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Trading Strategy: Pattern Recognition / Diversified
4.7 Exempt - Qualified Eligible Persons Only
Program Description: The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed over multiple time horizons to a diverse basket of futures markets. Risk is equalized across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity and is subject to several risks including, but not limited to capital loss.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | -3.29% | -2.88% | 6.71% | 0.58% | 8.72% | 1.07% | 5.09% | 2.47% | -0.44% | -2.69% | 0.83% | -0.96% |
2020 | 2.91% | 2.42% | 3.51% | 0.74% | -1.69% | -0.17% | 4.03% | -0.99% | -5.90% | -2.98% | -4.08% | 4.69% |
2021 | -6.27% | 2.55% | 0.10% | -1.69% | 0.86% | -1.34% | 5.95% | -0.59% | -4.27% | 4.06% | -3.29% | -1.57% |
2022 | -3.73% | -1.47% | 15.15% | 4.47% | -2.27% | 5.88% | -3.63% | 1.85% | 6.64% | -1.59% | -4.81% | -2.88% |
2023 | -2.36% | 2.06% | -6.89% | 2.92% | -0.62% | 8.55% | -2.26% | -2.27% | 1.34% | 1.12% | -1.37% | -2.02% |
2024 | 0.71% | 6.14% | 4.01% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 15.41% | 1.86% | -5.99% | 12.44% | -2.56% | 11.18% |
Max DD | -6.08% | -13.30% | -6.27% | -9.02% | -7.21% | 0.00% |
+++ Accounting Notes: Prior to July 2011, the performance presented here is the performance of the FCIMT Cyril Systematic Fund adjusted to reflect the current risk structure and fee structure of 1.5% management fee and 20% performance fee. For the period from August 2011 until December 2017, the above table reflects actual performance adjusted with a fee structure of 1.5% management fee and 20% performance fee
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Jul 2000
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.