Wichler Group, Inc. : Reversal - Prop

archived programsClosed to new investments
Year-to-Date
N / A
Sep Performance
0.29%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
17.10%
Sharpe (RFR=1%)
0.49
CAROR
8.19%
Assets
$ 173k
Worst DD
-14.27
S&P Correlation
0.09

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2008
Reversal - Prop 0.29 - - - - - -4.97 43.46
S&P 500 2.42 - - - - - 76.68 144.66
+/- S&P 500 -2.13 - - - - - -81.65 -101.20

Strategy Description

Summary

PERFORMANCE DATA INCLUDES ONLY PROPRIETARY FUNDS PRESENTED ON A PRO-FORMA BASIS IN THAT THE PERCENTAGE RATE OF RETURN DISPLAYED IS CALCULATED USING AN INCENTIVE FEE OF 20%. Brokerage and all other expenses are included as actually charged. Wichler seeks to generate consistent positive... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 7.00%
1-3 Months 25.00%
1-30 Days 67.00%
Intraday 1.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
20.00%
Trend-following
70.00%
Other
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

PERFORMANCE DATA INCLUDES ONLY PROPRIETARY FUNDS PRESENTED ON A PRO-FORMA BASIS IN THAT THE PERCENTAGE RATE OF RETURN DISPLAYED IS CALCULATED USING AN INCENTIVE FEE OF 20%. Brokerage and all other expenses are included as actually charged. Wichler seeks to generate consistent positive returns in both up and down markets with low correlation to other asset classes. The general trading strategy of the Reversal Program is trend following and specializes in Equity Index Futures. Track record prepared by CCS Finanical Services, Inc. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Investment Strategy

The Reversal Program traded by Wichler is strictly technical in nature. No fundamental analysis is used. The program does not forecast markets or price levels but participates in the markets dominate direction, either up or down. To meet our trading objective of consistent positive returns our model incorporates a medium-term reversal strategy and a short-term volatility reduction overlay (introduced in JAN '10). The program attempts to always be in the market either long or short. Under market conditions where a stop-loss is reached or market volatility exceeds the predetermined level of risk, the program remains in cash until the next entry trigger. Portfolio Composition: E-Mini NASDAQ 100 E-Mini S&P 500

Risk Management

The Foundation of Wichler’s Reversal Program is based on managing downside risk to a maximum fixed fractional amount on any given trade by using a measure of current market volatility and Wichler's proprietary trading model. Stop-loss orders are entered concurrent with market entry orders and set to quickly exit the position if the market moves against the trade.

   

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
-14.27 5 3 8/1/2008 1/1/2009
-12.51 2 9 10/1/2009 12/1/2009
-9.43 1 1 7/1/2009 8/1/2009
-8.47 3 - 5/1/2012 8/1/2012
-6.50 9 2 10/1/2010 7/1/2011
-3.98 1 1 4/1/2008 5/1/2008
-3.75 3 2 10/1/2011 1/1/2012
-0.20 1 1 1/1/0001 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
37.30 6 2/1/2009 7/1/2009
16.33 2 9/1/2009 10/1/2009
11.58 1 4/1/2008 4/1/2008
11.19 1 5/1/2010 5/1/2010
9.51 3 6/1/2008 8/1/2008
7.78 3 8/1/2011 10/1/2011
7.64 2 9/1/2010 10/1/2010
6.73 4 2/1/2012 5/1/2012
5.29 1 1/1/2010 1/1/2010
2.44 1 7/1/2010 7/1/2010
1.87 1 3/1/2011 3/1/2011
0.29 1 9/1/2012 9/1/2012
0.04 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.27 5 9/1/2008 1/1/2009
-12.51 2 11/1/2009 12/1/2009
-9.43 1 8/1/2009 8/1/2009
-8.47 3 6/1/2012 8/1/2012
-4.48 4 11/1/2010 2/1/2011
-3.98 1 5/1/2008 5/1/2008
-3.75 3 11/1/2011 1/1/2012
-3.39 3 2/1/2010 4/1/2010
-2.71 1 8/1/2010 8/1/2010
-2.44 2 6/1/2011 7/1/2011
-2.06 1 6/1/2010 6/1/2010
-1.54 1 4/1/2011 4/1/2011
-0.20 1 3/1/2008 3/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable49.0956.6066.0086.3689.4796.88100.00
Average Period Return0.782.184.429.5614.3419.7029.67
Average Gain4.187.319.6111.4116.1620.4029.67
Average Loss-2.51-4.53-5.67-2.18-1.08-2.00
Best Period17.0225.2537.3034.9243.6246.7347.19
Worst Period-12.35-8.47-13.79-5.55-2.34-2.003.39
Standard Deviation4.947.8910.459.2512.2713.3513.52
Gain Standard Deviation4.276.678.918.5511.6812.9613.52
Loss Standard Deviation2.902.313.471.810.86
Sharpe Ratio (1%)0.140.240.370.931.051.321.97
Average Gain / Average Loss1.671.621.705.2414.9210.21
Profit / Loss Ratio1.612.113.2933.21126.78316.49
Downside Deviation (10%)2.914.085.152.993.473.563.53
Downside Deviation (5%)2.753.484.101.330.890.72
Downside Deviation (0%)2.713.333.841.010.430.35
Sortino Ratio (10%)0.130.230.381.521.942.653.94
Sortino Ratio (5%)0.250.550.966.4514.4124.63
Sortino Ratio (0%)0.290.651.159.4733.6555.77

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.