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 Portfolio Enhancement Program (PEP) uses historical databases for rule-based commodity futures trend-following systems with records of at least 20 consecutive years to derive optimized position allocation among the tracked contracts. By
statistically deriving historical probabilities of success and failure and correlating such probabilities with monetary exposure, PEP maximizes potential returns while minimizing loss exposure relative to risk; i.e. the probability of loss versus profit. PEP extrapolates diversified portfolios based upon capital constraints and optimum historical performances. This approach can be applied to any rule-based trading program, and is currently being used in conjunction with the publicly available COMMODEX® trading system which has been independently published daily since June, 1959.
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
Equidex Incorporated Portfolio Enhancement Program
Average RoR
2.24%
Max Gain
17.40%
Gain Frequency
63.89%
Average Gain
6.25%
Gain Deviation
4.92%
Risk
Standard Deviation
6.79%
Worst Loss
-7.98%
Loss Frequency
36.11%
Average Loss
-4.86%
Loss Deviation
2.11%
Reward/Risk
Sharpe (RFR=1%)
0.32
Skewness
0.43
Kurtosis
-0.38
Reward
Equidex Incorporated Portfolio Enhancement Program
Compound RoR
27.15%
Average RoR
27.80%
Max Gain
48.87%
Gain Frequency
100.00%
Average Gain
27.80%
Gain Deviation
17.06%
Risk
Standard Deviation
23.51%
Worst Loss
Loss Frequency
0.00%
Average Loss
Loss Deviation
Reward/Risk
Sharpe (RFR=1%)
1.10
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.
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Average
2.24
6.47
-5.71
3.80
15.94
70.31
Min
-7.98
2.32
-12.06
-5.16
-2.44
2.54
Max
17.40
9.89
0.20
9.19
29.16
110.52
% Positive
63.89
100.00
16.67
83.33
95.83
100.00
Avg. Pos. Period
6.25
6.47
0.20
5.25
16.74
70.31
Avg. Neg. Period
-4.86
0.00
-6.89
-3.41
-2.44
0.00
# of Periods
36.00
3.00
6.00
12.00
24.00
36.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-14.29
10
—
3/2020
1/2021
-12.21
2
3
8/2019
10/2019
-6.38
1
1
1/2020
2/2020
-5.82
1
2
12/2018
1/2019
-4.56
1
1
6/2019
7/2019
-2.46
1
1
3/2019
4/2019
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
48.87
7
6/2018
12/2018
20.59
2
5/2019
6/2019
17.40
1
3/2020
3/2020
16.53
1
1/2020
1/2020
13.95
4
2/2021
5/2021
9.71
2
2/2019
3/2019
9.19
2
6/2020
7/2020
7.63
1
11/2019
11/2019
4.89
1
8/2019
8/2019
3.43
1
11/2020
11/2020
0.68
1
9/2020
9/2020
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-12.21
2
9/2019
10/2019
-12.06
2
12/2020
1/2021
-9.64
2
4/2020
5/2020
-6.38
1
2/2020
2/2020
-5.82
1
1/2019
1/2019
-4.56
1
7/2019
7/2019
-3.96
1
12/2019
12/2019
-2.81
1
10/2020
10/2020
-2.46
1
4/2019
4/2019
-2.40
1
8/2020
8/2020
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.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.