Zephyr Asset Management : Moderate Program

archived programs
Year-to-Date
N / A
Aug Performance
3.77%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
12.79%
Sharpe (RFR=1%)
0.86
CAROR
11.75%
Assets
$ 551k
Worst DD
-20.23
S&P Correlation
0.28

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
9/2003
Moderate Program 3.77 - - - - - - 74.25
S&P 500 1.22 - - - - - - 224.93
+/- S&P 500 2.55 - - - - - - -150.67

Strategy Description

Summary

-Zephyr Asset Management studies financial markets with the goal of developing and implementing strategies to generate better than average growth to investment portfolios. Trading strategies seek to be flexible enough to profit in rising markets as well as declining markets and has... Read More

Account & Fees

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

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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

Summary

-Zephyr Asset Management studies financial markets with the goal of developing and implementing strategies to generate better than average growth to investment portfolios. Trading strategies seek to be flexible enough to profit in rising markets as well as declining markets and has the potential to perform well in both inflationary and deflationary periods. Presently, the strategy that best meets the criteria for effective growth to risk management is one that focuses on the writing (selling) of options using the S&P 500 Futures contracts.

   

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
-20.23 17 - 1/1/2007 6/1/2008
-3.06 1 2 10/1/2004 11/1/2004
-2.99 3 1 4/1/2006 7/1/2006
-2.62 1 1 6/1/2005 7/1/2005
-1.07 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
53.66 14 9/1/2003 10/1/2004
15.04 4 9/1/2007 12/1/2007
14.46 7 12/1/2004 6/1/2005
11.73 6 8/1/2006 1/1/2007
10.52 6 11/1/2005 4/1/2006
9.04 2 5/1/2007 6/1/2007
6.39 2 8/1/2005 9/1/2005
4.35 2 7/1/2008 8/1/2008
2.95 1 6/1/2006 6/1/2006
1.22 1 3/1/2007 3/1/2007
0.87 1 2/1/2008 2/1/2008
0.08 1 5/1/2008 5/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.88 2 7/1/2007 8/1/2007
-10.64 1 1/1/2008 1/1/2008
-9.59 1 2/1/2007 2/1/2007
-3.06 1 11/1/2004 11/1/2004
-2.98 1 5/1/2006 5/1/2006
-2.88 1 7/1/2006 7/1/2006
-2.62 1 7/1/2005 7/1/2005
-2.10 2 3/1/2008 4/1/2008
-1.86 1 6/1/2008 6/1/2008
-1.16 1 4/1/2007 4/1/2007
-1.07 1 10/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable78.3374.1472.7373.4769.7775.6896.00100.00
Average Period Return1.002.805.4510.8316.6323.6036.6244.03
Average Gain2.505.979.9418.6728.1734.0638.2344.03
Average Loss-4.43-6.27-6.53-10.88-9.99-8.94-2.06
Best Period6.8912.5824.5449.4357.6571.7793.9572.02
Worst Period-14.25-17.25-13.33-19.12-19.78-13.44-2.0615.92
Standard Deviation3.696.629.7816.7921.6225.9132.0422.46
Gain Standard Deviation1.413.407.1911.8314.3820.6231.6722.46
Loss Standard Deviation4.324.953.734.956.023.34
Sharpe Ratio (1%)0.250.390.510.590.700.831.051.78
Average Gain / Average Loss0.560.951.521.722.823.8118.52
Profit / Loss Ratio2.042.734.064.756.5111.85444.41
Downside Deviation (10%)2.974.535.098.5810.189.876.982.27
Downside Deviation (5%)2.854.114.126.597.075.631.15
Downside Deviation (0%)2.834.013.896.126.354.670.41
Sortino Ratio (10%)0.200.350.590.680.891.352.999.91
Sortino Ratio (5%)0.320.621.201.492.143.8429.28
Sortino Ratio (0%)0.350.701.401.772.625.0588.68

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.