Zoi Capital, LLC : Telio Program (Client)

archived programs
Year-to-Date
N / A
Jul Performance
-6.22%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
17.88%
Sharpe (RFR=1%)
0.53
CAROR
9.34%
Assets
$ 1.1M
Worst DD
-26.61
S&P Correlation
0.13

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
4/2010
Telio Program (Client) -6.22 -7.35 - 0.92 -16.93 -14.00 - 92.47
S&P 500 1.93 3.45 - 13.48 27.75 78.82 - 107.93
+/- S&P 500 -8.15 -10.81 - -12.56 -44.68 -92.82 - -15.46

Strategy Description

Summary

The majority of investment portfolios are excessively correlated to equities and bonds and benefit from diversification into alternative asset classes. Accordingly, the primary investment objective of Zoi Capital's Telio Program is to provide non-correlated returns in relation to the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
26.61%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Stock Indices
20.00%
Currency Futures
17.00%
Precious Metals
12.00%
Industrial Metals
6.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

The majority of investment portfolios are excessively correlated to equities and bonds and benefit from diversification into alternative asset classes. Accordingly, the primary investment objective of Zoi Capital's Telio Program is to provide non-correlated returns in relation to the equity, bond, and commodities markets while seeking positive risk adjusted returns. Zoi Capital utilizes the managed futures model where customers have full transparency, segregation and liquidity of their account while participating in the program.

Investment Strategy

The Telio system employed by Zoi Capital, LLC is designed to provide non-correlated returns by trading futures contracts in the direction of market trends using a short term statistical mean reversion strategy. The indicators that are employed by the system include trend, momentum, and standard deviation calculations on the daily price movements of the futures contracts. All trading is on regulated electronic futures exchanges including equity index futures, currency futures, and interest rate, metal, energy, and agriculture futures.

Risk Management

To manage risk the Telio program utilizes a volatility algorithm for position sizing and volatility based protective stops to exit positions intraday when necessary.

   

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
-26.61 23 - 8/1/2013 7/1/2015
-16.48 2 5 4/1/2011 6/1/2011
-6.66 1 2 10/1/2010 11/1/2010
-5.48 1 2 11/1/2011 12/1/2011
-4.20 5 1 1/1/2013 6/1/2013
-3.07 1 2 8/1/2012 9/1/2012
-1.95 1 2 4/1/2012 5/1/2012
-0.74 1 1 4/1/2010 5/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
45.32 5 6/1/2010 10/1/2010
33.60 5 12/1/2010 4/1/2011
23.79 4 1/1/2012 4/1/2012
15.09 5 11/1/2016 3/1/2017
11.88 3 8/1/2015 10/1/2015
11.81 2 7/1/2013 8/1/2013
10.75 3 2/1/2014 4/1/2014
10.59 1 9/1/2011 9/1/2011
8.09 3 6/1/2012 8/1/2012
6.64 1 7/1/2011 7/1/2011
6.50 4 10/1/2012 1/1/2013
6.49 1 3/1/2016 3/1/2016
4.73 1 11/1/2014 11/1/2014
4.41 4 6/1/2014 9/1/2014
4.30 2 12/1/2015 1/1/2016
4.06 1 12/1/2013 12/1/2013
3.45 1 11/1/2011 11/1/2011
3.03 1 1/1/2015 1/1/2015
2.16 1 5/1/2017 5/1/2017
1.83 1 4/1/2015 4/1/2015
1.50 1 5/1/2013 5/1/2013
1.07 1 3/1/2013 3/1/2013
0.31 1 4/1/2010 4/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.93 7 4/1/2016 10/1/2016
-16.48 2 5/1/2011 6/1/2011
-15.94 2 2/1/2015 3/1/2015
-14.79 3 9/1/2013 11/1/2013
-10.38 3 5/1/2015 7/1/2015
-7.35 2 6/1/2017 7/1/2017
-6.66 1 11/1/2010 11/1/2010
-6.17 1 12/1/2014 12/1/2014
-5.48 1 12/1/2011 12/1/2011
-4.55 1 1/1/2014 1/1/2014
-4.10 1 4/1/2017 4/1/2017
-3.84 1 2/1/2013 2/1/2013
-3.07 1 9/1/2012 9/1/2012
-2.34 1 5/1/2014 5/1/2014
-2.22 1 6/1/2013 6/1/2013
-1.95 1 5/1/2012 5/1/2012
-1.71 1 8/1/2011 8/1/2011
-1.27 1 11/1/2015 11/1/2015
-1.13 1 10/1/2014 10/1/2014
-0.74 1 5/1/2010 5/1/2010
-0.68 1 4/1/2013 4/1/2013
-0.46 1 2/1/2016 2/1/2016
-0.14 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable59.0965.1271.0862.3461.9763.0845.2865.8589.66
Average Period Return0.882.885.779.8514.0018.1222.9028.9234.10
Average Gain4.017.8011.8821.0028.2535.9362.4149.6338.69
Average Loss-3.66-6.32-9.23-8.61-9.21-12.30-9.79-11.03-5.68
Best Period22.1731.1044.2479.8881.25110.50127.32131.22102.01
Worst Period-13.83-15.35-23.29-20.85-17.04-25.89-22.93-18.65-10.73
Standard Deviation5.169.1513.6520.8427.0936.5643.6946.7232.17
Gain Standard Deviation3.746.8210.5918.4825.1635.0636.0945.2130.75
Loss Standard Deviation3.184.797.126.295.027.075.424.214.40
Sharpe Ratio (1%)0.150.290.390.420.460.440.450.530.90
Average Gain / Average Loss1.101.231.292.443.072.926.374.506.81
Profit / Loss Ratio1.592.303.164.045.004.995.288.6859.04
Downside Deviation (10%)3.285.267.349.2111.0314.5719.3120.1215.37
Downside Deviation (5%)3.124.776.437.017.289.6610.279.133.78
Downside Deviation (0%)3.084.666.226.506.448.588.246.872.16
Sortino Ratio (10%)0.140.310.450.530.580.540.370.370.42
Sortino Ratio (5%)0.250.550.821.261.721.671.942.727.67
Sortino Ratio (0%)0.280.620.931.512.172.112.784.2115.77

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 3 4.11 3/2017
Systematic Trader Index Month 5 4.11 3/2017
IASG CTA Index Month 6 4.11 3/2017
IASG CTA Index Month 4 5.94 12/2016
Diversified Trader Index Month 3 5.94 12/2016
Systematic Trader Index Month 3 5.94 12/2016
IASG CTA Index Month 3 6.47 3/2016
Diversified Trader Index Month 5 6.47 3/2016
Systematic Trader Index Month 7 6.47 3/2016
Diversified Trader Index Month 8 2.40 12/2015
IASG CTA Index Month 10 2.40 12/2015
Systematic Trader Index Month 3 7.32 10/2015
IASG CTA Index Month 1 7.32 10/2015
Diversified Trader Index Month 2 7.32 10/2015
Systematic Trader Index Month 6 4.59 8/2013
Diversified Trader Index Month 6 4.59 8/2013
Diversified Trader Index Month 8 6.90 7/2013
Systematic Trader Index Month 9 6.90 7/2013
IASG CTA Index Month 8 9.11 3/2012
Systematic Trader Index Month 6 9.11 3/2012
Diversified Trader Index Month 5 9.11 3/2012
Diversified Trader Index Month 4 11.00 3/2011
Systematic Trader Index Month 3 11.00 3/2011
IASG CTA Index Month 8 11.00 3/2011
IASG CTA Index Month 8 7.97 1/2011
Systematic Trader Index Month 4 7.97 1/2011
Diversified Trader Index Month 4 7.97 1/2011
Systematic Trader Index Month 3 22.17 10/2010
Diversified Trader Index Month 3 22.17 10/2010
IASG CTA Index Month 7 22.17 10/2010
Systematic Trader Index Month 7 7.22 7/2010
Diversified Trader Index Month 8 7.22 7/2010
IASG CTA Index Month 10 7.22 7/2010

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