Evolution Strategy
Multi-Systematic Trend Follower
The Advisor utilizes a multi-system algorithmic trend following approach to the markets. Occasionally, discretion and judgment may be used for risk management purposes or in connection with order entry timing. The systems used have undergone an evolutionary development, some for protracted periods. Many of the current systems bear little resemblance to their prototypes. The systems are subject to change if the methodical principles indicate that it is warranted. The markets traded have been chosen for historical performance, and for customary liquidity.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -27.11% |
| From Dec 1991 to May 1992 | |
| Worst Month (Jan 1994) | -18.30% |
| Current Losing Streak | -18.77% |
| Average Monthly Return | 0.87% |
| Monthly Std. Deviation | 5.02% |
| Gain Deviation (224 months) | 4.35% |
| Loss Deviation (186 months) | 2.7% |
| Gain to Loss Ratio | 1.39 |
| Omega Ratio (5% Threshold) | 1.3 |
| Annualized Performance |
|
| Compound ROR (1) | 9.35% |
| Standard Deviation | 17.39% |
| Downside Deviation | 9.17% |
| Sharpe Ratio (3) 2% RF ROR | 0.58 |
| Sortino Ratio (4) 5% MAR | 0.97 |
| Calmar Ratio (5) | -0.33 |
| Sterling Ratio (6) | -0.32 |
| Gain Deviation | 15.08% |
| Loss Deviation | 9.36% |
| Profit Loss Ratio | 1.67 |
| Investment Information |
|
| Program Start Date | Jan-1987 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $20,000,000 |
| Minimum Fund Investment | $100,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 10% |
| Round Turns per Million | 1,500 |
| NFA No: | #0237054 |
| Performance Since August 1991 | Track Record Compiled By: NAV Consulting, Inc. |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.37% | -3.09% | -3.06% | -5.73% | -1.84% | 1.33% | -1.26% | -2.86% | 2.24% | – | – | – | -12.43% | -15.50% |
| 2024 | -1.31% | 0.19% | 0.96% | 5.30% | -1.46% | -3.24% | -0.20% | 0.19% | 2.01% | -3.64% | 1.70% | 0.98% | 1.18% | -6.28% |
| 2023 | 1.36% | -1.35% | -0.70% | -0.45% | -2.64% | -0.16% | -0.77% | -4.23% | 0.84% | -1.53% | -1.66% | 4.64% | -6.69% | -12.03% |
| 2022 | 0.61% | 3.56% | 6.01% | 1.23% | -0.89% | 0.94% | 1.99% | -1.46% | 1.89% | -1.07% | -0.37% | -0.31% | 12.53% | -1.75% |
| 2021 | -4.00% | 5.79% | -2.09% | -1.03% | 0.17% | -0.69% | 0.51% | -2.94% | 0.06% | 6.88% | -1.35% | -4.93% | -4.22% | -6.21% |
| 2020 | 3.97% | 4.06% | 1.19% | 0.44% | -1.35% | 1.96% | 4.45% | -2.16% | -1.09% | -3.06% | 0.91% | -0.25% | 9.10% | -6.19% |
| 2019 | -1.23% | -1.17% | -0.41% | -0.05% | 0.15% | -0.46% | 1.96% | 6.35% | -6.05% | -2.01% | -3.61% | -0.94% | -7.67% | -12.10% |
| 2018 | 8.58% | -2.96% | -0.85% | -0.66% | -1.47% | 0.29% | 0.80% | 0.35% | 1.56% | -1.11% | -0.84% | 1.71% | 5.06% | -5.84% |
| 2017 | -3.45% | -1.17% | -1.93% | 1.87% | 0.21% | 2.34% | -0.54% | 0.97% | -0.18% | 3.48% | -2.04% | 3.40% | 2.72% | -6.42% |
| 2016 | 7.76% | 3.30% | -2.13% | 0.31% | -2.06% | 8.53% | -0.03% | -8.80% | -2.04% | -2.71% | 1.27% | 3.68% | 5.98% | -13.11% |
| 2015 | 4.72% | -0.46% | -0.66% | -1.66% | 2.13% | -4.82% | 0.22% | -4.69% | 3.06% | -0.68% | 1.62% | -7.41% | -8.95% | -13.05% |
| 2014 | -2.38% | 7.11% | -5.02% | 0.72% | 1.72% | 0.70% | -4.36% | 5.40% | 1.16% | 5.44% | 3.63% | 1.50% | 15.86% | -6.29% |
| 2013 | 3.26% | -1.27% | 0.85% | 0.45% | -5.03% | -4.53% | -0.73% | 0.57% | 1.47% | -0.10% | 3.89% | 2.34% | 0.76% | -9.99% |
| 2012 | 1.36% | 1.68% | -2.47% | 1.61% | 8.23% | -6.71% | 8.29% | 1.72% | -0.95% | -7.91% | 0.28% | 0.01% | 3.92% | -8.78% |
| 2011 | -3.24% | 3.07% | -1.48% | 9.04% | -4.26% | -5.00% | 0.85% | -0.32% | -8.07% | -3.92% | -2.53% | 0.03% | -15.64% | -21.28% |
| 2010 | -6.92% | -1.12% | 0.52% | 2.55% | 2.73% | 5.53% | -1.87% | 3.63% | 5.09% | 3.62% | -2.35% | 8.45% | 20.61% | -7.96% |
| 2009 | -1.38% | -0.23% | 0.86% | -1.79% | 3.41% | -5.06% | 1.26% | 0.48% | 2.35% | -4.85% | 6.74% | -5.64% | -4.49% | -5.92% |
| 2008 | 1.85% | 10.01% | 0.21% | 0.14% | 1.70% | 3.10% | -5.47% | -2.71% | 2.69% | 0.17% | 1.20% | 0.25% | 13.15% | -8.03% |
| 2007 | 0.37% | 0.67% | -4.07% | 3.19% | 1.70% | 5.21% | 1.23% | -1.76% | 11.81% | 5.39% | 3.06% | 3.76% | 34.12% | -4.07% |
| 2006 | 0.67% | -2.13% | -4.36% | 4.92% | 1.34% | 1.83% | -3.54% | 1.86% | -1.79% | 0.67% | 5.95% | -2.33% | 2.54% | -6.40% |
| 2005 | -3.38% | 0.23% | 1.33% | -1.79% | 6.16% | 3.25% | -0.20% | 3.72% | -1.86% | 0.31% | 0.64% | 0.34% | 8.69% | -3.63% |
| 2004 | -2.22% | 4.29% | -0.76% | -4.36% | 0.05% | -3.64% | -2.69% | 4.40% | 0.85% | 5.96% | 4.38% | -1.13% | 4.55% | -10.96% |
| 2003 | 1.56% | 7.26% | -0.58% | 0.31% | 4.78% | -0.80% | -1.55% | 0.44% | 0.15% | -0.70% | 0.86% | 2.70% | 15.02% | -2.45% |
| 2002 | 2.69% | -4.55% | -0.99% | 3.92% | -0.68% | 2.59% | 2.24% | -0.34% | -1.01% | -1.90% | -1.40% | 10.79% | 11.07% | -5.49% |
| 2001 | 1.63% | -1.07% | 0.40% | -0.48% | 3.40% | -3.28% | -1.42% | 5.87% | -3.28% | 5.58% | -2.36% | 0.76% | 5.34% | -4.65% |
| 2000 | -2.14% | -0.61% | -1.94% | -0.29% | 1.88% | -1.45% | -2.71% | 0.43% | 1.48% | 0.83% | 12.30% | 10.02% | 17.94% | -7.11% |
| 1999 | 1.49% | 5.12% | -6.18% | -2.59% | -2.43% | 1.43% | 5.18% | -5.62% | 3.31% | -2.86% | 0.04% | -0.73% | -4.54% | -10.83% |
| 1998 | 4.77% | 2.48% | -3.20% | -5.17% | 1.89% | 1.57% | -1.59% | 25.28% | 0.18% | 0.39% | -0.15% | 0.65% | 27.10% | -8.20% |
| 1997 | 12.66% | 6.91% | 6.00% | 1.24% | 1.89% | 5.39% | 9.18% | -4.11% | 6.51% | -0.41% | -3.54% | -2.35% | 45.18% | -6.19% |
| 1996 | 8.72% | -5.40% | 2.60% | 17.48% | -9.28% | -3.32% | -4.28% | -1.20% | 17.55% | 16.24% | 11.43% | -5.51% | 47.94% | -17.05% |
| 1995 | -1.39% | 8.85% | 14.13% | 3.21% | 20.13% | -1.32% | -10.31% | -3.27% | -2.80% | -5.58% | 9.24% | 13.01% | 47.33% | -21.43% |
| 1994 | -18.30% | -0.70% | 10.58% | 2.17% | 5.05% | 1.66% | -0.10% | -8.59% | 13.36% | -10.50% | 8.74% | -10.45% | -11.69% | -18.87% |
| 1993 | -1.38% | 9.63% | -8.28% | 9.41% | 3.81% | 12.13% | 9.41% | 4.85% | -6.67% | 1.74% | 4.90% | 9.45% | 57.95% | -8.28% |
| 1992 | -15.27% | -7.56% | -5.70% | 2.22% | -3.45% | 9.35% | 11.43% | 7.51% | -1.18% | -4.35% | 7.70% | -4.60% | -7.26% | -27.11% |
| 1991 | – | – | – | – | – | – | – | -1.00% | 6.64% | 0.25% | 2.09% | 27.92% | 38.22% | -1.00% |
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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