Value & Growth CTA, LLC : Value & Growth Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.46%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.42%
Sharpe (RFR=1%)
-0.06
CAROR
0.42%
Assets
$ 67k
Worst DD
-11.97
S&P Correlation
0.36

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
6/2014
Value & Growth Program -0.46 -0.77 - -0.66 7.98 - - 1.82
S&P 500 0.43 7.20 - 14.67 50.24 - - 47.15
+/- S&P 500 -0.89 -7.97 - -15.33 -42.25 - - -45.33

Strategy Description

Summary

The Value & Growth program is a fully discretionary program ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
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
Daily
Redemption Frequency
7-14 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
65.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-spreads
20.00%
Option-writing
20.00%
Spreading/hedging
40.00%
Other
20.00%
Strategy Pie Chart

Composition

Stock Indices
85.00%
Energy
6.00%
Precious Metals
3.00%
Grains
3.00%
Interest Rates
3.00%
Composition Pie Chart

Summary

The Value & Growth program is a fully discretionary program

Investment Strategy

The Value & Growth program is a fully discretionary program that trades futures and options in a variety of US exchange traded markets. Trading is not systematic and is subjective in virtually all aspects, including trade identification, entry and exit. Futures and options positions may be taken as independent trades and as parts of spreads (strategies using both futures and options). Uncovered puts (option to sell) may be used, though independent calls (option to buy) will be covered. The program trades in the following market sectors: Equity Indices, Interest Rates, Agriculture, Metals, Energy.

Risk Management

The trading program is highly leveraged, but will endeavor to limit the margin to equity ratio to 50%. Money management is the only aspect of the program that is strictly rule based. Value & Growth CTA, LLC will only accept client’s risk capital to trade in the program.

   

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
-11.97 19 19 6/1/2014 1/1/2016
-4.18 5 - 4/1/2018 9/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
13.96 11 3/1/2017 1/1/2018
5.77 2 9/1/2015 10/1/2015
4.96 8 2/1/2016 9/1/2016
2.69 2 4/1/2015 5/1/2015
2.62 1 7/1/2015 7/1/2015
1.31 1 1/1/2017 1/1/2017
0.95 1 7/1/2018 7/1/2018
0.92 1 2/1/2015 2/1/2015
0.37 1 4/1/2018 4/1/2018
0.25 1 6/1/2014 6/1/2014
0.12 1 11/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.22 7 7/1/2014 1/1/2015
-6.67 3 11/1/2015 1/1/2016
-6.59 1 8/1/2015 8/1/2015
-3.44 2 5/1/2018 6/1/2018
-1.70 2 8/1/2018 9/1/2018
-1.17 1 6/1/2015 6/1/2015
-1.03 1 3/1/2015 3/1/2015
-0.64 1 2/1/2017 2/1/2017
-0.24 1 12/1/2016 12/1/2016
-0.24 1 10/1/2016 10/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable57.6960.0057.4551.2257.1472.4188.24
Average Period Return0.050.210.782.744.285.638.45
Average Gain1.102.253.938.1610.419.689.97
Average Loss-1.52-2.85-3.48-2.96-3.88-5.00-2.97
Best Period5.475.8710.1213.9615.2719.9715.20
Worst Period-6.59-6.67-7.79-8.19-10.72-8.75-3.37
Standard Deviation1.853.004.536.518.428.685.77
Gain Standard Deviation1.121.562.864.095.186.344.11
Loss Standard Deviation1.721.752.272.203.262.910.57
Sharpe Ratio (1%)-0.02-0.010.060.270.330.420.94
Average Gain / Average Loss0.730.791.132.762.681.943.35
Profit / Loss Ratio1.091.191.532.903.585.0825.14
Downside Deviation (10%)1.592.804.205.828.069.099.21
Downside Deviation (5%)1.442.242.973.154.093.972.14
Downside Deviation (0%)1.402.102.692.553.272.991.03
Sortino Ratio (10%)-0.22-0.36-0.40-0.39-0.41-0.51-0.79
Sortino Ratio (5%)-0.02-0.020.090.550.680.912.53
Sortino Ratio (0%)0.040.100.291.071.311.888.21

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 5 1.98 5/2017
Stock Index Trader Index Month 10 0.35 4/2016
Stock Index Trader Index Month 8 1.10 3/2016

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