LJM Aggressive Strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
| Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Sep | Oct | Nov | Dic | Total | |
| 1998 | n/a | n/a | n/a | n/a | n/a | n/a | -1.77 | -36.99 | 41.73 | 3.64 | -0.96 | -0.22 | -10.16% |
| 1999 | 3.27 | 10.38 | 5.32 | 3.51 | 7.59 | 3.91 | 3.46 | 7.33 | 10.10 | -18.14 | 10.52 | 4.48 | 60.52% |
| 2000 | 4.83 | 6.45 | -34.72 | -9.38 | 8.45 | 6.77 | 5.59 | 7.15 | 2.76 | 1.50 | -4.64 | 12.70 | -3.07% |
| 2001 | 10.01 | -2.61 | -0.02 | 2.50 | 6.81 | 3.71 | 3.50 | 0.60 | -24.25 | 5.00 | 12.67 | 6.65 | 21.02% |
| 2002 | 6.40 | 4.49 | 3.34 | 2.08 | 7.90 | -0.68 | -46.17 | 4.42 | 6.16 | 3.59 | 5.65 | 16.68 | -4.24% |
| 2003 | 0.98 | 13.53 | 4.39 | 7.84 | 2.26 | 1.93 | 5.52 | 4.20 | 2.70 | 10.00 | 3.15 | -2.48 | 68.20% |
| 2004 | 4.11 | 8.27 | 3.63 | 4.22 | 4.85 | 4.40 | 4.66 | 3.63 | 4.77 | -1.74 | -0.16 | 3.51 | 53.83% |
| 2005 | 6.73 | 1.54 | 1.38 | 2.26 | 3.33 | 4.02 | 0.54 | 4.87 | 5.08 | 0.88 | -0.58 | 5.97 | 42.21% |
| 2006 | 3.08 | 4.00 | 4.00 | 3.34 | -1.86 | 4.55 | 0.92 | 5.27 | 1.34 | 1.81 | 2.81 | 3.38 | 37.72% |
| 2007 | 5.07 | -2.98 | 0.07 | -11.58 | -0.64 | 4.77 | -5.42 | 8.60 | 7.14 | 4.08 | 5.65 | 6.71 | 21.25% |
| 2008 | -12.39 | 14.99 | 7.13 | 4.54 | 5.77 | 4.94 | 4.62 | 4.39 | -15.58 | -57.15 | 0.56 | 3.58 | -48.47% |
| 2009 | 4.14 | 2.43 | -3.09 | 9.37 | 5.74 | 6.26 | -6.72 | 5.62 | 4.40 | -0.42 | 8.40 | 6.47 | 50.02% |
| 2010 | 3.57 | 5.95 | 0.56 | -1.06 | -6.32 | 6.61 | 4.79 | 7.43 | 22.75% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. August 2010 return is estimated.
EL DESEMPEÑO PASADO NO ES NECESARIAMENTE INDICATIVO DEL DESEMPEÑO FUTURO. Los rendimientos de Agosto 2010 son aproximados.
Performance of LJM Aggressive Strategy Vs. SP 500
$1000 investment made on July 1, 1998 is worth $9,418. (est.) on August 31, 2010
Una inversión de $1000 efectuada el 1 de julio de 1998 tiene un valor de $9,418. (est.) al 31 de Agosto del 2010.
LJM Moderately Aggressive Strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
| Ene | Feb | Mar | Abr | May | Jun | Jul | Ag | Sep | Oct | Nov | Dic | Año | |
| 2003 | n/a | n/a | n/a | 0.24 | 1.07 | 2.84 | 3.96 | 3.52 | 1.65 | 6.99 | 2.05 | -1.87 | 22.14% |
| 2004 | 2.21 | 5.42 | 2.31 | 3.04 | 3.32 | 3.45 | 2.75 | 2.43 | 3.89 | -1.54 | 0.05 | 2.51 | 34.03% |
| 2005 | 4.29 | 0.97 | 0.95 | 1.68 | 2.41 | 3.43 | 0.39 | 3.84 | 4.10 | 0.47 | -0.68 | 5.31 | 30.59% |
| 2006 | 2.45 | 3.14 | 2.98 | 2.49 | -1.98 | 4.20 | 0.94 | 4.80 | 1.25 | 1.48 | 2.39 | 2.96 | 30.50% |
| 2007 | 3.83 | -2.94 | 0.04 | -9.55 | 1.52 | 5.67 | -5.72 | 7.96 | 8.12 | 4.41 | 5.46 | 6.04 | 25.89% |
| 2008 | -12.34 | 14.59 | 6.82 | 4.03 | 5.09 | 4.65 | 4.58 | 4.17 | -12.82 | -33.70 | 0.88 | 5.86 | -17.45% |
| 2009 | 2.91 | 2.73 | -2.44 | 5.74 | 3.41 | 3.74 | -4.26 | 2.76 | 2.28 | -0.11 | 4.90 | 4.44 | 28.84% |
| 2010 | 1.97 | 3.73 | 0.60 | -1.35 | -5.45 | 7.03 | 2.66 | 4.35 | 13.80% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. August 2010 return is estimated.
EL DESEMPEÑO PASADO NO ES NECESARIAMENTE INDICATIVO DEL DESEMPEÑO FUTURO El rendimiento de Agosto del 2010 es estimado.
Performance of LJM Moderately Aggressive Strategy Vs. S&P 500
$1000 Invested on April 1, 2003 is worth $4,251. (est.) on August 31, 2010
Una inversión de $1000 efectuada el 1 de abril del 2003 tiene un valor de $4,251. (est.) al 31 de Agosto del 2010
LJM Preservation and Growth Strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
| Ene | Feb | Mar | Abr | May | Jun | Jul | Ag | Sep | Oct | Nov | Dic | Año | |
| 2006 | n/a | n/a | n/a | n/a | -0.06 | 1.10 | 0.72 | 1.03 | -0.81 | -1.60 | 3.20 | 1.32 | 4.93% |
| 2007 | 1.86 | 0.76 | 0.37 | -4.20 | -1.19 | 2.60 | -2.85 | 4.94 | 3.16 | 0.98 | 1.57 | 1.00 | 9.00% |
| 2008 | -0.73 | 3.28 | 1.03 | 0.63 | 1.54 | 1.72 | 0.73 | 0.79 | -0.55 | -6.52 | 3.20 | 3.83 | 8.87% |
| 2009 | 1.11 | 0.90 | -2.29 | 2.76 | 1.64 | 1.40 | -4.27 | 1.86 | 2.03 | 0.63 | 1.50 | 1.36 | 8.74% |
| 2010 | 0.87 | 0.73 | -0.41 | -0.71 | 1.53 | 3.21 | 0.52 | 1.86 | 7.80% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. August 2010 return is estimated.
EL DESEMPEÑO PASADO NO ES NECESARIAMENTE INDICATIVO DEL DESEMPEÑO FUTURO El rendimiento de Agosto del 2010 es estimado.
Peformance LJM Preservation and Growth Strategy Vs. S&P 500
$1000 investment made on May 1, 2006 is worth $1,460. (est.) on August 31, 2010
Una inversión de $1000 efectuada el 1 de mayo del 2006 tiene un valor de $1,460. (est.) al 31 de Agosto del 2010
LJM Implied Volatility Signal Strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
| Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Sep | Oct | Nov | Dic | Total | |
| 2010 | n/a | n/a | n/a | n/a | n/a | 0.34 | 1.04 | -0.72 | 0.65% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. August 2010 return is estimated.
EL DESEMPEÑO PASADO NO ES NECESARIAMENTE INDICATIVO DEL DESEMPEÑO FUTURO El rendimiento de Agosto del 2010 es estimado.
LJM Long Volatility Strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
| Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Sep | Oct | Nov | Dic | Total | |
| 2008 | n/a | n/a | n/a | n/a | -12.58 | 119.34 | -5.92 | -32.92 | 142.50 | 39.49 | 25.24 | -13.66 | 342.61% |
| 2009 | 9.06 | 4.55 | -25.93 | -21.35 | -12.10 | -3.80 | -8.62 | -11.50 | -2.56 | 0.65 | -4.30 | -0.56 | -57.60% |
| 2010 | 18.73 | -24.40 | -9.41 | -2.58 | 31.61 | -16.19 | -66.59 | -70.80% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE.
EL DESEMPEÑO PASADO NO ES NECESARIAMENTE INDICATIVO DEL DESEMPEÑO FUTURO.
Performance of LJM Products Against the S&P index
Desempeño de los productos de LJM comparados con el Índice S&P 500
| LJM Aggressive | LJM Moderately Aggressive | LJM P&G | S&P 500 | ||
| LJM Agresivo | LJM Moderadamente Agresivo | LJM P&G | S&P 500 | ||
| 1998 | -10.16% 1 | n/a | n/a | 9.23% 1 | |
| 1999 | 60.52% | n/a | n/a | 21.04% | |
| 2000 | -3.07% | n/a | n/a | -9.10% | |
| 2001 | 21.02% | n/a | n/a | -11.89% | |
| 2002 | -4.24% | n/a | n/a | -22.10% | |
| 2003 | 68.20% | 22.14% 2 | n/a | 28.68% | |
| 2004 | 53.83% | 34.03% | n/a | 10.88% | |
| 2005 | 42.21% | 30.59% | n/a | 4.91% | |
| 2006 | 37.72% | 30.50% | 4.33% 3 | 15.79% | |
| 2007 | 21.25% | 25.89% | 9.02% | 5.49% | |
| 2008 | -48.47% | -17.45% | 8.87% | -37.00% | |
| 2009 | 50.02% | 28.84% | 8.74% | 26.46% | |
| 2010 | 22.75% | 13.80% | 7.80% | -4.62% | |
| Total Return | Rendimiento Total | 841.80% 1 | 325.10% 2 | 46.00% 3 | 14.63%1 |
| Ave. Annual Return | Rendimiento promedio annual | 19.70% | 21.11% | 8.86% | 1.13% |
| Correlation | Correlación | 0.34285 | 0.36993 | 0.06845 | 1.00000 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. August 2010 returns are estimated.
Note 1: LJM Aggressive Strategy opened in July 1998, hence 6 months performance in 1998.
Note 2: LJM Moderately Aggressive Strategy opened in April 2003, hence 9 months performance in 2003.
Note 3: LJM P&G Strategy opened in May 2006, hence 8 months performance in 2006
EL RENDIMIENTO ANTERIOR NO NECESARIAMENTE PREDICE EL RENDIMIENTO FUTURO Los rendimientos de Agosto 2010 son aproximados.
Nota1: LJM Estrategia Agresiva comenzó en Julio de 1998.
Nota 2: LJM Estrategia Moderadamente Agresiva comenzó en abril del 2003.
Nota 3: LJM P&G Estrategia comenzó en Abril del 2006.
LJM Partner Statistics
- 41 Managed Futures Accounts (client)
- 10 Managed Futures Accounts (proprietary)
- $244,510,292. under management:
- Managed Client Accounts: $74,066,586.
- Proprietary Accounts: $46,523,000.
- Maximum Drawdown - Aggressive Strategy: (-63.83%) (Sept/Oct 2008)
- Sharpe Ratio (Aggressive Strategy – Inception through July 2010)
As reported by Michael J. Liccar and Company = 0.48 - Correlation with S&P 500 (Aggressive Strategy – Inception through July 2010)
As reported by Michael J. Liccar and Company = 0.34285
Estadísticas de los socios de LJM
- 41 Cuentas de futuros adminstrados (clientes)
- 10 Cuentas de futuros administrados (propias de LJM Partners)
- $244,510,292. en fondos administrados:
- Cuentas administradas de clientes: $74,066,586.
- Cuentas propias: $46,523,000.
- Reducción máxima de fondos – Estrategia agresiva: (-63.83%) (Sept/Oct 2008)
- Cociente de Sharpe (Estrategia agresiva – Comienzo hasta Julio 2010)
Reportado por Michael J. Liccar y Cía= 0.48 - Correlación con el índice S&P 500 (Estrategia agresiva – Comienzo hasta Julio 2010)
Reportado por Michael J. Liccar y Cía= 0.34285
Notes :
- Performance of Managed Futures Accounts is reported net of all CTA fees, broker commissions, and expenses.
- National Futures Association requires for client accounts and proprietary accounts (personal accounts of Mr. Caine, Mr. Sykora, Mr. Bublik and their families and corporate accounts in which Mr. Caine maintains a 50% or greater equity interest) maintain segregated performance measurements. Please read the LJM Disclosure Document for full reporting of proprietary accounts.
- Performance numbers are computed and reported by Michael J. Liccar & Co.