Managed Futures
$150K - Professionally Managed Futures Portfolio - Statistics Report June 2021
FOOTNOTES:
1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Nov-2008 to Jun-2021
3. Sharpe Ratio uses a 0% Risk Free ROR (Rate of Return)
4. Sortino Ratio uses a 2% Minimum Acceptable ROR (Rate of Return)
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. Portfolio Monthly Rate of Return is net percentage change in month to month portfolio balances based on the cash invested.
9. 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.