Waypoint Capital Management : Diversified Futures Program 2XL

archived programs
Year-to-Date
N / A
Oct Performance
10.53%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.66%
Sharpe (RFR=1%)
2.26
CAROR
-
Assets
$ 2.5M
Worst DD
-5.92
S&P Correlation
-0.16

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Diversified Futures Program 2XL 10.53 - - - - - - 48.19
S&P 500 -16.94 - - - - - - 135.92
+/- S&P 500 27.47 - - - - - - -87.72

Strategy Description

Summary

-Diversified Futures Program2XL.nbsp;Waypointrelies on technical rather than fundamental information as the basis for its trading decisions in the Diversified Program. The primary objective of the trading program is to identify and exploit medium and long-term price trends in futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Diversified Futures Program2XL.nbsp;Waypointrelies on technical rather than fundamental information as the basis for its trading decisions in the Diversified Program. The primary objective of the trading program is to identify and exploit medium and long-term price trends in futures and currency markets. The program is designed to analyze mathematically recent trading characteristics of each market and compare such characteristics to the historical trading pattern of the particular market. The program utilizes proprietary trend identification and risk management strategies that are intended to enable it to benefit from sustained price trends with the goal of protecting the account from high levels of risk and volatility. Over the course of a long-term trend, times exist when the potential reward of a market appears to be outweighed by the risk. In such circumstances some of Waypoint?s trading programs may exit the position prior to the end of the trend. While the result may be that program is out of the market during a significant portion of a trend, Waypoint expects that the accompanying decrease in volatility of performance is adequate reward. This program is identical to the Diversified Futures Program except that it trades at approximately twice the amount the leverage.This program will have approximately twice the amount of positions as the Diversified Futures 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:
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Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-5.92 2 1 5/1/2008 7/1/2008
-2.28 1 1 2/1/2008 3/1/2008
-0.64 1 1 1/1/0001 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
33.21 3 8/1/2008 10/1/2008
12.86 2 4/1/2008 5/1/2008
7.91 2 1/1/2008 2/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.92 2 6/1/2008 7/1/2008
-2.28 1 3/1/2008 3/1/2008
-0.64 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable63.6488.89
Average Period Return3.7810.67
Average Gain7.2112.40
Average Loss-2.22-3.11
Best Period12.3433.21
Worst Period-5.09-3.11
Standard Deviation5.689.86
Gain Standard Deviation3.728.97
Loss Standard Deviation2.05
Sharpe Ratio (1%)0.651.06
Average Gain / Average Loss3.253.98
Profit / Loss Ratio5.6831.87
Downside Deviation (10%)1.911.45
Downside Deviation (5%)1.751.12
Downside Deviation (0%)1.711.04
Sortino Ratio (10%)1.776.53
Sortino Ratio (5%)2.119.30
Sortino Ratio (0%)2.2110.29

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.