Diversified Systematic Program
Systematic / LT Trend / Diversified
The Diversified Systematic Program seeks to capture trends in a variety of global commodity and futures markets using 31 broadly diversified markets covering seven major sectors: interest rate, currency, stock index, energy, grain, metals and softs. Average holding period is 100 trading days. The program has been refined over the past thirteen years from a multi-system / multi-time frame trend approach to a focus on long term trend following with the constant goal to provide consistent returns while reducing volatility. This transition to a focus on long term trend following began in 2008.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -38.33% |
| From Feb 2003 to Jul 2006 | |
| Worst Month (Oct 2011) | -17.17% |
| Current Losing Streak | -31.32% |
| Average Monthly Return | 0.65% |
| Monthly Std. Deviation | 5.65% |
| Gain Deviation (166 months) | 4.09% |
| Loss Deviation (149 months) | 3.21% |
| Gain to Loss Ratio | 1.22 |
| Omega Ratio (5% Threshold) | 1.12 |
| Annualized Performance |
|
| Compound ROR (1) | 6.1% |
| Standard Deviation | 19.58% |
| Downside Deviation | 11.95% |
| Sharpe Ratio (3) 2% RF ROR | 0.38 |
| Sortino Ratio (4) 5% MAR | 0.49 |
| Calmar Ratio (5) | -0.24 |
| Sterling Ratio (6) | -0.27 |
| Gain Deviation | 14.15% |
| Loss Deviation | 11.13% |
| Profit Loss Ratio | 1.36 |
| Investment Information |
|
| Program Start Date | Sep-1999 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $3,000,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 20% |
| Round Turns per Million | 975 |
| NFA No: | #0288216 |
| Accredited Investors Only | |
| Performance Since September 1999 | 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 | 5.18% | -0.98% | -3.23% | -9.59% | -6.50% | 0.40% | -1.15% | -6.12% | 2.93% | -0.07% | -2.09% | – | -20.06% | -24.53% |
| 2024 | 1.60% | 4.18% | 3.95% | 3.68% | -1.17% | -4.14% | -1.72% | 7.50% | 2.66% | -14.71% | 2.81% | -2.02% | 0.71% | -14.71% |
| 2023 | 4.07% | -2.77% | -8.28% | 6.62% | -1.67% | 1.87% | -1.36% | -2.59% | 3.48% | -0.86% | -8.67% | 9.50% | -2.29% | -14.25% |
| 2022 | 5.38% | 9.87% | 10.47% | 1.70% | -3.33% | -0.52% | -0.92% | -3.37% | 4.18% | -1.54% | -4.73% | 0.30% | 17.39% | -10.02% |
| 2021 | 2.54% | 7.55% | -1.02% | 1.20% | 0.48% | -0.94% | 4.07% | -1.68% | -0.59% | 0.26% | -8.87% | 3.20% | 5.46% | -10.70% |
| 2020 | -6.94% | -5.30% | 5.26% | 1.55% | -4.22% | -0.85% | 6.49% | 0.19% | -1.72% | 4.28% | -0.32% | 8.78% | 6.07% | -11.87% |
| 2019 | 0.66% | -0.22% | 0.71% | 0.99% | 2.92% | 8.55% | -2.22% | 8.54% | -3.61% | -0.41% | -2.10% | -0.57% | 13.18% | -6.56% |
| 2018 | 0.18% | -3.04% | -4.88% | 2.62% | 2.88% | -4.28% | -5.43% | 0.96% | 1.78% | -1.32% | -1.28% | -3.32% | -14.54% | -14.70% |
| 2017 | -1.12% | -0.19% | -3.91% | 4.59% | 0.87% | -3.18% | 0.85% | 4.42% | -7.31% | 7.75% | -2.55% | 3.19% | 2.45% | -7.31% |
| 2016 | 0.58% | 5.51% | -0.51% | 5.10% | -4.14% | 9.06% | 1.26% | -6.53% | 2.14% | -3.22% | 6.05% | 0.09% | 15.21% | -7.60% |
| 2015 | 10.51% | -2.54% | 1.34% | -1.36% | -3.49% | -2.07% | -6.46% | -4.12% | 7.17% | -3.59% | 2.16% | -1.27% | -4.90% | -17.42% |
| 2014 | -1.82% | 4.28% | 0.58% | 5.75% | 0.29% | -3.13% | 1.33% | 7.89% | 3.84% | -0.74% | 2.06% | 1.09% | 22.99% | -3.13% |
| 2013 | 1.22% | -4.18% | 2.80% | -0.53% | -6.09% | -5.18% | -1.16% | 1.17% | -0.61% | 4.75% | -0.23% | -0.85% | -9.05% | -13.76% |
| 2012 | -1.84% | 3.01% | -4.95% | -2.00% | 5.98% | -9.21% | 8.17% | -4.38% | 0.40% | -6.78% | 1.11% | 3.58% | -8.12% | -13.24% |
| 2011 | 4.11% | 4.90% | -4.73% | 9.20% | -1.58% | -2.32% | 1.54% | 8.60% | 14.38% | -17.17% | 6.18% | 2.38% | 24.05% | -17.17% |
| 2010 | -5.17% | 1.28% | 7.65% | -2.66% | -5.60% | 5.95% | -2.42% | 8.14% | 4.01% | 9.74% | -1.24% | 10.07% | 31.78% | -8.11% |
| 2009 | -0.36% | 0.28% | -2.40% | -1.49% | 8.52% | -2.14% | -1.25% | 4.11% | 2.70% | -4.16% | 12.34% | -8.69% | 5.90% | -8.69% |
| 2008 | 11.85% | 8.69% | -2.05% | 1.78% | 7.03% | 0.11% | -1.21% | 7.22% | 8.92% | 3.51% | 0.70% | 2.23% | 59.65% | -2.05% |
| 2007 | 5.59% | -2.70% | 3.95% | 7.69% | -0.69% | -2.95% | -1.38% | -8.69% | 1.67% | 0.65% | 5.17% | 0.18% | 7.63% | -13.21% |
| 2006 | 5.39% | -3.30% | 0.65% | 0.67% | 1.12% | -5.47% | -7.65% | 3.78% | 4.51% | -4.34% | -0.32% | 0.48% | -5.28% | -13.51% |
| 2005 | -8.62% | 0.92% | -4.57% | -3.01% | 2.39% | -3.49% | 0.66% | -3.40% | -0.44% | 2.20% | 3.72% | -3.28% | -16.29% | -18.34% |
| 2004 | 5.38% | 4.96% | 1.08% | -2.07% | -9.85% | -5.36% | -3.13% | -0.15% | 1.68% | 0.94% | -0.55% | 1.26% | -6.61% | -19.18% |
| 2003 | 6.83% | 8.58% | -12.99% | 4.32% | 6.41% | -4.63% | -2.83% | -0.51% | -7.72% | 2.81% | -2.36% | 4.90% | 0.38% | -17.82% |
| 2002 | -6.35% | -6.85% | 0.25% | -12.70% | 4.01% | 21.73% | 18.17% | 6.30% | 7.77% | -5.08% | -8.97% | 4.49% | 18.15% | -23.65% |
| 2001 | -7.05% | -3.46% | 17.96% | -7.55% | 12.21% | 2.32% | -6.50% | 1.10% | 20.14% | 11.71% | -7.05% | -9.11% | 20.42% | -15.52% |
| 2000 | -2.18% | -6.18% | -10.10% | 0.59% | 9.59% | 5.16% | -7.31% | 7.71% | -2.47% | 10.04% | 6.32% | 15.30% | 25.63% | -17.49% |
| 1999 | – | – | – | – | – | – | – | – | 1.97% | -12.25% | 5.12% | 10.58% | 4.01% | -12.25% |
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.
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