets, 6 currencies and 15 commodities; investments are executed primarily through futures and forwards. Four sub-strategies... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 550 RT/YR/$M
Avg. Margin-to-Equity 10%
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

Fundamental
80.00%
Momentum
20.00%
Strategy Pie Chart

Composition

Stock Indices
40.00%
Precious Metals
20.00%
Interest Rates
20.00%
Other
20.00%
Composition Pie Chart

Summary

Valu-Trac Strategic (VT Strategic) is a systematic, global investment strategy. VT Strategic is diversified over 42 assets consisting of 15 equity markets, 6 bond markets, 6 currencies and 15 commodities; investments are executed primarily through futures and forwards. Four sub-strategies corresponding to the 4 asset classes invest according to the level and behavior of Intrinsic Value. VT Strategic started trading with proprietary capital in October 2002 and outside capital in March 2003. Outside capital consists of a Cayman Islands domiciled master feeder fund and a number of managed accounts. The strategy was developed by Peter Millar, CIO, and Peter Hart, Head of Alternative Investment. Prior to founding Valu-Trac in 1985, Peter Millar was: UL Senior Investment Manager in the Bond-Equity Department for the Abu Dhabi Investment authority 1977-1984, Director of Investment Services/Investment Manager at Touche Remnant in London 1970 - 1977, and Investment Analyst/Manager at Alliance Trust in Scotland 1963 - 1970. He is a member of the Institute of Chartered Accountants of Scotland. Peter Hart rejoined Valu-Trac in 1999 as Investment Director having previously been: Senior Credit Analyst/Assistant Manager at Sumitomo Bank Capital Markets 1994 - 1999, Research at Nomura Securities 1993 - 1994, An English/Japanese language teach/student in Japan 1991 - 1993, and Investment Analyst at Valu-Trac Research 1986 - 1990. He is an associate of the UK Society of Investment Professionals and received a BSc Honours in Mathematics from Manchester University in 1985.

Investment Strategy

Valu-Trac constructs portfolios in a quantitative manner, based on the Intrinsic Value, momentum and volatility measures described [in question…]. An overview of the process is illustrated in the diagram below. The starting point for the construction of the Valu-Trac Strategic (VTS) Fund is the attractiveness of different markets and segments, relative to their historical levels and each other, based on their Intrinsic Yield, which is the Intrinsic Value expressed as an annualised rate of return. It is the comparison of current Intrinsic Yield relative to their historical levels and the direction of movement, rather than the absolute values that is the basis of portfolio construction. There are four main components to the VTS portfolio construction process – an equity long/short portfolio, bond long/short portfolio, currency long/short portfolio and commodity long/short portfolio. Within each of these four main assets classes, the long and short portfolios are constructed separately. For the equity long portfolio, all of the equity markets are compared and scored based on their Intrinsic Value, momentum and volatility levels. Those markets and sectors that have a high Intrinsic Yield on a downward trajectory will score highly and comprise the long portfolio. The allocations to each market are in direct proportion to the scores. The main driver of the allocations is the Intrinsic Value score with the momentum and volatility scores used to refine the positions. For the short portfolio, the process operates in reverse. Those markets with the lowest scores comprise the short positions. A similar process is used to construct the long and short bond, currency and commodity positions. This is all constructed within a well-defined risk framework which aims to ensure equal contributions to the total return and volatility from the equity, bond, currency and commodity portfolios. The strategy is implemented using ETFS and various financial and derivative instruments such as exchange traded futures.

Risk Management

Risk management is a key component of the Valu-Trac portfolio construction and monitoring process. The VTS strategy has well defined risk parameters. The strategy targets an annual volatility level of 15% and each sub-strategy (equities, bonds, commodities and currencies) is scaled to achieve this overall volatility target. The VTS strategy operates within the following risk control limits: Absolute Size Limits on Individual Positions: Equities - 16%, Australian, Canadian and UK Bonds - 60%, German, Japanese and US Bonds - 120%, Currencies - 48%, Commodities - 16% and Gold in SDRs - 50%. Value at Risk Limits: German, Japanese and US Bonds - 3.2%, Gold in SDRs - 3.2%, All other assets - 01.6%. Liquidity Limits: 10% of the lesser of representative daily volume and open interest. Value at Risk² Caps: Capped at 5% for each of the four sub-strategies. The portfolio is monitored by the CIO, Peter Millar and from an operational perspective by Anne Laing, the COO.

   

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
-30.70 26 - 4/1/2011 6/1/2013
-14.85 6 13 2/1/2008 8/1/2008
-11.48 18 5 2/1/2004 8/1/2005
-9.90 1 3 10/1/2007 11/1/2007
-7.28 2 4 11/1/2009 1/1/2010
-7.26 5 2 4/1/2006 9/1/2006
-6.50 1 3 6/1/2010 7/1/2010
-5.32 5 1 3/1/2007 8/1/2007
-3.57 1 1 2/1/2011 3/1/2011
-1.88 1 1 12/1/2006 1/1/2007
-1.50 1 2 7/1/2003 8/1/2003
-1.37 1 1 9/1/2009 10/1/2009
-1.26 1 1 2/1/2003 3/1/2003
-0.75 1 1 5/1/2003 6/1/2003
-0.11 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
22.38 6 11/1/2005 4/1/2006
16.18 5 10/1/2002 2/1/2003
14.23 2 9/1/2007 10/1/2007
13.83 1 2/1/2008 2/1/2008
12.10 3 12/1/2010 2/1/2011
11.72 6 9/1/2003 2/1/2004
11.44 5 2/1/2010 6/1/2010
10.08 3 10/1/2006 12/1/2006
10.03 1 11/1/2009 11/1/2009
8.19 1 9/1/2009 9/1/2009
8.09 3 8/1/2010 10/1/2010
7.59 2 4/1/2009 5/1/2009
7.06 1 12/1/2007 12/1/2007
6.32 1 9/1/2005 9/1/2005
6.17 4 7/1/2013 10/1/2013
5.80 2 8/1/2012 9/1/2012
5.63 1 4/1/2011 4/1/2011
5.45 1 9/1/2008 9/1/2008
5.33 1 11/1/2011 11/1/2011
4.60 1 7/1/2009 7/1/2009
4.24 2 4/1/2003 5/1/2003
3.87 3 11/1/2012 1/1/2013
3.53 3 5/1/2005 7/1/2005
3.30 2 2/1/2007 3/1/2007
2.23 1 12/1/2008 12/1/2008
2.04 2 7/1/2006 8/1/2006
1.96 1 5/1/2008 5/1/2008
1.66 2 12/1/2004 1/1/2005
1.61 1 7/1/2011 7/1/2011
1.60 1 5/1/2012 5/1/2012
1.39 2 5/1/2007 6/1/2007
1.30 1 7/1/2003 7/1/2003
0.70 1 5/1/2013 5/1/2013
0.54 1 5/1/2004 5/1/2004
0.51 1 10/1/2004 10/1/2004
0.41 1 12/1/2013 12/1/2013
0.25 1 8/1/2004 8/1/2004
0.07 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.40 3 6/1/2008 8/1/2008
-11.07 3 2/1/2013 4/1/2013
-10.37 3 8/1/2011 10/1/2011
-9.90 1 11/1/2007 11/1/2007
-8.16 1 8/1/2005 8/1/2005
-7.28 2 12/1/2009 1/1/2010
-7.06 1 4/1/2012 4/1/2012
-7.04 3 12/1/2011 2/1/2012
-6.56 1 10/1/2012 10/1/2012
-6.53 2 5/1/2011 6/1/2011
-6.50 2 5/1/2006 6/1/2006
-6.50 1 7/1/2010 7/1/2010
-5.20 2 7/1/2007 8/1/2007
-4.67 1 6/1/2009 6/1/2009
-4.14 2 3/1/2004 4/1/2004
-3.57 1 3/1/2011 3/1/2011
-3.56 2 3/1/2008 4/1/2008
-3.52 3 1/1/2009 3/1/2009
-3.32 1 11/1/2013 11/1/2013
-3.06 2 6/1/2004 7/1/2004
-2.80 1 9/1/2006 9/1/2006
-2.24 1 9/1/2004 9/1/2004
-2.23 1 6/1/2013 6/1/2013
-2.15 2 1/1/2014 2/1/2014
-2.13 2 6/1/2012 7/1/2012
-2.00 1 10/1/2005 10/1/2005
-1.88 1 1/1/2007 1/1/2007
-1.50 1 4/1/2007 4/1/2007
-1.50 1 8/1/2003 8/1/2003
-1.37 1 10/1/2009 10/1/2009
-1.26 1 3/1/2003 3/1/2003
-1.05 2 10/1/2008 11/1/2008
-0.75 1 6/1/2003 6/1/2003
-0.48 3 2/1/2005 4/1/2005
-0.42 1 8/1/2009 8/1/2009
-0.24 1 1/1/2008 1/1/2008
-0.11 1 11/1/2010 11/1/2010
-0.01 1 11/1/2004 11/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods137.00135.00132.00126.00120.00114.00102.0090.0078.00
Percent Profitable56.2054.0761.3665.8771.6778.0784.3190.0093.59
Average Period Return0.451.222.384.627.2510.2219.0928.7037.75
Average Gain2.845.237.4011.6314.6917.5025.4532.6840.62
Average Loss-2.67-3.51-5.58-8.91-11.56-15.68-15.05-7.15-4.10
Best Period13.8321.5725.1326.3637.2842.9248.3658.1975.34
Worst Period-9.90-13.40-14.88-22.48-23.80-29.61-28.81-15.29-6.63
Standard Deviation3.725.658.1111.5014.6916.9917.6018.1122.60
Gain Standard Deviation2.674.115.646.559.1810.429.8514.1720.40
Loss Standard Deviation2.382.864.005.027.288.067.785.842.20
Sharpe Ratio (1%)0.100.170.230.310.390.480.911.361.44
Average Gain / Average Loss1.061.491.331.311.271.121.694.579.90
Profit / Loss Ratio1.391.752.112.523.223.979.0941.16144.54
Downside Deviation (10%)2.543.755.598.6811.0212.9012.7810.7411.39
Downside Deviation (5%)2.383.194.516.477.939.077.763.972.50
Downside Deviation (0%)2.343.064.265.967.248.226.662.851.15
Sortino Ratio (10%)0.010.00-0.02-0.04-0.030.000.260.670.89
Sortino Ratio (5%)0.150.300.420.560.720.912.076.2013.08
Sortino Ratio (0%)0.190.400.560.781.001.242.8610.0632.78

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.