Managed Futures Database, Resource & Tools

Program Details

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Portfolio Concept Vermoegensmanagement GmbH 

PC Global Systematic

Manager: Titus Schloesser

Address: Max-Pechstein-Str. 23, Cologne, 50858, Germany

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Jan 1, 2007
AUM:$20
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$1,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:211.53%66.59%
Annual ROR:14.45%6.25%
YTD:0.00%5.53%
1 Year:0.00%14.71%
Alpha:1.28
Beta:-0.14
Statistics Program S&P 500
Average Monthly Gain:3.22%3.29%
Average Monthly Loss:-2.14%-3.94%
Winning Months:6362
Losing Months:3839
Current DD:1.840.00
Max DD:15.0552.56
Sharpe Ratio (RF 1%):0.99
Annualized Std Dev:13.54

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Counter Trend:35%
Mean Reversion:20%
Option Writing:5%
Pattern Recognition:20%
Trend Following:20%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2015-0.721.230.06-0.82-0.18-0.44
2014-1.520.451.601.54-0.560.111.39-1.52-1.940.490.121.481.56
2013-0.480.810.073.68-2.590.77-4.213.06-2.171.960.630.341.59
2012-0.702.051.790.94-2.776.710.53-0.560.713.082.622.1817.55
20110.621.66-2.73-4.35-1.869.00-1.9311.045.710.512.905.6528.06
20103.820.49-11.26-1.008.16-0.162.92-3.621.05-5.021.07-0.36-5.11
20093.37-1.5210.554.00-0.76-0.56-1.881.173.034.750.75-0.8923.56
2008-1.71-6.00-5.41-1.208.423.3713.844.7914.89-2.596.234.6343.60
20071.632.09-1.172.41-0.17-1.682.322.611.70-2.584.456.8519.66

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Portfolio Concept Global Systematic strategy is a purely systematic diversified managed futures program. The quantitative approach seeks to capitalize from price changes of various equity markets and selected bond and commodity markets in both bull and bear market scenarios. The portfolio compromises of various trading models which are rather short term oriented. The models include intra-day trading, intra-week trading, seasonal patterns and mid-term trend-following/ mean-reversion applied on multiple markets and different time frames. The trading models apply filters that reduce draw-downs and make the portfolio more stable in every market phase. The program's combination of models and markets make the strategy unique and are the key factor for the robustness of the portfolio. The portfolio management uses sophisticated and proven risk management control tools. In addition each market position has a corresponding stop-loss order. Since inception the strategy has proven successful and robust returns even in challenging market periods that offer a good diversification not only to traditional investments, but also to other CTA strategies and Alternative Investments.

Company Info

Portfolio Concept, established in 1984 by Gunter T. Schloesser in Cologne, is a German independent asset manager regulated by the German Authority BaFin (No. 109641). The company offers two services: traditional wealth management and Alternative Investments. Within Alternative Investments, the company has a strong focus on automated trading strategies. The company created a proprietary process to analyze and evaluate trading strategies. The strategies are implemented in various markets, including financial futures and commodities. Portfolio Concept believes that one of its major attributes is a rigorous risk management system. The company is a Member of the German Association of Independent Asset Managers (VuV), of which Gunter T. Schloesser has been chairman since 2008.

Manager Info

Titus C. Schloesser graduated from high school in New Jersey before studying economics and finance at Bentley University in Boston. Having graduated in 2003, he joined Portfolio Concept in October 2003 initially as a securities advisor, while completing an accelerated program on hedge funds at the European Business School (EBS). In 2006 he moved to Portfolio Concept's asset management division before embarking on an MBA program at the WHU Otto Beisheim School of Management in 2007. Since graduating in September 2008, he has worked in Alternative Investments, supporting institutional clients, and became head of the Alternative Investment division of the Advisor in January 2010. He became a principal of Portfolio Concept effective August 05, 2011.