Zephyr Asset Management : Aggressive

archived programs
Year-to-Date
N / A
Aug Performance
3.75%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.23%
Sharpe (RFR=1%)
1.61
CAROR
21.88%
Assets
$ 3.0M
Worst DD
-15.67
S&P Correlation
0.26

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
7/2003
Aggressive 3.75 - - - - - - 177.94
S&P 500 1.22 - - - - - - 249.80
+/- S&P 500 2.53 - - - - - - -71.87

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $22.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2700 RT/YR/$M
Avg. Margin-to-Equity 70%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

   

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
-15.67 2 - 6/1/2007 8/1/2007
-6.87 1 4 1/1/2007 2/1/2007
-3.99 1 3 4/1/2006 5/1/2006
-2.26 1 2 10/1/2004 11/1/2004
-1.76 1 1 6/1/2005 7/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
40.38 9 2/1/2004 10/1/2004
31.89 6 7/1/2003 12/1/2003
18.46 9 8/1/2005 4/1/2006
16.12 5 4/1/2008 8/1/2008
15.91 7 12/1/2004 6/1/2005
14.56 6 8/1/2006 1/1/2007
13.02 4 9/1/2007 12/1/2007
8.69 2 5/1/2007 6/1/2007
4.14 1 6/1/2006 6/1/2006
2.37 1 2/1/2008 2/1/2008
1.87 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.67 2 7/1/2007 8/1/2007
-11.38 1 1/1/2008 1/1/2008
-6.87 1 2/1/2007 2/1/2007
-3.99 1 5/1/2006 5/1/2006
-2.26 1 11/1/2004 11/1/2004
-2.20 1 7/1/2006 7/1/2006
-1.76 1 7/1/2005 7/1/2005
-1.19 1 4/1/2007 4/1/2007
-0.64 1 3/1/2008 3/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable82.2681.6782.4678.4382.2297.44100.00100.00
Average Period Return1.735.089.6619.3429.1540.5865.4692.93
Average Gain3.017.5512.7125.9935.9141.6765.4692.93
Average Loss-4.66-5.93-4.67-4.81-2.10-0.95
Best Period6.5616.9031.8964.1585.01109.74144.05178.60
Worst Period-11.38-13.92-10.59-13.93-3.99-0.9521.3456.28
Standard Deviation3.536.6510.3619.5425.0630.6440.0337.09
Gain Standard Deviation1.614.088.6416.6122.4430.2740.0337.09
Loss Standard Deviation3.894.182.913.841.32
Sharpe Ratio (1%)0.470.730.880.941.101.261.562.40
Average Gain / Average Loss0.651.272.725.4017.1343.67
Profit / Loss Ratio3.305.6812.7919.6379.221659.29
Downside Deviation (10%)2.523.513.224.894.252.96
Downside Deviation (5%)2.413.152.463.191.600.55
Downside Deviation (0%)2.393.062.272.811.030.15
Sortino Ratio (10%)0.521.102.232.945.0710.24
Sortino Ratio (5%)0.681.543.735.7517.2370.60
Sortino Ratio (0%)0.721.664.256.8828.43265.54

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.