Wellfield Partners : Wellfield Systematic Diversified Fund

archived programs
Year-to-Date
N / A
Nov Performance
2.58%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
9.55%
Sharpe (RFR=1%)
-0.24
CAROR
-1.68%
Assets
$ 29.8M
Worst DD
-12.10
S&P Correlation
-0.61

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
6/2011
Wellfield Systematic Diversified Fund 2.58 - - - - - - -4.16
S&P 500 2.80 - - - - - - 162.31
+/- S&P 500 -0.22 - - - - - - -166.46

Strategy Description

Summary

Wellfield is a London-based investment management firm which specializes in trend following strategies. We use a proprietary, systematic process to identify and exploit trends across a diversified portfolio of liquid markets.... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 15.00%
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 Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
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

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
33.00%
Interest Rates
33.00%
Energy
11.00%
Industrial Metals
7.00%
Softs
6.00%
Precious Metals
4.00%
Grains
4.00%
Livestock
2.00%
Composition Pie Chart

Summary

Wellfield is a London-based investment management firm which specializes in trend following strategies. We use a proprietary, systematic process to identify and exploit trends across a diversified portfolio of liquid markets.

Investment Strategy

Wellfield’s Systematic Diversified strategy is an actively managed portfolio which takes long and short positions in over forty distinct markets. The strategy utilizes Wellfield’s proprietary, systematic process to identify and exploit trends in currencies, interest rates and commodity futures.

Risk Management

The target volatility is 12% per annum with a target return of at least 15% per annum net of transaction costs, fees and interest on the underlying capital. It is anticipated that the strategy’s returns will have a low level of correlation with traditional asset classes and major hedge fund indices. Investment parameters include daily limits on value at risk and portfolio concentration.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-12.10 25 - 9/1/2011 10/1/2013
-3.70 1 1 1/1/0001 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
10.38 3 7/1/2011 9/1/2011
7.67 2 4/1/2012 5/1/2012
3.46 1 7/1/2012 7/1/2012
2.94 2 11/1/2011 12/1/2011
2.76 2 3/1/2013 4/1/2013
2.58 1 11/1/2013 11/1/2013
1.81 1 6/1/2013 6/1/2013
0.29 1 1/1/2013 1/1/2013
0.01 1 8/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.34 2 9/1/2013 10/1/2013
-6.02 1 10/1/2011 10/1/2011
-5.95 5 8/1/2012 12/1/2012
-4.65 3 1/1/2012 3/1/2012
-3.70 1 6/1/2011 6/1/2011
-3.26 1 6/1/2012 6/1/2012
-2.61 1 7/1/2013 7/1/2013
-1.30 1 5/1/2013 5/1/2013
-0.48 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable46.6739.2952.0042.1115.38
Average Period Return-0.10-0.43-0.80-1.19-2.20
Average Gain2.253.472.462.672.61
Average Loss-2.16-2.95-4.32-4.00-3.08
Best Period5.7510.386.786.053.19
Worst Period-6.02-7.09-8.33-7.23-9.21
Standard Deviation2.763.984.174.003.50
Gain Standard Deviation1.712.882.262.260.82
Loss Standard Deviation1.582.072.522.163.02
Sharpe Ratio (1%)-0.07-0.17-0.31-0.55-1.06
Average Gain / Average Loss1.041.180.570.670.85
Profit / Loss Ratio0.910.760.620.490.15
Downside Deviation (10%)2.183.615.097.3110.35
Downside Deviation (5%)1.982.943.734.124.98
Downside Deviation (0%)1.932.783.433.423.88
Sortino Ratio (10%)-0.23-0.46-0.64-0.85-0.95
Sortino Ratio (5%)-0.09-0.23-0.35-0.53-0.74
Sortino Ratio (0%)-0.05-0.15-0.23-0.35-0.57

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.