Xplor Capital Management, LLC : Global CTA Program

archived programs
Year-to-Date
N / A
Jul Performance
3.04%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.42%
Sharpe (RFR=1%)
0.18
CAROR
2.60%
Assets
$ 25.0M
Worst DD
-36.83
S&P Correlation
-0.10

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Global CTA Program 3.04 -5.43 - 6.19 -8.05 6.91 35.93 32.87
S&P 500 1.97 0.88 - 8.97 52.53 90.95 70.44 90.93
+/- S&P 500 1.07 -6.30 - -2.78 -60.57 -84.04 -34.50 -58.05

Strategy Description

Summary

Xplor Capital Management, LLC (Xplor) is a global quantitative asset manager providing sophisticated individual and institutional clients with an innovative alternative investment. Xplor emphasizes the pursuit of both absolute and risk-adjusted performance based on a fundamental belief... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-20.02%
Worst Peak-to-Trough
36.83%
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
34.00%
Fundamental
33.00%
Momentum
33.00%
Strategy Pie Chart

Composition

Currency Futures
28.00%
Interest Rates
28.00%
Softs
11.00%
Energy
8.00%
Grains
8.00%
Other
8.00%
Industrial Metals
4.00%
Precious Metals
4.00%
Livestock
1.00%
Composition Pie Chart

Summary

Xplor Capital Management, LLC (Xplor) is a global quantitative asset manager providing sophisticated individual and institutional clients with an innovative alternative investment. Xplor emphasizes the pursuit of both absolute and risk-adjusted performance based on a fundamental belief in continual dynamic research with a commitment to on-going investor support. The Xplor Global CTA Program applies Xplor’s Dynamic Weighting Method (DWM), our proprietary quantitative investment approach, to a universe of worldwide futures and forward contracts. This program began trading July 16, 2004. Xplor’s various trading strategies can be categorized for convenience into several disciplines: • fundamental information synthesis — strategies that analyze quantitative fundamentals such as interest rates, earnings, and macro–economic data which correspond to price movements in the relevant instrument. The strategies then project, using the fundamental data, the direction, extent and duration of future price movements. • momentum recognition — strategies that assess an instrument’s strength or weakness (either on an absolute basis, relative to its history, or relative to some peer group) and target the strongest (weakest) for long (short) positions. • trend recognition — strategies that seek to capture large portions of significant price moves, both up and down, while minimizing losses in volatile or sideways market action. • counter-trend recognition — strategies that seek to capture limited reactionary moves against established trends or within trading ranges (consolidation areas.) • temporal focus — strategies that seek to exploit time-sensitive phenomena of the trading markets, for example, high frequency and pattern matching analysis, inter- and intra-market forward curve analysis, option-based analytics. Xplor seeks to construct from the available combinations of strategies and markets, on a dynamic basis, a portfolio which exhibits superior risk-adjusted return. Xplor relies on a proprietary analysis of market statistics which characterize the performance of possible combinations to arrive at a portfolio it believes exhibits superior potential for profit, consistent with minimizing the potential for large losses. This process continually reassesses market conditions and the potential for favorable (or unfavor- able) performance of any given combination of strategy and instrument as well as the portfolio as a whole. The dynamic nature of the portfolio makes it impossible to predict its exact composition at any future date. As such, there can be no assurance that opportunities in the various markets and strategy disciplines result in gains to a client’s account. Moreover, losses in a subset of market and strategy combinations can cause significant unexpected losses to the client account if these combinations are heavily represented in Xplor’s active portfolio construction.

Investment Strategy

The Xplor Global CTA Program applies Xplor’s Dynamic Weighting Method (DWM), our proprietary quantitative investment approach, to a universe of worldwide markets. This program commenced July 2004 with a major addition, highlighted by color, of Temporal Focus (intra-day and pattern matching) strategies in June 2008.

Risk Management

Xplor applies risk management techniques to the individual stages of trading strategies and portfolio construction. Risk management functions to measure and manage the exposure of the portfolio to potential losses, attempting to minimize this exposure in relation to the potential reward. There can be no assurance, however, that risk management measures will enhance results or limit losses of the portfolio. Xplor generally intends to follow the disciplined systematic decisions of its trading strategies and portfolio construction process. However, there are occasions on which the risk of the market does not appear to be justified by the potential reward. On these occasions, Xplor may override the systematic decision. While such action may be taken for any reason and at any time at Xplor’s discretion, it will typically only be taken to reduce risk in the portfolio, and may or may not enhance the results which would otherwise be achieved.

   

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
-36.83 16 - 4/1/2006 8/1/2007
-6.62 9 5 1/1/0001 3/1/2005
-1.31 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
32.37 6 8/1/2005 1/1/2006
24.28 2 9/1/2007 10/1/2007
22.44 3 12/1/2007 2/1/2008
21.14 2 3/1/2006 4/1/2006
21.09 3 10/1/2008 12/1/2008
13.17 3 11/1/2006 1/1/2007
11.98 5 10/1/2014 2/1/2015
11.18 2 5/1/2008 6/1/2008
10.82 4 7/1/2010 10/1/2010
7.94 3 4/1/2007 6/1/2007
7.65 4 1/1/2010 4/1/2010
7.09 4 9/1/2013 12/1/2013
6.14 2 4/1/2012 5/1/2012
5.36 2 7/1/2014 8/1/2014
5.29 3 4/1/2005 6/1/2005
4.95 2 7/1/2011 8/1/2011
4.84 3 2/1/2011 4/1/2011
3.62 2 7/1/2009 8/1/2009
3.22 1 1/1/2012 1/1/2012
3.04 1 7/1/2015 7/1/2015
2.61 1 12/1/2010 12/1/2010
2.52 1 2/1/2009 2/1/2009
2.35 1 11/1/2009 11/1/2009
2.29 1 7/1/2012 7/1/2012
1.78 2 10/1/2004 11/1/2004
1.37 2 11/1/2012 12/1/2012
1.14 1 5/1/2015 5/1/2015
0.91 1 1/1/2005 1/1/2005
0.75 1 2/1/2014 2/1/2014
0.72 1 11/1/2011 11/1/2011
0.66 1 5/1/2014 5/1/2014
0.37 1 8/1/2006 8/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.47 2 7/1/2007 8/1/2007
-15.53 2 2/1/2007 3/1/2007
-14.51 4 3/1/2009 6/1/2009
-13.63 1 11/1/2007 11/1/2007
-13.17 2 3/1/2008 4/1/2008
-11.82 8 1/1/2013 8/1/2013
-9.96 2 9/1/2006 10/1/2006
-9.25 1 6/1/2015 6/1/2015
-8.04 3 7/1/2008 9/1/2008
-5.38 2 5/1/2010 6/1/2010
-5.30 3 5/1/2006 7/1/2006
-4.69 2 3/1/2014 4/1/2014
-4.20 3 8/1/2012 10/1/2012
-4.12 2 2/1/2005 3/1/2005
-3.77 2 9/1/2011 10/1/2011
-3.75 1 6/1/2012 6/1/2012
-3.09 2 2/1/2012 3/1/2012
-2.92 2 5/1/2011 6/1/2011
-2.88 1 12/1/2004 12/1/2004
-2.82 2 3/1/2015 4/1/2015
-2.71 1 11/1/2010 11/1/2010
-2.51 1 1/1/2014 1/1/2014
-2.49 1 1/1/2009 1/1/2009
-2.41 1 12/1/2009 12/1/2009
-2.37 3 7/1/2004 9/1/2004
-1.91 1 1/1/2011 1/1/2011
-1.63 1 9/1/2014 9/1/2014
-1.31 1 2/1/2006 2/1/2006
-0.68 2 9/1/2009 10/1/2009
-0.58 1 7/1/2005 7/1/2005
-0.39 1 12/1/2011 12/1/2011
-0.24 1 6/1/2014 6/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods133.00131.00128.00122.00116.00110.0098.0086.0074.00
Percent Profitable53.3852.6754.6962.3060.3457.2764.2974.4281.08
Average Period Return0.330.992.194.546.065.705.599.4011.81
Average Gain3.316.149.6712.8916.9916.4113.5314.7715.68
Average Loss-3.09-4.74-6.83-9.25-10.57-8.65-8.71-6.22-4.78
Best Period15.4222.4440.4063.0855.7753.8236.5946.5447.55
Worst Period-20.02-26.66-28.30-33.54-32.14-27.92-20.69-19.64-9.60
Standard Deviation4.747.6611.3316.3118.9617.2913.6214.9013.00
Gain Standard Deviation3.415.859.0914.4316.0514.719.6513.1411.27
Loss Standard Deviation3.614.865.867.487.457.025.686.052.63
Sharpe Ratio (1%)0.050.100.150.220.240.210.190.360.52
Average Gain / Average Loss1.071.291.421.391.611.901.552.383.28
Profit / Loss Ratio1.231.441.712.302.452.542.806.9114.06
Downside Deviation (10%)3.425.287.399.9412.4813.5316.2718.1720.18
Downside Deviation (5%)3.274.776.307.768.918.327.806.094.57
Downside Deviation (0%)3.234.656.047.278.127.256.194.342.35
Sortino Ratio (10%)-0.02-0.05-0.04-0.05-0.12-0.34-0.63-0.67-0.78
Sortino Ratio (5%)0.070.160.270.460.510.440.330.881.47
Sortino Ratio (0%)0.100.210.360.620.750.790.902.175.02

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 8.38 1/2007
Systematic Trader Index Month 6 8.38 1/2007
IASG CTA Index Month 8 8.38 1/2007
Diversified Trader Index Month 9 10.92 3/2006
IASG CTA Index Month 10 10.92 3/2006
Systematic Trader Index Month 7 10.92 3/2006
Diversified Trader Index Month 10 1.58 4/2005
Systematic Trader Index Month 9 0.91 1/2005
Diversified Trader Index Month 6 0.91 1/2005

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