Custom Portfolio Study
$25 Million Hypothetical Portfolio
April 2005 - March 2008
Performance numbers were calculated by back testing "net return data" provided by the managers. The data does not include or reflect a provision for "slippage" and the returns may be unaudited. The construction of each of these portfolios was accomplished without "notional" funding. An investor, fully funding the account minimums, would be able to duplicate any of the hypothetical portfolio's illustrated on this site. It should also be added that none of the portfolio studies provided for "rebalancing".
Annual Returns 2005 2006 2007 2008 Inception % Profitable $25MM Model Portfolio 25.29% 26.71% 27.05% 6.09% 28.86% 72.22% S&P 500 TR 7.22% 15.79% 5.49% (9.44)% 5.85% 66.67% Barclay CTA Index 4.95% 3.54% 7.64% 7.35% 7.88% 61.11% Benchmark Analysis Alpha Beta R R-square Tracking Info. Ratio S&P 500 TR 26.88% 0.41 0.26 0.07 15.61% 1.47 Barclay CTA Index 1.00% 1.87 0.83 0.68 10.98% 1.91 Description Return Std. Dev Sharpe Down Dev. Sortino RF Drawdown $25MM Model Portfolio 28.86% 13.95% 1.57 5.69% 3.69 -6.07% S&P 500 TR 5.85% 8.68% 0.17 6.33% 0.17 -13.83% Barclay CTA Index 7.88% 6.17% 0.52 3.50% 0.86 -4.14% Cumulative Returns
Statistical Analysis
The asset allocation is comprised of managers whose minimum account size would enable investors to meet the minimum investment requirements without utilizing notional funds. The data for the asset allocation encompasses the last 36 months of returns.
$25 Million Manager
Allocation
The chart below measures the performance of the hypothetical portfolio versus "Indices" representing various asset classes for the most recent 36 months of performance data.
Annualized Returns -
Portfolio vs Benchmarks
The chart below compares the risk and return of the sample portfolio against selected benchmarks representing traditional and non-traditional asset classes.
Risk / Return
Analysis
The chart below illustrates the distributions of monthly returns of the Sample Portfolio for the most recent 36 months of performance data.
Distribution of Monthly
Returns
The drawdown analysis chart measures the maximum drawdown experienced by the fund for the past 36 months of performance history. Generally speaking "Drawdown Analysis" is used as a guide to determine the amount of risk or volatility the fund has experienced.
Drawdown
Analysis: April 2005 - March 2008
Standard deviation measures the variation of returns around the mean of investment returns. The higher the volatility of returns, the higher standard deviation will be. Generally speaking standard deviation is used as a "risk" or "volatility" measurement.
Risk (Volatility)
Analysis
Proposed Custom Hypothetical Portfolio
$25 Million Hypothetical Portfolio Proforma
April 2005
- March 2008
| Beginning | Additions | Profit | Ending | Period | Cumulative | ||
| Date | Equity | Withdrawals | Loss | Equity | Return | Return | Vami |
| Apr-2005 | $25,000,000.00 | 0.00 | -$865,125 | $24,134,875 | -3.46% | -3.46% | 965.40 |
| May-2005 | $24,134,875.00 | 0.00 | $939,508 | $25,074,383 | 3.89% | 0.30% | 1,002.98 |
| Jun-2005 | $25,074,383.00 | 0.00 | $295,138 | $25,369,521 | 1.18% | 1.48% | 1,014.78 |
| Jul-2005 | $25,369,521.00 | 0.00 | $676,153 | $26,045,673 | 2.67% | 4.18% | 1,041.83 |
| Aug-2005 | $26,045,673.00 | 0.00 | $590,414 | $26,636,087 | 2.27% | 6.54% | 1,065.44 |
| Sep-2005 | $26,636,087.00 | 0.00 | $1,888,119 | $28,524,206 | 7.09% | 14.10% | 1,140.97 |
| Oct-2005 | $28,524,206.00 | 0.00 | -$346,614 | $28,177,592 | -1.22% | 12.71% | 1,127.10 |
| Nov-2005 | $28,177,592.00 | 0.00 | $2,272,191 | $30,449,783 | 8.06% | 21.80% | 1,217.99 |
| Dec-2005 | $30,449,783.00 | 0.00 | $871,752 | $31,321,535 | 2.86% | 25.29% | 1,252.86 |
| Jan-2006 | $31,321,535.00 | 0.00 | $2,224,986 | $33,546,521 | 7.10% | 34.19% | 1,341.86 |
| Feb-2006 | $33,546,521.00 | 0.00 | -$1,177,734 | $32,368,788 | -3.51% | 29.48% | 1,294.75 |
| Mar-2006 | $32,368,788.00 | 0.00 | $2,000,365 | $34,369,152 | 6.18% | 37.48% | 1,374.77 |
| Apr-2006 | $34,369,152.00 | 0.00 | $3,753,777 | $38,122,929 | 10.92% | 52.49% | 1,524.92 |
| May-2006 | $38,122,929.00 | 0.00 | $568,025 | $38,690,954 | 1.49% | 54.76% | 1,547.64 |
| Jun-2006 | $38,690,954.00 | 0.00 | -$933,721 | $37,757,234 | -2.41% | 51.03% | 1,510.29 |
| Jul-2006 | $37,757,234.00 | 0.00 | -$701,198 | $37,056,036 | -1.86% | 48.22% | 1,482.24 |
| Aug-2006 | $37,056,036.00 | 0.00 | $421,257 | $37,477,293 | 1.14% | 49.91% | 1,499.09 |
| Sep-2006 | $37,477,293.00 | 0.00 | $53,673 | $37,530,966 | 0.14% | 50.12% | 1,501.24 |
| Oct-2006 | $37,530,966.00 | 0.00 | $923,643 | $38,454,609 | 2.46% | 53.82% | 1,538.18 |
| Nov-2006 | $38,454,609.00 | 0.00 | $1,064,330 | $39,518,939 | 2.77% | 58.08% | 1,580.76 |
| Dec-2006 | $39,518,939.00 | 0.00 | $169,991 | $39,688,930 | 0.43% | 58.76% | 1,587.56 |
| Jan-2007 | $39,688,930.00 | 0.00 | $790,370 | $40,479,300 | 1.99% | 61.92% | 1,619.17 |
| Feb-2007 | $40,479,300.00 | 0.00 | -$306,519 | $40,172,782 | -0.76% | 60.69% | 1,606.91 |
| Mar-2007 | $40,172,782.00 | 0.00 | -$421,299 | $39,751,482 | -1.05% | 59.01% | 1,590.06 |
| Apr-2007 | $39,751,482.00 | 0.00 | $1,661,629 | $41,413,112 | 4.18% | 65.65% | 1,656.52 |
| May-2007 | $41,413,112.00 | 0.00 | $756,543 | $42,169,654 | 1.83% | 68.68% | 1,686.79 |
| Jun-2007 | $42,169,654.00 | 0.00 | $1,369,512 | $43,539,166 | 3.25% | 74.16% | 1,741.57 |
| Jul-2007 | $43,539,166.00 | 0.00 | -$274,917 | $43,264,249 | -0.63% | 73.06% | 1,730.57 |
| Aug-2007 | $43,264,249.00 | 0.00 | -$883,131 | $42,381,118 | -2.04% | 69.52% | 1,695.24 |
| Sep-2007 | $42,381,118.00 | 0.00 | $3,300,128 | $45,681,246 | 7.79% | 82.72% | 1,827.25 |
| Oct-2007 | $45,681,246.00 | 0.00 | $3,052,490 | $48,733,736 | 6.68% | 94.93% | 1,949.35 |
| Nov-2007 | $48,733,736.00 | 0.00 | $455,501 | $49,189,238 | 0.93% | 96.76% | 1,967.57 |
| Dec-2007 | $49,189,238.00 | 0.00 | $1,235,412 | $50,424,650 | 2.51% | 101.70% | 2,016.99 |
| Jan-2008 | $50,424,650.00 | 0.00 | $510,959 | $50,935,609 | 1.01% | 103.74% | 2,037.42 |
| Feb-2008 | $50,935,609.00 | 0.00 | $6,012,538 | $56,948,147 | 11.80% | 127.79% | 2,277.93 |
| Mar-2008 | $56,948,147.00 | 0.00 | -$3,454,024 | $53,494,122 | -6.07% | 113.98% | 2,139.76 |
Important Notes
Although the rates of return are based on the results of the individual manager's actual investments, the performance should be considered "model" performance because no client experienced returns described herein for the entire time period covered in the performance records. The results contained herein were accomplished with the benefit of back testing data. Model performance is generated with the benefit of hindsight. In addition, market and economic conditions, as well as individual client preferences and needs, may significantly impact Catranis's management of or advice to its individual advisory clients. Therefore, there may be sharp differences between the model performance shown and the actual performance results achieved by any particular client.
Performance numbers were calculated by back testing "net return data" provided by the managers. The data does not include or reflect a provision for "slippage" and the returns may be unaudited. The construction of each of these portfolios was accomplished without "notional" funding. An investor, fully funding the account minimums, would be able to duplicate any of the hypothetical portfolio's illustrated on this site. It should also be added that none of the portfolio studies provided for "rebalancing".
The foregoing may contain "forward-looking statements" which are based on management's beliefs as well as on a number of assumptions concerning future events made by and information currently available to management. Readers are cautioned not to put undue reliance on such forward-looking statements, which are not a guarantee of performance and are subject to a number of uncertainties and other factors, many of which are outside Catranis & Co's. control, that could cause actual results to differ materially from such statements.
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED.
ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
(THE MEMBER) HAS HAD LITTLE OR NO EXPERIENCE ALLOCATING ASSETS AMONG PARTICULAR TRADING ADVISORS. BECAUSE THERE ARE NO ACTUAL ALLOCATIONS TO COMPARE TO THE PERFORMANCE RESULTS FROM THE HYPOTHETICAL ALLOCATION, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE RESULTS.
The risk of loss in trading commodities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition.
The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains.
In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document of a commodity trading advisor ("CTA") contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.
The regulations of the Commodity Futures Trading Commission ("CFTC") require that prospective clients of a CTA receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client's commodity interest trading and that certain risk factors be highlighted. This document can be obtained directly from the CTA. This brief statement cannot disclose all of the risks and other significant aspects of the commodity markets. Therefore, you should proceed directly to the disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. The CFTC has not passed upon the merits of participating in the trading program of any CTA nor on the adequacy or accuracy of a CTA's disclosure document. Other disclosure statements are required to be provided to you before a commodity account may be opened for you.
All information contained in this report is based upon information obtained from specific CTA disclosure documents, fund prospectuses, or the CTAs themselves. While the information is believed to be reliable, because of the complexities involved with the data and the fact that it has not been verified, we cannot guarantee its completeness or accuracy.
Composite performance tables are used to illustrate the overall success or failure of a CTA in trading the futures markets. These composite results are not indicative of, and have no bearing on, any individual results that may be attained by a CTA in the future. It is important to understand that composite returns reflect aggregate performances from all accounts traded and do not reflect the different rates of returns achieved by individual accounts. When available, CTA analysis will always be compiled using performance tables that are inclusive of notional equity. Notional equity refers to the amount of funds that are pledged to a trading account by an investor but are not actually deposited. In addition, certain trading programs will have historical performances based upon extracted trades. Performance tables including notional equity or extracted trading are considered by the CFTC to be hypothetical. Although all trades used in the compilation of the performance tables have actually been executed, certain hypothetical assumptions need to be made in order to estimate interest earned, fees paid, or the amount of leverage used for these kinds of accounts.
The NFA requires the following disclosure statement in reference to hypothetical results:
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Estimations of CTA margins used, are provided by the respective trading advisors. Although these estimates are believed to be reliable, the CTA may at his or her sole discretion place trades requiring margin far in excess of the estimates listed in this report. It is the customer's responsibility to maintain sufficient capital in his/her trading account(s) to meet initial margin requirements.
These reports do not constitute a solicitation to invest in any program included herein. Prior to making an investment in a trading program, one should carefully study the appropriate disclosure document required by the CFTC. These reports are designed to provide readers with accurate and objective information in regard to managed futures investments. They are offered with the understanding that the publisher is not engaged in rendering legal, financial, brokerage, or other professional advice. If legal or other expert assistance is required, the services of a competent professional should be sought.
You should carefully consider whether your financial condition permits you to participate in futures trading. In so doing, you should be aware that futures and options trading can quickly lead to large losses as well as gains. Such trading losses can sharply reduce the value of your investment.
All information provided on these pages is for fair use. Normal copyright protections apply to all commercial use of any documents or information. Catranis & Company are not responsible for any loss due to inaccuracies in the information provided. Nothing presented here should be construed as investment advice or recommendations. Although adding Managed Futures investments to a portfolio may provide diversification, Managed Futures investments are not a hedging mechanism; there is no guarantee that Managed Futures investments will appreciate during periods of inflation or stock and bond market declines.
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