Waypoint Capital Management : Diversified Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.20%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.33%
Sharpe (RFR=1%)
0.34
CAROR
5.68%
Assets
$ 15.2M
Worst DD
-20.99
S&P Correlation
-0.14

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
12/2002
Diversified Program -0.20 - - - - - -11.07 81.91
S&P 500 2.97 - - - - - 68.81 293.73
+/- S&P 500 -3.17 - - - - - -79.88 -211.82

Strategy Description

Summary

The objective of the Diversified Program is to identify and exploit medium-term price moves in futures and currency markets. This is accomplished through a blend of systematic trading along with discretion.... 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 $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 25.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 20.00%
1-3 Months 75.00%
1-30 Days 0%
Intraday 5.00%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Trend-following
70.00%
Other
30.00%
Strategy Pie Chart

Composition

Summary

The objective of the Diversified Program is to identify and exploit medium-term price moves in futures and currency markets. This is accomplished through a blend of systematic trading along with discretion.

Investment Strategy

The Diversified Program’s algorithms are designed to mathematically analyze recent trading characteristics of each market and compare such characteristics to the historical trading pattern of the particular market. The algorithms utilize proprietary trade identification and risk management techniques that are intended to benefit from sustained price moves with the goal of protecting the account from high levels of risk and volatility. Discretion is used: 1) when periodically adjusting sector weightings, and 2) risk reduction on a trade by trade basis either after an unusually large gain or in unique circumstances such as when government intervention in markets is likely. A primary differentiating characteristic of Waypoint's methodology is that once a trade is identified in a particular market, an algorithm will analyze the market's current structure and compare it to is historical structure to determine if the trade has either a lower than average, average, or higher than average likelihood of success. This will result in either a much lower than average, average, or much higher than average position respectively being taken. This along with its discretionary component contributes to the Diversified Program’s low correlation to other managed futures programs.

Risk Management

Waypoint utilizes sophisticated risk management procedures that take into account the price, size, volatility, liquidity, and correlations of the futures and forwards traded. Risk is monitored on a daily basis to target a specific standard deviation of monthly returns. The Diversified program targets between 16% and 18% annualized volatility. During significant drawdown, Waypoint reduces market exposure by scaling back leverage.

   

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
-20.99 7 - 9/1/2011 4/1/2012
-19.48 12 19 9/1/2003 9/1/2004
-17.76 7 17 9/1/2009 4/1/2010
-16.87 5 7 5/1/2006 10/1/2006
-9.26 2 2 1/1/2003 3/1/2003
-8.54 3 2 12/1/2008 3/1/2009
-3.84 3 1 5/1/2009 8/1/2009
-3.10 2 1 5/1/2008 7/1/2008
-1.40 1 1 9/1/2007 10/1/2007
-1.33 1 1 6/1/2003 7/1/2003
-1.30 1 1 7/1/2007 8/1/2007
-1.13 1 1 2/1/2008 3/1/2008
-0.83 1 1 11/1/2007 12/1/2007
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
29.22 4 4/1/2007 7/1/2007
24.33 3 3/1/2006 5/1/2006
19.92 1 5/1/2012 5/1/2012
19.70 5 8/1/2008 12/1/2008
17.92 2 4/1/2009 5/1/2009
17.51 1 5/1/2010 5/1/2010
16.18 2 10/1/2004 11/1/2004
16.09 3 11/1/2006 1/1/2007
12.30 2 12/1/2002 1/1/2003
12.26 2 8/1/2011 9/1/2011
10.65 3 4/1/2003 6/1/2003
9.09 1 9/1/2009 9/1/2009
8.81 2 3/1/2011 4/1/2011
8.81 3 11/1/2012 1/1/2013
8.51 4 4/1/2005 7/1/2005
7.38 2 8/1/2003 9/1/2003
6.46 3 12/1/2011 2/1/2012
6.36 2 4/1/2008 5/1/2008
6.03 1 12/1/2010 12/1/2010
5.89 2 10/1/2005 11/1/2005
5.35 2 12/1/2003 1/1/2004
5.19 1 2/1/2005 2/1/2005
4.09 2 1/1/2008 2/1/2008
4.06 1 11/1/2007 11/1/2007
3.10 1 9/1/2012 9/1/2012
3.00 1 9/1/2007 9/1/2007
2.87 1 10/1/2010 10/1/2010
2.85 1 8/1/2010 8/1/2010
2.46 1 11/1/2009 11/1/2009
1.94 1 8/1/2006 8/1/2006
1.88 1 2/1/2009 2/1/2009
1.14 1 1/1/2006 1/1/2006
1.03 1 3/1/2010 3/1/2010
0.87 1 4/1/2004 4/1/2004
0.83 1 6/1/2013 6/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-16.72 2 10/1/2011 11/1/2011
-15.46 3 12/1/2009 2/1/2010
-12.40 3 6/1/2012 8/1/2012
-11.18 2 10/1/2003 11/1/2003
-11.13 5 5/1/2004 9/1/2004
-10.87 2 3/1/2012 4/1/2012
-10.27 2 9/1/2006 10/1/2006
-9.85 2 12/1/2004 1/1/2005
-9.26 2 2/1/2003 3/1/2003
-9.12 2 6/1/2006 7/1/2006
-8.46 4 2/1/2013 5/1/2013
-7.19 2 2/1/2007 3/1/2007
-6.93 2 1/1/2011 2/1/2011
-6.80 3 7/1/2013 9/1/2013
-6.63 3 5/1/2011 7/1/2011
-6.61 1 3/1/2005 3/1/2005
-5.42 1 3/1/2009 3/1/2009
-5.27 1 9/1/2010 9/1/2010
-5.08 1 1/1/2009 1/1/2009
-4.91 1 12/1/2005 12/1/2005
-4.01 2 2/1/2004 3/1/2004
-3.84 3 6/1/2009 8/1/2009
-3.64 1 11/1/2010 11/1/2010
-3.49 1 10/1/2009 10/1/2009
-3.10 2 8/1/2005 9/1/2005
-3.10 2 6/1/2008 7/1/2008
-2.62 1 4/1/2010 4/1/2010
-2.50 2 6/1/2010 7/1/2010
-1.67 1 2/1/2006 2/1/2006
-1.40 1 10/1/2007 10/1/2007
-1.33 1 7/1/2003 7/1/2003
-1.30 1 8/1/2007 8/1/2007
-1.13 1 3/1/2008 3/1/2008
-0.83 1 12/1/2007 12/1/2007
-0.49 1 10/1/2012 10/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods130.00128.00125.00119.00113.00107.0095.0083.0071.00
Percent Profitable50.0054.6961.6063.8762.8368.2278.9593.98100.00
Average Period Return0.601.603.296.7611.0716.4430.3846.7864.91
Average Gain4.557.299.3013.8121.0527.0740.2850.5064.91
Average Loss-3.36-5.26-6.37-5.71-5.81-6.39-6.73-11.24
Best Period19.9227.9831.3739.5756.0075.9899.68114.13131.64
Worst Period-11.84-15.46-16.95-19.48-17.15-20.30-15.59-18.360.49
Standard Deviation5.298.089.7612.7717.7322.5330.6033.9129.94
Gain Standard Deviation4.346.116.9310.2614.9319.4526.7031.4829.94
Loss Standard Deviation2.403.564.384.583.794.374.184.30
Sharpe Ratio (1%)0.100.170.290.450.540.640.891.262.00
Average Gain / Average Loss1.351.381.462.423.624.245.984.49
Profit / Loss Ratio1.351.672.344.276.129.1022.4370.07
Downside Deviation (10%)3.154.986.117.068.6710.0911.199.935.23
Downside Deviation (5%)2.964.415.034.875.015.334.863.900.56
Downside Deviation (0%)2.924.274.774.384.214.343.612.92
Sortino Ratio (10%)0.060.080.130.250.400.611.312.547.12
Sortino Ratio (5%)0.170.310.551.181.912.715.6310.95107.18
Sortino Ratio (0%)0.200.380.691.542.633.798.4116.04

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.