Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The Global Managed Futures Fund offers investors a high-frequency multi-strategy short-term quantitative trading approach. It uses a large number of statistically researched, computer-tested trading strategies that have had a proven real time trading performance of over 9 years, that is uncorrelated with equity indices and trend-following systems. Rigorous risk management is implemented by using multiple, uncorrelated strategies, both momentum and counter-trend, with diversification over 37 global futures markets. The average duration of each trade is 1.5 days. Tight stop-losses are employed on all trades.
*Note on commission structure in historical performance record: Before Jun 06, the average commission for the track record was $12. After Jun 06, due to transition to electronic trading, the average commission was reduced to $3.00
Risk Management
Trade execution and real-time risk monitoring are carried out using an in-house developed automated software-driven trading and monitoring platform, using multiple server locations in different geographical regions.
AUM & Cumulative Returns
Distribution
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
Arcadia Fund Global Managed Futures
Average RoR
0.67%
Max Gain
10.35%
Gain Frequency
53.24%
Average Gain
3.36%
Gain Deviation
2.42%
Risk
Standard Deviation
3.64%
Worst Loss
-10.41%
Loss Frequency
46.76%
Average Loss
-2.39%
Loss Deviation
2.00%
Reward/Risk
Sharpe (RFR=1%)
0.16
Skewness
0.11
Kurtosis
0.07
Reward
Arcadia Fund Global Managed Futures
Compound RoR
7.49%
Average RoR
8.21%
Max Gain
24.66%
Gain Frequency
75.54%
Average Gain
14.26%
Gain Deviation
8.37%
Risk
Standard Deviation
12.60%
Worst Loss
-16.09%
Loss Frequency
24.46%
Average Loss
-10.47%
Loss Deviation
6.93%
Reward/Risk
Sharpe (RFR=1%)
0.56
Skewness
-0.75
Kurtosis
-0.20
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 (Months)
Recovery (Months)
Peak
Valley
-31.10
10
—
6/2009
4/2010
-13.86
8
4
6/2005
2/2006
-8.87
3
4
12/2001
3/2002
-7.86
2
2
1/2001
3/2001
-6.65
4
2
11/2007
3/2008
-6.51
3
3
11/2008
2/2009
-5.95
6
1
4/2004
10/2004
-5.87
2
3
11/2003
1/2004
-5.85
2
2
12/2004
2/2005
-5.46
6
1
2/2003
8/2003
-5.30
2
1
11/2006
1/2007
-4.13
1
1
5/2008
6/2008
-4.10
1
4
2/2007
3/2007
-3.84
4
3
5/2001
9/2001
-2.90
5
4
4/1999
9/1999
-2.20
1
1
4/2005
5/2005
-1.99
2
1
6/2006
8/2006
-1.77
1
1
2/2000
3/2000
-1.69
2
1
8/2008
10/2008
-1.12
2
1
9/2000
11/2000
-0.91
1
2
6/2000
7/2000
-0.36
1
2
9/2002
10/2002
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
20.71
4
6/2002
9/2002
19.15
4
3/2006
6/2006
18.07
5
7/2007
11/2007
16.00
4
3/2009
6/2009
14.61
3
9/2003
11/2003
12.49
2
7/2008
8/2008
11.98
3
9/2006
11/2006
11.91
2
4/2001
5/2001
10.39
2
11/2004
12/2004
10.35
1
12/2001
12/2001
9.79
3
4/2000
6/2000
9.41
4
11/2002
2/2003
9.03
2
4/2008
5/2008
8.32
3
2/2004
4/2004
8.29
2
1/2000
2/2000
7.30
2
3/2005
4/2005
6.75
2
12/2000
1/2001
6.07
1
2/2007
2/2007
5.73
4
5/2010
8/2010
5.01
1
6/2005
6/2005
4.28
1
11/2008
11/2008
3.10
1
8/2009
8/2009
3.08
1
4/1999
4/1999
2.98
1
4/2002
4/2002
2.92
1
10/2001
10/2001
2.86
2
4/2007
5/2007
2.79
1
8/2005
8/2005
2.48
1
1/2006
1/2006
2.09
2
10/1999
11/1999
1.97
2
8/2000
9/2000
1.30
1
5/2003
5/2003
1.18
1
7/1999
7/1999
0.86
1
7/2001
7/2001
0.84
1
1/2009
1/2009
0.47
1
1/2008
1/2008
0.20
1
6/2004
6/2004
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-30.69
8
9/2009
4/2010
-11.25
4
9/2005
12/2005
-8.87
3
1/2002
3/2002
-7.86
2
2/2001
3/2001
-6.20
1
2/2009
2/2009
-5.87
2
12/2003
1/2004
-5.85
2
1/2005
2/2005
-5.72
4
7/2004
10/2004
-5.41
3
6/2003
8/2003
-5.30
2
12/2006
1/2007
-4.23
1
12/2007
12/2007
-4.19
1
2/2006
2/2006
-4.13
1
6/2008
6/2008
-4.10
1
3/2007
3/2007
-3.83
1
7/2005
7/2005
-3.57
1
7/2009
7/2009
-3.48
2
8/2001
9/2001
-2.98
2
2/2008
3/2008
-2.77
2
5/1999
6/1999
-2.67
1
11/2001
11/2001
-2.28
1
6/2007
6/2007
-2.20
1
5/2005
5/2005
-1.99
2
7/2006
8/2006
-1.77
1
3/2000
3/2000
-1.69
2
9/2008
10/2008
-1.63
1
5/2002
5/2002
-1.34
2
3/2003
4/2003
-1.30
2
8/1999
9/1999
-1.22
1
6/2001
6/2001
-1.16
1
12/2008
12/2008
-1.12
2
10/2000
11/2000
-0.91
1
7/2000
7/2000
-0.86
1
9/2010
9/2010
-0.44
1
5/2004
5/2004
-0.36
1
10/2002
10/2002
-0.22
1
12/1999
12/1999
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.