Systematic / Trend / Momentum / Diversified
The Macro Equity Hedge strategy is a systematic program designed to produce stock market like returns over time with much lower volatility through a combination of protection and performance. The strategy is a made up of a long-only basket of Emini S&P futures, 10 year note futures, and gold futures. Additionally, a smaller portion of the strategy consists of a long/short currency breakout system. The strategy is governed by a proprietary systematic model that dynamically adjusts portfolio positions and weights.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -18.58% |
| From Jan 2020 to Mar 2020 | |
| Worst Month (Mar 2020) | -14.22% |
| Current Losing Streak | -7.45% |
| Average Monthly Return | 0.28% |
| Monthly Std. Deviation | 2.94% |
| Gain Deviation (65 months) | 1.82% |
| Loss Deviation (52 months) | 2.37% |
| Gain to Loss Ratio | 1.04 |
| Omega Ratio (5% Threshold) | 0.87 |
| Annualized Performance |
|
| Compound ROR (1) | 2.83% |
| Standard Deviation | 10.19% |
| Downside Deviation | 7.2% |
| Sharpe Ratio (3) 2% RF ROR | 0.29 |
| Sortino Ratio (4) 5% MAR | 0.38 |
| Calmar Ratio (5) | 0.53 |
| Sterling Ratio (6) | 0.28 |
| Gain Deviation | 6.31% |
| Loss Deviation | 8.22% |
| Profit Loss Ratio | 1.3 |
| Investment Information |
|
| Program Start Date | Feb-2016 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $1,000,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 4 -6% |
| Round Turns per Million | 200 |
| NFA No: | #0318270 |
| 4.7 Exempt - QEPs Only | |
| Performance Since February 2016 | Track Record Compiled By: Michael J. Liccar | Please See Accounting Notes | A Portion of this Performance is Based on Proprietary Trading |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.31% | -1.52% | 0.52% | 0.72% | -1.76% | 1.26% | -2.46% | -0.79% | 6.68% | – | – | – | 4.76% | -4.02% |
| 2024 | -0.60% | 0.77% | -0.24% | -3.49% | 1.72% | -0.23% | 1.41% | 0.95% | 1.94% | -0.35% | -1.75% | -4.48% | -4.48% | -6.48% |
| 2023 | 4.29% | -4.23% | 4.09% | 0.77% | -0.89% | 2.31% | 2.82% | -2.17% | -0.67% | -0.05% | 2.39% | 1.50% | 10.25% | -4.23% |
| 2022 | -3.45% | -0.95% | 0.76% | -5.07% | -0.10% | -3.48% | 3.19% | -4.58% | -6.19% | 0.34% | 4.38% | -1.68% | -16.10% | -18.53% |
| 2021 | -1.72% | 1.03% | 3.08% | 4.28% | 1.55% | 1.31% | 2.47% | 1.34% | -2.81% | 2.47% | -0.15% | 1.96% | 15.61% | -2.81% |
| 2020 | 0.03% | -5.08% | -14.22% | 3.58% | 1.63% | -2.55% | 6.96% | 6.12% | -4.39% | -2.63% | 9.08% | 4.31% | 0.46% | -18.58% |
| 2019 | 2.57% | -0.21% | 1.45% | 2.26% | -4.33% | 6.41% | 1.50% | -0.22% | 0.64% | 1.12% | 2.36% | 2.05% | 16.38% | -4.33% |
| 2018 | 1.40% | -2.82% | -0.09% | -1.70% | 0.74% | -0.84% | -0.07% | 1.37% | -0.87% | -1.25% | 1.09% | -0.06% | -3.15% | -5.52% |
| 2017 | 0.48% | 2.37% | -0.84% | 0.10% | 0.94% | -0.93% | 1.91% | 1.27% | -1.19% | -0.32% | 0.48% | 0.65% | 4.96% | -1.51% |
| 2016 | – | 1.14% | 1.36% | 0.39% | 0.57% | 2.00% | 3.24% | -0.96% | -0.17% | -1.78% | -2.79% | 0.39% | 3.29% | -5.60% |
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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC