Whitman Asset Management : WAM Global Macro 2X Program

archived programs
Year-to-Date
N / A
Oct Performance
0.25%
Min Investment
$ 2,500k
Mgmt. Fee
0%
Perf. Fee
35.00%
Annualized Vol
6.43%
Sharpe (RFR=1%)
0.57
CAROR
4.56%
Assets
$ 0k
Worst DD
-9.93
S&P Correlation
-0.44

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
10/2014
WAM Global Macro 2X Program 0.25 - - - -3.36 -3.08 - 14.74
S&P 500 1.34 - - - 26.32 80.52 - 71.69
+/- S&P 500 -1.09 - - - -29.68 -83.60 - -56.95

Strategy Description

Summary

The WAM Global Macro Program blends discretionary and systematic methods, utilizing multi-timeframe consensus aligned with global macro themes to express trades via outrights, spreads, and options on a broad universe of futures, equities, and foreign exchange markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 2,500k
CTA Max Funding Factor 1.50
Management Fee 0%
Performance Fee 35.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD 8.00%
Worst Peak-to-Trough -10.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 10.00%
1-30 Days 50.00%
Intraday 35.00%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Composition

Interest Rates
22.00%
Energy
19.00%
Stock Indices
13.00%
Grains
12.00%
Currency Futures
11.00%
Other
11.00%
Softs
4.00%
Precious Metals
3.00%
Livestock
3.00%
Currency FX
1.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

The WAM Global Macro Program blends discretionary and systematic methods, utilizing multi-timeframe consensus aligned with global macro themes to express trades via outrights, spreads, and options on a broad universe of futures, equities, and foreign exchange markets.

Investment Strategy

Ideas are generated from both discretionary fundamental and technical analyses within a highly-systematized framework. Ideas are subjected to a validation process for congruence with market environment. Validated ideas/products are scanned on multiple time frames for pattern recognition signals utilizing WAM's proprietary Einstein technology platform. Triggered signals produce trades with pre-defined risk levels, profit objectives, and duration expectations.

Risk Management

WAM adheres to a low volatility mandate effectuated via medium frequency trading with short average hold periods, tactical trade structuring and management, and proactive/reactive risk management implemented from the trade level up to the portfolio level.

   

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
-9.93 12 - 9/1/2016 9/1/2017
-2.02 1 2 9/1/2015 10/1/2015
-1.81 3 1 3/1/2015 6/1/2015
-1.63 1 1 1/1/2015 2/1/2015
-1.61 1 3 4/1/2016 5/1/2016
-1.15 2 2 12/1/2015 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
10.17 4 10/1/2014 1/1/2015
8.37 3 7/1/2015 9/1/2015
4.97 4 6/1/2016 9/1/2016
4.91 1 3/1/2015 3/1/2015
3.02 2 11/1/2015 12/1/2015
1.92 2 3/1/2016 4/1/2016
0.27 2 4/1/2017 5/1/2017
0.25 1 10/1/2017 10/1/2017
0.14 1 2/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.01 4 10/1/2016 1/1/2017
-4.99 4 6/1/2017 9/1/2017
-2.02 1 10/1/2015 10/1/2015
-1.81 3 4/1/2015 6/1/2015
-1.63 1 2/1/2015 2/1/2015
-1.61 1 5/1/2016 5/1/2016
-1.15 2 1/1/2016 2/1/2016
-0.61 1 3/1/2017 3/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable54.0560.0062.5065.3870.0085.71
Average Period Return0.391.212.344.576.809.43
Average Gain1.673.415.478.8911.0211.72
Average Loss-1.12-2.10-2.88-3.60-3.04-4.30
Best Period4.919.6313.7020.9822.4327.08
Worst Period-3.60-4.98-5.46-9.93-6.75-5.40
Standard Deviation1.863.555.167.888.7510.02
Gain Standard Deviation1.422.633.715.726.778.85
Loss Standard Deviation0.951.681.943.732.371.55
Sharpe Ratio (1%)0.160.270.360.450.610.74
Average Gain / Average Loss1.491.621.902.473.622.72
Profit / Loss Ratio1.762.443.174.668.4516.35
Downside Deviation (10%)1.212.353.505.626.446.70
Downside Deviation (5%)1.031.802.363.422.772.46
Downside Deviation (0%)0.981.682.102.962.051.68
Sortino Ratio (10%)-0.02-0.01-0.04-0.08-0.12-0.12
Sortino Ratio (5%)0.300.530.781.041.913.01
Sortino Ratio (0%)0.400.721.121.543.325.62

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 1.37 8/2016

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