Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Pacific Capital Advisors' Terra program is an Ags-only program. It is systematic.
Investment Strategy
Breakout / momentum and pattern recognition trading methods are used. The trades are short term in nature with average holding period of less than 7 days, while winning trades that continue to trend may be held for a month or longer.
Using decades of of market data, recurring patterns have been identified in these markets that can be systematically captured. The nimble shorter time-frame trading combined with diversification across a few ag related sectors is at the heart of this program.
This program has been designed for investors that see the value of trading these non-financial markets as a bastion of non-correlation relative to other asset classes and other CTA programs. This program seeks to capitalize on the uniqueness of the trading opportunities in each of these markets.
Risk Management
Protective stops are used for every trade. Diversification of trading models, markets and sectors tend to reduce overall risk for the portfolio.
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
Pacific Capital Advisors Terra
Average RoR
0.87%
Max Gain
18.56%
Gain Frequency
53.85%
Average Gain
4.99%
Gain Deviation
4.79%
Risk
Standard Deviation
6.06%
Worst Loss
-9.51%
Loss Frequency
46.15%
Average Loss
-3.94%
Loss Deviation
3.08%
Reward/Risk
Sharpe (RFR=1%)
0.13
Skewness
0.79
Kurtosis
1.79
Reward
Pacific Capital Advisors Terra
Compound RoR
8.71%
Average RoR
13.39%
Max Gain
43.15%
Gain Frequency
53.85%
Average Gain
44.85%
Gain Deviation
16.59%
Risk
Standard Deviation
21.00%
Worst Loss
-23.32%
Loss Frequency
46.15%
Average Loss
-23.32%
Loss Deviation
10.68%
Reward/Risk
Sharpe (RFR=1%)
0.45
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
0.87
1.71
1.54
-5.23
10.71
Min
-9.51
-16.76
-19.25
-23.32
6.56
Max
18.56
20.44
41.54
44.41
18.51
% Positive
53.85
58.33
47.62
40.00
100.00
Avg. Pos. Period
4.99
8.32
15.83
12.11
10.71
Avg. Neg. Period
-3.94
-7.53
-11.44
-16.78
0.00
# of Periods
26.00
24.00
21.00
15.00
3.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-26.27
8
—
3/2015
11/2015
-7.48
2
1
12/2014
2/2015
-4.28
1
2
9/2014
10/2014
-3.34
1
1
7/2014
8/2014
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
23.51
4
4/2014
7/2014
18.56
1
9/2014
9/2014
9.03
1
3/2015
3/2015
8.66
2
2/2016
3/2016
5.67
2
11/2014
12/2014
3.10
1
12/2015
12/2015
1.61
1
5/2016
5/2016
1.12
1
6/2015
6/2015
0.57
1
8/2015
8/2015
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-17.68
2
4/2015
5/2015
-10.96
3
9/2015
11/2015
-7.48
2
1/2015
2/2015
-4.28
1
10/2014
10/2014
-3.34
1
8/2014
8/2014
-1.09
1
7/2015
7/2015
-0.65
1
1/2016
1/2016
-0.48
1
4/2016
4/2016
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.
