Wavefront Global Asset Management : IMFC Global Concentrated

archived programs
Year-to-Date
N / A
Sep Performance
2.05%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.31%
Sharpe (RFR=1%)
-0.18
CAROR
-1.71%
Assets
$ 485k
Worst DD
-40.01
S&P Correlation
0.04

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
4/2009
IMFC Global Concentrated 2.05 0.39 - 0.36 -31.97 -22.18 - -15.07
S&P 500 0.43 7.20 - 14.67 50.24 71.54 - 207.50
+/- S&P 500 1.62 -6.81 - -14.31 -82.20 -93.72 - -222.58

Strategy Description

Summary

The IMFC Global Concentrated Program is a derivative of the IMFC Global Investment Program in that it selects trades from the IMFC Global Investment Program utilizing an additional algorithm that measures the confidence of trading signals and risk budgets generated by the IMFC Global... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
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
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1900 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
-13.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
70.00%
4-12 Months
20.00%
1-3 Months
10.00%
1-30 Days
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Interest Rates
20.00%
Energy
12.00%
Grains
12.00%
Softs
11.00%
Stock Indices
10.00%
Industrial Metals
8.00%
Precious Metals
5.00%
Livestock
2.00%
Composition Pie Chart

Summary

The IMFC Global Concentrated Program is a derivative of the IMFC Global Investment Program in that it selects trades from the IMFC Global Investment Program utilizing an additional algorithm that measures the confidence of trading signals and risk budgets generated by the IMFC Global Investment Program. The IMFC Global Concentrated Program only initiates positions in a market if the underlying trading signals and risk budgets meet certain threshold levels of confidence or strength. Position sizes are then calibrated based on the volatilities and correlations of markets offering current positions and a long term average portfolio downside deviation target of less than 13 %. As a result of the additional “confidence” algorithm, some of the key differences between the IMFC Global Investment Program and the IMFC Global Concentrated Program include, but are not limited to the following:

Investment Strategy

Lower Exposure: The IMFC Global Concentrated Program is expected to have lower overall market exposure than the IMFC Global Investment Program, as measured by both number of contracts held in an account and by margin-to-equity ratios. The advisor believes that this lower level of market exposure will be particularly evident during periods of underperformance for the IMFC Global Investment Program and managed Futures in general, resulting in fewer left tail events or larger than statistically normal drawdowns. Portfolio Concentration: The IMFC Global Concentrated Program is expected to have a greater concentration of positions and, therefore, less diversification than the IMFC Global Investment Program. As a result, it is expected that the IMFC Global Concentrated Program will likely experience slightly lower Sortino and Omega ratios than the IMFC Global Investment Program over the long term.Lower Minimum Account Size: The IMFC Global Concentrated Program can be traded at a level of $500,000 versus a $2 million minimum for the IMFC Global Investment Program. IMFC believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. IMFC utilizes a multi-faceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures:Margin-to-Equity Targets: In order to minimize exposure to the risk of adverse price movements, IMFC targets a level of trading activity that results in initial margin requirements that are generally between 8 % and 12 %. However, depending on market volatility and liquidity, these margin-to-equity ranges can be higher or lower.

Risk Management

Risk Exposure Limits: IMFC utilizes a fixed risk budget that targets long-term average annualized portfolio volatility of less than 16 % and long-term average downside deviation of less than 13 %. This risk budget results in a 99 % 1-month Portfolio Value-at-Risk (VaR) using Extreme Value Theory (EVT) of between 10-12 %. Short-term volatility can however deviate substantially from targeted long-term average volatility. Furthermore, there may be circumstances where it is impossible to limit risk as described above. Such a circumstance may be a market that is locked limit up or down, or the occurrence of severe slippage on order execution due to extreme market volatility. Diversification: Diversification is applied to minimize the overall portfolio risk from any given market or trading model. IMFC uses multiple non-correlated signal generators and trades a diversified portfolio of futures contracts that involves most major commodity groups (i.e., agriculture, currencies, energy, interest rates, equities, livestock, metals and soft commodities). The selection process seeks to avoid undue concentration in any particular futures group and to achieve a balance across several groups. However, on occasion there may be a heavier concentration of a given commodity or commodity group, or no weighting of a given commodity or commodity group, which could result in a greater return or risk to the account.Risk Balancing: Risk balancing involves trading a number of contracts such that the expected dollar risk for trading any particular commodity is roughly the same as that of other commodities in the portfolio. IMFC utilizes a multi-faceted lookback array of past market volatilities in order to quantify a one week forecast of the maximum expected dollar risk for trading each particular commodity. These forecasts are then used in conjunction with allowable risk budgets in order to calibrate position size for each market.Position Management: IMFC utilizes proprietary quantitative algorithms to identify potential periods of underperformance in any particular commodity for IMFC strategies. In these situations, position sizes may be systematically reduced or eliminated until the same algorithms portend an end to the potential period of underperformance.

   

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
-40.01 43 - 1/1/2015 8/1/2018
-15.14 32 16 12/1/2010 8/1/2013
-10.31 8 3 11/1/2009 7/1/2010
-4.61 1 1 9/1/2009 10/1/2009
-0.60 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
20.76 3 11/1/2014 1/1/2015
17.81 6 4/1/2009 9/1/2009
13.94 3 8/1/2010 10/1/2010
9.64 3 11/1/2017 1/1/2018
9.18 2 4/1/2012 5/1/2012
9.08 4 6/1/2014 9/1/2014
7.44 1 11/1/2009 11/1/2009
6.36 1 6/1/2016 6/1/2016
6.09 4 9/1/2013 12/1/2013
5.85 2 12/1/2012 1/1/2013
4.40 2 7/1/2011 8/1/2011
3.14 2 1/1/2016 2/1/2016
2.72 2 3/1/2013 4/1/2013
2.29 1 4/1/2018 4/1/2018
2.14 2 2/1/2010 3/1/2010
2.05 1 9/1/2018 9/1/2018
1.66 1 12/1/2010 12/1/2010
1.61 1 7/1/2015 7/1/2015
1.54 2 7/1/2017 8/1/2017
0.99 1 4/1/2011 4/1/2011
0.92 1 7/1/2012 7/1/2012
0.81 1 6/1/2010 6/1/2010
0.56 1 2/1/2014 2/1/2014
0.55 1 5/1/2015 5/1/2015
0.51 1 2/1/2011 2/1/2011
0.48 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.80 12 7/1/2016 6/1/2017
-10.47 4 8/1/2012 11/1/2012
-9.40 4 5/1/2013 8/1/2013
-9.17 2 2/1/2018 3/1/2018
-9.02 3 3/1/2016 5/1/2016
-8.15 5 8/1/2015 12/1/2015
-8.02 2 12/1/2009 1/1/2010
-5.79 4 12/1/2011 3/1/2012
-5.61 2 9/1/2017 10/1/2017
-5.33 3 2/1/2015 4/1/2015
-4.61 1 10/1/2009 10/1/2009
-4.27 1 6/1/2012 6/1/2012
-3.90 2 4/1/2010 5/1/2010
-3.46 4 5/1/2018 8/1/2018
-3.26 3 3/1/2014 5/1/2014
-2.94 2 5/1/2011 6/1/2011
-2.80 1 1/1/2014 1/1/2014
-2.35 2 9/1/2011 10/1/2011
-2.23 1 3/1/2011 3/1/2011
-1.94 1 6/1/2015 6/1/2015
-1.52 1 1/1/2011 1/1/2011
-1.45 1 7/1/2010 7/1/2010
-0.77 1 10/1/2014 10/1/2014
-0.60 1 11/1/2010 11/1/2010
-0.38 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods114.00112.00109.00103.0097.0091.0079.0067.0055.00
Percent Profitable43.8638.3938.5338.8338.1446.1544.3035.8240.00
Average Period Return-0.09-0.31-0.74-2.06-2.99-4.18-5.33-5.21-6.25
Average Gain2.595.417.6510.0212.9611.418.937.219.85
Average Loss-2.19-3.87-5.99-9.73-12.83-17.54-16.68-12.14-16.99
Best Period11.6220.7626.0027.1529.0422.5323.7116.1124.91
Worst Period-8.71-11.77-17.46-26.80-29.08-32.21-37.97-26.66-27.57
Standard Deviation3.265.828.4211.9115.3017.0515.9312.0015.85
Gain Standard Deviation2.814.626.737.377.666.335.974.978.41
Loss Standard Deviation1.682.913.896.749.3310.7811.618.698.97
Sharpe Ratio (1%)-0.05-0.10-0.15-0.26-0.29-0.36-0.52-0.77-0.72
Average Gain / Average Loss1.181.401.281.031.010.650.540.590.58
Profit / Loss Ratio0.930.870.800.650.620.560.430.330.39
Downside Deviation (10%)2.314.607.3112.6817.7021.9926.3529.2937.34
Downside Deviation (5%)2.113.955.929.8813.4216.3417.0314.7218.48
Downside Deviation (0%)2.063.795.599.2312.4415.0615.1111.9114.83
Sortino Ratio (10%)-0.22-0.33-0.44-0.56-0.60-0.66-0.80-0.91-0.91
Sortino Ratio (5%)-0.08-0.14-0.21-0.31-0.34-0.38-0.49-0.63-0.61
Sortino Ratio (0%)-0.04-0.08-0.13-0.22-0.24-0.28-0.35-0.44-0.42

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 11.62 8/2009
Trend Following Strategy Index Month 3 11.62 8/2009
Diversified Trader Index Month 3 11.62 8/2009
IASG CTA Index Month 6 11.62 8/2009
Trend Following Strategy Index Month 8 1.07 6/2009

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