Loading...


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF

Report Start Date Report End Date


Goldman Managment, Inc. / Stock Index Futures (P)
Accepting New Investors: Yes
Quantitative / Stock Indices
4.7 Exempt - QEPs Only



Performance Since January 2019 - Performance is Based on Proprietary Trading

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20197.33% 2.38% 1.34% 3.07% -4.65% 4.69% 0.98% -1.33% 1.24% 1.52% 2.66% 2.05%
2020 -0.14% -7.85% -10.67% 5.96% 2.54% 1.38% 4.28% 5.55% -2.75% -2.24% 8.86% 2.68%
2021 -1.20% 2.36% 3.40% 4.01% 0.46% 1.73% 1.75% 2.27% -3.68% 5.36% -0.59% 3.25%
2022 -5.58% -2.99% 3.45% -6.44% -0.12% -5.94% 6.01% -3.48% -5.80% 4.20% 3.55% -4.46%
2023 4.41% -2.29% 2.34% 0.90% 0.15% 4.49% 2.56% -1.73% -4.13% -1.73% 6.65% 3.55%
2024 0.98% 4.16% 2.56% -3.47% 4.29% 2.23% 0.57% 1.46% 1.28% -1.03%  

 201920202021202220232024 YTD
ROR22.92%5.88%20.55%-17.29%15.66%13.56%
Max DD-4.65%-17.81%-3.67%-19.75%-7.40%-3.47%

The Notes Below Are An Integral Part of this Report
| Track Record Compiled By: Futures Accounting Compliance

Program Description: Using quantitative analysis hundreds of indicators and several dozen models are employed. Many of these indicators have been tested though market cycles dating back to the early 1900's and include both technical and fundamental analysis. Alignments in the groups of indicators at inflection points determine the direction and the potential magnitude of the outcome to stock prices. Categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment and contrarian tools, valuations, monetary environment and macro factors. Each of these categories has different forecasting values and timeliness. Combining groups of indicators into an overlay can enhance the reliability of a signal. The models and indicators are also used to identify in advance the market climate likely to be encountered, whether trending or range bound, enabling the principle objective of GMI which is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research to improve systems and strategies is an ongoing process. There is also a veto power on the indicators and models, which may be implemented during unique circumstances to potentially reduce risk.


Investment Information
Program Start Date Feb-2002
Minimum Investment 350,000
Management Fee 1.00%
Incentive Fee 20.00%
Margin 4-7%
Round Turns per Million 250
Currency US Dollar
NFA No: #0183261
Trading Strategy       Market Segment      

Loading chart...

Program Statistics
Peak-to-Valley Drawdown (1) (Dec 2021 - Sep 2022) -19.75%
Worst Monthly Return (Mar 2020) -10.67%
Current Losing Streak -1.03%
Average Monthly Return 0.84%
Annualized Statistics
Annualized Compounded ROR (2) 9.57%
Standard Deviation 13.27%
Sharpe Ratio (4) 0.68
36 Month Calmar Ratio (3) 0.19

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF




Time Window Analysis
Length Best Average Worst
1 mo 8.9% 0.8% -10.7%
3 mo 11.6% 2.3% -17.8%
6 mo 21.6% 4.5% -16.7%
12 mo 34.7% 8.4% -17.2%
18 mo 43.5% 12.2% -12.1%
24 mo 47.1% 15.4% -11.1%
36 mo 56.8% 20% 5.6%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Jan-22 -19.72% 9 mo 17 mo Feb-24
Jan-20 -17.80% 3 mo 8 mo Nov-20
May-19 -4.65% 1 mo 2 mo Jul-19
Sep-21 -3.68% 1 mo 1 mo Oct-21
Apr-24 -3.47% 1 mo 1 mo May-24
Aug-19 -1.33% 1 mo 2 mo Oct-19


Comparisons                                        ProgramAG CTA Index SP 500 TR
Annualized Compound ROR 9.57%4.90%17.06%
Cumulative Return 70.44%32.16%150.68%
Cumulative VAMI (5) 170413222507
Largest Monthly Gain 8.86%2.99%12.82%
Largest Monthly Loss -10.67%-1.42%-12.35%
Correlation 0.1890.985
Last 12 Months 25.42%5.38%38.01%
Last 36 Months 11.52%11.46%29.81%

Loading chart...

Loading chart...
Loading chart...

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF




+ NOTES:

A Qualified Eligible Person ('QEP') must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

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.

** 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.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-10-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

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.


PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.


Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com