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Welton Investment Partners : Welton Trend

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Year-to-Date
0.33%
Jan Performance
-0.33%
Min Investment
$ 25,000k
Mgmt. Fee
0.40%
Perf. Fee
Annualized Vol
9.27%
Sharpe (RFR=1%)
0.45
CAROR
4.88%
Assets
$ 191.0M
Worst DD
-10.96
S&P Correlation
0.06
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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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2012
Welton Trend -0.33 3.64 -0.33 9.61 24.75 14.75 - 48.78
S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 175.80
+/- S&P 500 0.78 -9.95 0.78 -5.54 -6.77 -74.73 - -127.02

Strategy Description

Summary

Welton Trend seeks to reliably deliver Managed Futures trend following style class performance within a low-cost investment program.
It has been designed for investors seeking:
* Systematic trend style class exposure at lower cost;
* Long-term tail risk protection;... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.40%
Performance Fee
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
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

Summary

Welton Trend seeks to reliably deliver Managed Futures trend following style class performance within a low-cost investment program.
It has been designed for investors seeking:
* Systematic trend style class exposure at lower cost;
* Long-term tail risk protection; and
* Diversification to traditional assets and most alternatives.

Investment Strategy

Welton Trend was founded on two objectives:
1. Style class reliability (including non-correlation to equities and fixed income), and
2. consistent outperformance over benchmark.

   

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

Monthly Annual
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
-10.96 38 14 3/1/2015 5/1/2018
-7.70 4 11 8/1/2019 12/1/2019
-7.36 12 7 1/1/0001 9/1/2013
-2.21 1 1 6/1/2014 7/1/2014
-0.51 1 1 1/1/2015 2/1/2015
-0.33 1 - 12/1/2020 1/1/2021
-0.01 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
18.29 4 10/1/2014 1/1/2015
13.05 3 6/1/2019 8/1/2019
11.82 5 2/1/2014 6/1/2014
9.98 2 11/1/2020 12/1/2020
6.64 2 10/1/2013 11/1/2013
6.43 2 1/1/2016 2/1/2016
6.26 3 1/1/2020 3/1/2020
6.11 2 3/1/2019 4/1/2019
5.95 2 6/1/2016 7/1/2016
4.98 2 11/1/2018 12/1/2018
4.80 1 3/1/2015 3/1/2015
4.48 1 8/1/2014 8/1/2014
4.15 4 6/1/2018 9/1/2018
4.08 1 7/1/2015 7/1/2015
3.63 2 12/1/2017 1/1/2018
3.32 2 3/1/2013 4/1/2013
3.06 1 10/1/2017 10/1/2017
2.94 1 9/1/2015 9/1/2015
2.27 1 11/1/2015 11/1/2015
2.15 2 7/1/2017 8/1/2017
1.96 2 11/1/2016 12/1/2016
1.43 1 7/1/2020 7/1/2020
1.33 1 2/1/2017 2/1/2017
0.78 1 11/1/2019 11/1/2019
0.49 1 9/1/2016 9/1/2016
0.41 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.73 3 4/1/2015 6/1/2015
-6.54 2 9/1/2019 10/1/2019
-6.53 4 2/1/2018 5/1/2018
-5.97 3 3/1/2016 5/1/2016
-5.91 5 5/1/2013 9/1/2013
-5.32 2 12/1/2013 1/1/2014
-4.87 1 8/1/2015 8/1/2015
-4.18 2 1/1/2019 2/1/2019
-4.16 3 10/1/2012 12/1/2012
-3.90 4 3/1/2017 6/1/2017
-3.80 1 9/1/2017 9/1/2017
-3.65 1 10/1/2016 10/1/2016
-2.71 3 4/1/2020 6/1/2020
-2.47 1 10/1/2018 10/1/2018
-2.46 1 10/1/2015 10/1/2015
-2.30 3 8/1/2020 10/1/2020
-2.21 1 7/1/2014 7/1/2014
-2.01 1 12/1/2019 12/1/2019
-1.96 1 8/1/2016 8/1/2016
-1.64 1 1/1/2017 1/1/2017
-1.46 1 12/1/2015 12/1/2015
-0.97 1 2/1/2013 2/1/2013
-0.51 1 2/1/2015 2/1/2015
-0.33 1 1/1/2021 1/1/2021
-0.18 1 5/1/2019 5/1/2019
-0.09 1 11/1/2017 11/1/2017
-0.01 1 9/1/2014 9/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods100.0098.0095.0089.0083.0077.0065.0053.0041.00
Percent Profitable50.0054.0863.1665.1768.6771.4380.0094.34100.00
Average Period Return0.431.362.635.588.8911.5913.5815.8121.18
Average Gain2.564.425.7110.0914.3417.7318.0117.0521.18
Average Loss-1.69-2.25-2.66-2.85-3.07-3.74-4.15-4.93
Best Period6.9017.2323.5835.1442.2636.6437.3734.2334.34
Worst Period-5.00-7.73-5.96-7.54-7.04-8.02-10.23-5.396.83
Standard Deviation2.684.446.069.1411.3612.9812.9010.187.71
Gain Standard Deviation1.793.615.578.189.5310.0610.329.057.71
Loss Standard Deviation1.421.891.492.221.812.173.050.40
Sharpe Ratio (1%)0.130.250.350.500.650.740.821.152.08
Average Gain / Average Loss1.511.972.143.544.684.744.343.46
Profit / Loss Ratio1.512.323.686.6210.2511.8517.3757.69
Downside Deviation (10%)1.792.683.314.996.298.0710.2910.979.85
Downside Deviation (5%)1.602.112.122.622.753.303.472.21
Downside Deviation (0%)1.561.981.852.121.982.302.271.17
Sortino Ratio (10%)0.010.050.050.120.210.17-0.21-0.52-0.66
Sortino Ratio (5%)0.220.521.001.752.692.913.045.32
Sortino Ratio (0%)0.280.691.422.634.485.055.9813.46

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.

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