Welton Investment Partners : Welton Global

Year-to-Date
3.16%
Dec Performance
8.83%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.10%
Sharpe (RFR=1%)
0.44
CAROR
6.33%
Assets
$ 538.0M
Worst DD
-33.18
S&P Correlation
0.11

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 Dec Qtr 2018 1yr 3yr 5yr 10yr Since
6/2004
Welton Global 8.83 6.74 -3.16 -3.16 10.62 45.41 20.82 144.88
S&P 500 -9.18 -13.97 -6.24 -6.24 21.41 34.26 174.69 117.48
+/- S&P 500 18.01 20.72 3.08 3.08 -10.79 11.16 -153.86 27.40

Strategy Description

Summary

The Welton Global program is a managed futures/ global macro trading strategy that invests across a diversified group of approximately 90 global futures markets spanning all four major market sectors (commodities, currencies, equity indices and interest rates). It strives to improve... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
0%
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

Counter-trend
10.00%
Fundamental
25.00%
Trend-following
65.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Currency Futures
20.00%
Stock Indices
20.00%
Energy
10.00%
Industrial Metals
8.00%
Grains
4.00%
Livestock
3.00%
Softs
3.00%
Precious Metals
2.00%
Composition Pie Chart

Summary

The Welton Global program is a managed futures/ global macro trading strategy that invests across a diversified group of approximately 90 global futures markets spanning all four major market sectors (commodities, currencies, equity indices and interest rates). It strives to improve the risk-adjusted returns of investors' existing portfolios by preserving the noncorrelated traits of the managed futures style class while also delivering composite-like, top-tier performance. Welton Global combines a variety of fundamental and quantitative investment approaches, all seamlessly unified and risk-managed within a single investment strategy.

   

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
-33.18 31 16 2/1/2011 9/1/2013
-14.58 5 10 3/1/2015 8/1/2015
-14.52 9 - 1/1/2018 10/1/2018
-11.95 13 8 12/1/2008 1/1/2010
-11.73 2 2 6/1/2007 8/1/2007
-10.88 3 11 4/1/2006 7/1/2006
-9.56 14 4 7/1/2016 9/1/2017
-8.49 2 3 6/1/2008 8/1/2008
-6.72 2 3 1/1/0001 7/1/2004
-6.08 4 3 12/1/2004 4/1/2005
-3.21 1 1 10/1/2010 11/1/2010
-2.33 1 1 1/1/2006 2/1/2006
-2.23 1 1 9/1/2005 10/1/2005
-1.94 2 1 10/1/2007 12/1/2007
-0.69 1 1 11/1/2005 12/1/2005
-0.59 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
22.33 4 10/1/2014 1/1/2015
19.01 6 1/1/2008 6/1/2008
18.86 2 3/1/2006 4/1/2006
18.29 5 8/1/2004 12/1/2004
17.32 5 5/1/2005 9/1/2005
17.18 2 9/1/2007 10/1/2007
16.13 3 4/1/2007 6/1/2007
15.06 4 9/1/2008 12/1/2008
15.01 3 4/1/2014 6/1/2014
13.96 5 6/1/2010 10/1/2010
13.91 2 6/1/2016 7/1/2016
12.72 3 12/1/2010 2/1/2011
12.53 2 1/1/2016 2/1/2016
11.92 3 2/1/2010 4/1/2010
11.42 4 10/1/2017 1/1/2018
10.25 2 10/1/2013 11/1/2013
9.53 2 11/1/2018 12/1/2018
7.14 1 11/1/2005 11/1/2005
5.68 1 2/1/2014 2/1/2014
5.47 1 11/1/2006 11/1/2006
5.42 2 7/1/2017 8/1/2017
5.31 1 8/1/2014 8/1/2014
5.27 1 7/1/2012 7/1/2012
5.06 1 11/1/2009 11/1/2009
5.02 2 8/1/2006 9/1/2006
4.39 1 7/1/2015 7/1/2015
4.32 1 7/1/2011 7/1/2011
4.02 1 1/1/2006 1/1/2006
3.68 1 3/1/2015 3/1/2015
3.58 1 11/1/2015 11/1/2015
3.34 1 5/1/2009 5/1/2009
3.18 1 9/1/2015 9/1/2015
2.89 2 2/1/2005 3/1/2005
2.87 1 1/1/2007 1/1/2007
2.86 1 1/1/2013 1/1/2013
2.71 1 2/1/2017 2/1/2017
2.61 2 11/1/2016 12/1/2016
2.61 2 3/1/2013 4/1/2013
2.42 1 4/1/2011 4/1/2011
2.26 2 5/1/2018 6/1/2018
2.19 2 4/1/2012 5/1/2012
1.61 2 8/1/2009 9/1/2009
1.31 1 2/1/2012 2/1/2012
1.12 2 4/1/2017 5/1/2017
1.10 1 9/1/2016 9/1/2016
0.91 1 8/1/2018 8/1/2018
0.53 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.42 5 5/1/2013 9/1/2013
-13.48 3 2/1/2018 4/1/2018
-12.45 4 8/1/2011 11/1/2011
-11.84 3 4/1/2015 6/1/2015
-11.73 2 7/1/2007 8/1/2007
-10.88 3 5/1/2006 7/1/2006
-10.30 2 5/1/2011 6/1/2011
-9.29 2 12/1/2009 1/1/2010
-9.22 5 8/1/2012 12/1/2012
-8.53 3 3/1/2016 5/1/2016
-8.49 2 7/1/2008 8/1/2008
-8.39 2 2/1/2007 3/1/2007
-8.20 4 1/1/2009 4/1/2009
-7.19 1 8/1/2015 8/1/2015
-6.72 2 6/1/2004 7/1/2004
-6.16 1 9/1/2017 9/1/2017
-5.99 2 12/1/2013 1/1/2014
-5.53 1 1/1/2005 1/1/2005
-5.01 1 6/1/2017 6/1/2017
-4.98 1 10/1/2016 10/1/2016
-4.71 1 6/1/2012 6/1/2012
-4.06 1 5/1/2010 5/1/2010
-3.90 1 8/1/2016 8/1/2016
-3.59 1 7/1/2014 7/1/2014
-3.38 1 4/1/2005 4/1/2005
-3.25 1 3/1/2011 3/1/2011
-3.21 1 11/1/2010 11/1/2010
-2.92 2 9/1/2018 10/1/2018
-2.52 1 10/1/2006 10/1/2006
-2.39 2 6/1/2009 7/1/2009
-2.33 1 2/1/2006 2/1/2006
-2.23 1 10/1/2005 10/1/2005
-1.94 2 11/1/2007 12/1/2007
-1.82 1 10/1/2009 10/1/2009
-1.79 1 12/1/2015 12/1/2015
-1.43 1 3/1/2017 3/1/2017
-1.43 1 3/1/2014 3/1/2014
-1.41 1 3/1/2012 3/1/2012
-1.38 1 7/1/2018 7/1/2018
-1.32 1 2/1/2013 2/1/2013
-1.31 1 10/1/2015 10/1/2015
-1.15 1 1/1/2012 1/1/2012
-1.14 1 9/1/2014 9/1/2014
-0.85 1 12/1/2006 12/1/2006
-0.76 1 1/1/2017 1/1/2017
-0.69 1 12/1/2005 12/1/2005
-0.59 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods175.00173.00170.00164.00158.00152.00140.00128.00116.00
Percent Profitable54.8659.5460.0062.8071.5275.6675.7180.4786.21
Average Period Return0.601.743.467.1210.9314.3621.7128.2131.40
Average Gain3.595.929.2615.5619.0722.6031.9736.8737.67
Average Loss-3.05-4.41-5.25-7.14-9.52-11.27-10.29-7.48-7.83
Best Period11.2621.7828.4847.3857.1451.4676.2499.96101.22
Worst Period-9.95-13.48-16.61-18.28-23.21-25.13-28.49-16.52-16.91
Standard Deviation4.076.629.1113.9917.1619.1525.0329.2430.04
Gain Standard Deviation2.514.766.6010.2912.8113.6119.1325.9227.48
Loss Standard Deviation2.193.393.924.795.877.739.024.445.41
Sharpe Ratio (1%)0.130.220.320.440.550.640.750.830.88
Average Gain / Average Loss1.181.341.762.182.002.003.114.934.81
Profit / Loss Ratio1.431.972.653.685.036.239.6920.3230.08
Downside Deviation (10%)2.744.185.508.009.8011.5714.1414.7616.50
Downside Deviation (5%)2.563.664.395.756.657.567.905.495.24
Downside Deviation (0%)2.513.534.135.235.956.716.703.823.50
Sortino Ratio (10%)0.070.120.180.260.340.350.420.450.23
Sortino Ratio (5%)0.200.410.671.061.421.632.364.405.02
Sortino Ratio (0%)0.240.490.841.361.842.143.247.388.98

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 5.17 5/2014
Trend Following Strategy Index Month 4 6.13 4/2014
Systematic Trader Index Month 5 6.13 4/2014
Diversified Trader Index Month 6 6.13 4/2014
IASG CTA Index Month 7 6.13 4/2014
Diversified Trader Index Month 5 4.90 8/2006
Systematic Trader Index Month 6 4.90 8/2006
Trend Following Strategy Index Month 5 4.90 8/2006
IASG CTA Index Month 9 4.90 8/2006
Trend Following Strategy Index Month 10 5.48 9/2005
Trend Following Strategy Index Month 7 3.64 7/2005
Trend Following Strategy Index Month 10 2.08 12/2004
Diversified Trader Index Month 10 4.01 8/2004
Systematic Trader Index Month 9 4.01 8/2004
Trend Following Strategy Index Month 7 4.01 8/2004
Trend Following Strategy Index Month 7 0.00 6/2004

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