Westphal Trading : Trend-following Proprietary

Year-to-Date
9.12%
Oct Performance
5.66%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
12.52%
Sharpe (RFR=1%)
0.18
CAROR
2.57%
Assets
$ 298k
Worst DD
-27.54
S&P Correlation
0.06

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
5/2010
Trend-following Proprietary 5.66 4.90 9.12 10.43 20.33 16.51 - 21.00
S&P 500 1.34 3.35 13.87 19.90 26.32 80.52 - 130.87
+/- S&P 500 4.32 1.55 -4.75 -9.47 -5.99 -64.01 - -109.86

Strategy Description

Summary

Mr. Westphal is a British Citizen who moved to the United States in December 2009 on an Entrepreneur Visa. He established his own CTA operation, obtaining NFA membership in May 2010. Mr Westphal has been trading in the financial markets since 1984. During this time he has been a foreign... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
0%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
80.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
13.00%
Precious Metals
13.00%
Interest Rates
13.00%
Stock Indices
13.00%
Industrial Metals
12.00%
Energy
12.00%
Grains
12.00%
Softs
12.00%
Composition Pie Chart

Summary

Mr. Westphal is a British Citizen who moved to the United States in December 2009 on an Entrepreneur Visa. He established his own CTA operation, obtaining NFA membership in May 2010. Mr Westphal has been trading in the financial markets since 1984. During this time he has been a foreign exchange market-maker, proprietary trader and a CTA managing up to US$ 50 million. The Manager employs a technical trend-following investment strategy which utilizes a blend of systems. The strategy is diversified in that the Program follows over forty commodity interests.

Investment Strategy

The Program is trend-following in that initiations and liquidations of positions in a particular market are generally in the direction of the price trend in that market. The Manager employs an investment strategy which utilizes a blend of systems. The strategy is diversified in that the Program follows over forty commodity interests. The commodity interests typically traded have been chosen for, among other things, their historical performance and for their customary liquidity.

Risk Management

The Manager adheres to the requirements of a fully integrated risk management system which quantifies and limits the equity committed to each position, each commodity and each group of commodities, and sets optimal stop-losses for each position and each account. The level of liquidation determined by this risk management system can override liquidations determined by technical indicators.

   

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
-27.54 37 6 4/1/2011 5/1/2014
-21.87 24 - 1/1/2015 1/1/2017
-3.76 4 1 11/1/2010 3/1/2011
-1.45 2 2 1/1/0001 6/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
37.72 3 11/1/2014 1/1/2015
25.70 4 6/1/2014 9/1/2014
12.07 5 7/1/2010 11/1/2010
6.80 2 6/1/2016 7/1/2016
5.66 1 10/1/2017 10/1/2017
5.25 1 4/1/2011 4/1/2011
4.23 2 4/1/2017 5/1/2017
3.62 2 7/1/2011 8/1/2011
3.37 1 2/1/2017 2/1/2017
3.26 1 1/1/2013 1/1/2013
3.20 2 7/1/2017 8/1/2017
2.52 2 7/1/2015 8/1/2015
2.31 1 4/1/2013 4/1/2013
2.10 1 11/1/2016 11/1/2016
1.85 1 4/1/2016 4/1/2016
1.62 2 8/1/2012 9/1/2012
1.31 1 2/1/2016 2/1/2016
1.00 2 1/1/2012 2/1/2012
0.03 1 1/1/2011 1/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.75 13 5/1/2013 5/1/2014
-14.62 5 2/1/2015 6/1/2015
-7.05 3 8/1/2016 10/1/2016
-6.01 2 5/1/2011 6/1/2011
-4.35 1 5/1/2016 5/1/2016
-4.29 5 9/1/2015 1/1/2016
-4.21 3 10/1/2012 12/1/2012
-3.68 2 2/1/2011 3/1/2011
-3.60 1 3/1/2016 3/1/2016
-3.29 2 12/1/2016 1/1/2017
-3.20 1 6/1/2017 6/1/2017
-3.19 2 2/1/2013 3/1/2013
-3.03 5 3/1/2012 7/1/2012
-1.45 2 5/1/2010 6/1/2010
-1.32 1 10/1/2014 10/1/2014
-1.28 1 9/1/2017 9/1/2017
-1.22 4 9/1/2011 12/1/2011
-0.39 1 3/1/2017 3/1/2017
-0.11 1 12/1/2010 12/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable38.8939.7740.0035.4436.9946.2770.9183.72100.00
Average Period Return0.270.841.752.593.274.158.277.268.65
Average Gain3.366.6911.8520.2623.6721.5718.0111.208.65
Average Loss-1.69-3.02-4.99-7.12-8.70-10.85-15.48-12.99
Best Period16.2537.7262.9761.2446.3939.9643.2326.6922.76
Worst Period-7.66-11.45-14.17-21.58-22.25-24.56-26.30-18.150.47
Standard Deviation3.617.8813.6318.3319.1018.9217.9510.796.58
Gain Standard Deviation3.819.3216.5620.2515.9211.989.966.126.58
Loss Standard Deviation1.523.013.935.666.417.217.734.97
Sharpe Ratio (1%)0.050.080.090.090.090.110.290.300.54
Average Gain / Average Loss1.992.222.382.852.721.991.160.86
Profit / Loss Ratio1.271.461.581.561.601.712.844.44
Downside Deviation (10%)2.024.036.5410.7713.9416.4217.7417.8020.05
Downside Deviation (5%)1.823.435.217.939.5310.7710.777.131.41
Downside Deviation (0%)1.773.294.907.288.549.519.285.56
Sortino Ratio (10%)-0.07-0.10-0.11-0.22-0.31-0.37-0.42-0.80-0.95
Sortino Ratio (5%)0.110.170.240.200.190.200.490.452.52
Sortino Ratio (0%)0.150.260.360.360.380.440.891.31

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.