Galleon Managed Futures

Galleon Accounts: Special Purpose

Summary

Galleon Managed Futures Accounts are operated on your behalf by professional Commodity Trading Advisers (CTA). The fund may take both long and short positions in futures contracts and options on futures contracts in the global commodity, interest rate, equity, and currency markets.

Benchmark: S&P Real Assets Total Return Index

Core Facts

Asset Class Managed Futures
Category Diversification
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.40%
Minimum investment [4] $1000 US
Account number G077
Account manager Galleon Wealth Management
Region Global
Market Developed

Capitalization

Value

Blend

Growth
LG
MD


SM

Style

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
VelocityShares Short LIBOR ETN0.00%
iM DBi Managed Futures Strategy ETF-
JPMorgan Managed Futures Strategy ETF4.59%
VelocityShares Long LIBOR ETN0.00%
ProShares Managed Futures Strategy ETF1.34%
WisdomTree Managed Futures Strategy Fund1.63%
First Trust Managed Futures Strategy Fund1.05%

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date6/1/19
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkGuggenheim Managed Futures Strategy A
Portfolio Performance
MetricGalleon Managed FuturesGuggenheim Managed Futures Strategy A
Start Balance$10,000 $10,000
End Balance$10,080 $10,288
End Balance (inflation adjusted)$10,046 $10,252
Return0.80%2.88%
Return (inflation adjusted)0.46%2.52%
Stdev3.59%9.91%
Best Year0.80%2.88%
Worst Year0.80%2.88%
Max. Drawdown-2.10%-5.91%
Sharpe Ratio-0.130.34
Sortino Ratio-0.220.61
US Stock Market Correlation-0.45-0.33
Risk and Return Metrics
MetricGalleon Managed FuturesGuggenheim Managed Futures Strategy A
Arithmetic Mean (monthly)0.12%0.44%
Arithmetic Mean (annualized)1.43%5.42%
Geometric Mean (monthly)0.11%0.41%
Geometric Mean (annualized)1.38%4.98%
Volatility (monthly)1.04%2.86%
Volatility (annualized)3.59%9.91%
Downside Deviation (monthly)0.53%1.50%
Max. Drawdown-2.10%-5.91%
US Market Correlation-0.45-0.33
Beta (*)0.331
Alpha (annualized)-0.30%0.00%
R Squared81.05%100.00%
Sharpe Ratio-0.130.34
Sortino Ratio-0.220.61
Treynor Ratio (%)-1.473.39
Active Return-3.60%N/A
Tracking Error6.86%N/A
Information Ratio-0.53N/A
Skewness0.550.45
Excess Kurtosis-0.9-1.03
Historical Value-at-Risk (5%)-1.22%-2.53%
Analytical Value-at-Risk (5%)-1.47%-4.27%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)28.38100
Downside Capture Ratio (%)32.2100
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods3 out of 7 (42.86%)4 out of 7 (57.14%)
Gain/Loss Ratio1.831.09
(*) Guggenheim Managed Futures Strategy A is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks4.18%
Intl Stocks3.59%
US Bonds25.57%
Intl Bonds-0.09%
Other41.07%
Cash25.67%
Equity Market Capitalization
CategoryWeight
Large Cap86.95%
Mid Cap11.22%
Small Cap1.83%
Stock Sectors
CategoryWeight
Basic Materials4.22%
Consumer Cyclical10.93%
Financial Services16.18%
Real Estate2.77%
Consumer Defensive8.81%
Healthcare12.29%
Utilities4.29%
Communication Services8.30%
Energy4.59%
Industrials11.03%
Technology16.58%
Fixed Income Maturity
CategoryWeight
Under 1 Year85.33%
1 - 3 Years14.67%
3 - 5 Years0.00%
5 - 7 Years0.00%
7 - 10 Years0.00%
10 - 15 Years0.00%
15 - 20 Years0.00%
20 - 30 Years0.00%
Over 30 Years0.00%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep-19Dec-194 months-2.10%
2Jun-19Jun-191 monthJul-191 month2 months-0.09%