Spring Valley Asset Management

SVAM Tactical Trend Portfolio *QEP*


Monthly Performance (%)

Date Range: 04/14 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 1.18 -10.52 0.67 0.23 -3.52 0.05 -0.17 1.87 -1.07 -5.99 3.05   -14.05 
2017 -3.85 4.01 -0.37 -1.01 -0.53 -4.32 -0.07 0.45 -2.16 7.26 0.01 1.89  0.76 
2016 1.94 1.46 -3.18 -1.10 0.48 5.32 0.53 0.63 0.96 -4.69 0.52 2.77  5.40 
2015 1.18 0.71 0.44 -0.76 -0.38 0.45 0.56 -3.67 2.74 0.23 2.60 0.33  4.37 
2014 2.65 4.12 -2.32 0.72 0.09 -2.48 1.67 0.47  4.84 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The SVAM Tactical Trend Portfolio pursues a multi-strategy approach to trading across a diversified blend of futures markets. The portfolio dynamically allocates exposures based upon a proprietary assessment of the prevailing market environment (e.g., expanding vs. contracting volatility, increasing vs. decreasing correlation, etc.) and allocates across many models (over 100) and timeframes (short, intermediate and long) in order to obtain the best (absolute) risk-adjusted returns, regardless of market environment and conditions.

Performance Statistics

Date Range: 04/14 - 11/18
  Program S&P 500 Altegris 40 
Total Return -0.13% 62.41% 11.95% 
Annualized Return -0.03% 10.95% 2.45% 
Annualized Std. Deviation 9.74% 9.93% 8.80% 
Correlation 0.29 0.66 
Sharpe Ratio (rf=2.5%) -0.26 0.85 -0.01 
Worst Month -10.52% -6.84% -6.10% 
Date of Worst Month 02/2018 10/2018 02/2018 
Worst Drawdown -17.57% -8.35% -12.85% 
Date of Worst Drawdown 1/18 - 10/18 7/15 - 9/15 3/15 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/14 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 -14.05 5.11 -4.69 
2017 0.76 21.84 1.24 
2016 5.40 11.98 -3.13 
2015 4.37 1.41 0.09 
2014 4.84 10.86 18.75 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/14 - 11/18
Date: 11/30/2018
Perf: $1,111.01 Date: 10/31/2018
Perf: $1,124.51 Date: 9/30/2018
Perf: $1,152.98 Date: 8/31/2018
Perf: $1,158.20 Date: 7/31/2018
Perf: $1,129.40 Date: 6/30/2018
Perf: $1,137.93 Date: 5/31/2018
Perf: $1,128.45 Date: 4/30/2018
Perf: $1,143.20 Date: 3/31/2018
Perf: $1,130.98 Date: 2/28/2018
Perf: $1,132.00 Date: 1/31/2018
Perf: $1,205.54 Date: 12/31/2017
Perf: $1,165.68 Date: 11/30/2017
Perf: $1,153.11 Date: 10/31/2017
Perf: $1,151.61 Date: 9/30/2017
Perf: $1,105.30 Date: 8/31/2017
Perf: $1,129.12 Date: 7/31/2017
Perf: $1,110.68 Date: 6/30/2017
Perf: $1,106.37 Date: 5/31/2017
Perf: $1,139.65 Date: 4/30/2017
Perf: $1,137.49 Date: 3/31/2017
Perf: $1,144.35 Date: 2/28/2017
Perf: $1,161.31 Date: 1/31/2017
Perf: $1,136.53 Date: 12/31/2016
Perf: $1,151.38 Date: 11/30/2016
Perf: $1,142.70 Date: 10/31/2016
Perf: $1,155.41 Date: 9/30/2016
Perf: $1,186.01 Date: 8/31/2016
Perf: $1,201.51 Date: 7/31/2016
Perf: $1,234.72 Date: 6/30/2016
Perf: $1,222.25 Date: 5/31/2016
Perf: $1,172.43 Date: 4/30/2016
Perf: $1,193.31 Date: 3/31/2016
Perf: $1,224.03 Date: 2/29/2016
Perf: $1,260.20 Date: 1/31/2016
Perf: $1,229.94 Date: 12/31/2015
Perf: $1,188.58 Date: 11/30/2015
Perf: $1,216.56 Date: 10/31/2015
Perf: $1,176.45 Date: 9/30/2015
Perf: $1,197.28 Date: 8/31/2015
Perf: $1,171.85 Date: 7/31/2015
Perf: $1,192.48 Date: 6/30/2015
Perf: $1,147.61 Date: 5/31/2015
Perf: $1,210.56 Date: 4/30/2015
Perf: $1,219.34 Date: 3/31/2015
Perf: $1,268.29 Date: 2/28/2015
Perf: $1,240.87 Date: 1/31/2015
Perf: $1,242.86 Date: 12/31/2014
Perf: $1,187.52 Date: 11/30/2014
Perf: $1,166.98 Date: 10/31/2014
Perf: $1,101.44 Date: 9/30/2014
Perf: $1,085.49 Date: 8/31/2014
Perf: $1,069.55 Date: 7/31/2014
Perf: $1,026.14 Date: 6/30/2014
Perf: $1,034.42 Date: 5/31/2014
Perf: $1,025.60 Date: 4/30/2014
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,612.22 Date: 10/31/2018
Perf: $1,579.99 Date: 9/30/2018
Perf: $1,695.99 Date: 8/31/2018
Perf: $1,686.38 Date: 7/31/2018
Perf: $1,633.14 Date: 6/30/2018
Perf: $1,574.57 Date: 5/31/2018
Perf: $1,564.86 Date: 4/30/2018
Perf: $1,528.04 Date: 3/31/2018
Perf: $1,522.25 Date: 2/28/2018
Perf: $1,561.93 Date: 1/31/2018
Perf: $1,621.77 Date: 12/31/2017
Perf: $1,533.88 Date: 11/30/2017
Perf: $1,517.04 Date: 10/31/2017
Perf: $1,471.85 Date: 9/30/2017
Perf: $1,438.34 Date: 8/31/2017
Perf: $1,409.31 Date: 7/31/2017
Perf: $1,404.95 Date: 6/30/2017
Perf: $1,376.59 Date: 5/31/2017
Perf: $1,368.11 Date: 4/30/2017
Perf: $1,349.09 Date: 3/31/2017
Perf: $1,335.34 Date: 2/28/2017
Perf: $1,333.74 Date: 1/31/2017
Perf: $1,282.81 Date: 12/31/2016
Perf: $1,258.89 Date: 11/30/2016
Perf: $1,234.45 Date: 10/31/2016
Perf: $1,190.40 Date: 9/30/2016
Perf: $1,212.47 Date: 8/31/2016
Perf: $1,212.23 Date: 7/31/2016
Perf: $1,210.53 Date: 6/30/2016
Perf: $1,167.45 Date: 5/31/2016
Perf: $1,164.43 Date: 4/30/2016
Perf: $1,143.84 Date: 3/31/2016
Perf: $1,139.39 Date: 2/29/2016
Perf: $1,067.05 Date: 1/31/2016
Perf: $1,068.44 Date: 12/31/2015
Perf: $1,124.20 Date: 11/30/2015
Perf: $1,142.24 Date: 10/31/2015
Perf: $1,138.83 Date: 9/30/2015
Perf: $1,050.19 Date: 8/31/2015
Perf: $1,076.79 Date: 7/31/2015
Perf: $1,145.88 Date: 6/30/2015
Perf: $1,122.32 Date: 5/31/2015
Perf: $1,144.52 Date: 4/30/2015
Perf: $1,129.94 Date: 3/31/2015
Perf: $1,119.20 Date: 2/28/2015
Perf: $1,137.17 Date: 1/31/2015
Perf: $1,075.33 Date: 12/31/2014
Perf: $1,108.59 Date: 11/30/2014
Perf: $1,111.37 Date: 10/31/2014
Perf: $1,082.26 Date: 9/30/2014
Perf: $1,056.48 Date: 8/31/2014
Perf: $1,071.48 Date: 7/31/2014
Perf: $1,030.27 Date: 6/30/2014
Perf: $1,044.69 Date: 5/31/2014
Perf: $1,023.50 Date: 4/30/2014
Perf: $1,000.00 Date: 11/30/2018
Perf: $998.70 Date: 10/31/2018
Perf: $969.14 Date: 9/30/2018
Perf: $1,030.89 Date: 8/31/2018
Perf: $1,042.04 Date: 7/31/2018
Perf: $1,022.91 Date: 6/30/2018
Perf: $1,024.65 Date: 5/31/2018
Perf: $1,024.14 Date: 4/30/2018
Perf: $1,061.50 Date: 3/31/2018
Perf: $1,059.07 Date: 2/28/2018
Perf: $1,052.02 Date: 1/31/2018
Perf: $1,175.70 Date: 12/31/2017
Perf: $1,161.99 Date: 11/30/2017
Perf: $1,140.44 Date: 10/31/2017
Perf: $1,140.32 Date: 9/30/2017
Perf: $1,063.14 Date: 8/31/2017
Perf: $1,086.61 Date: 7/31/2017
Perf: $1,081.74 Date: 6/30/2017
Perf: $1,082.50 Date: 5/31/2017
Perf: $1,131.38 Date: 4/30/2017
Perf: $1,137.40 Date: 3/31/2017
Perf: $1,149.01 Date: 2/28/2017
Perf: $1,153.28 Date: 1/31/2017
Perf: $1,108.81 Date: 12/31/2016
Perf: $1,153.21 Date: 11/30/2016
Perf: $1,122.13 Date: 10/31/2016
Perf: $1,116.32 Date: 9/30/2016
Perf: $1,171.25 Date: 8/31/2016
Perf: $1,160.12 Date: 7/31/2016
Perf: $1,152.85 Date: 6/30/2016
Perf: $1,146.78 Date: 5/31/2016
Perf: $1,088.85 Date: 4/30/2016
Perf: $1,083.65 Date: 3/31/2016
Perf: $1,095.70 Date: 2/29/2016
Perf: $1,131.69 Date: 1/31/2016
Perf: $1,115.40 Date: 12/31/2015
Perf: $1,094.18 Date: 11/30/2015
Perf: $1,090.58 Date: 10/31/2015
Perf: $1,062.94 Date: 9/30/2015
Perf: $1,060.50 Date: 8/31/2015
Perf: $1,032.22 Date: 7/31/2015
Perf: $1,071.55 Date: 6/30/2015
Perf: $1,065.58 Date: 5/31/2015
Perf: $1,060.80 Date: 4/30/2015
Perf: $1,064.85 Date: 3/31/2015
Perf: $1,073.01 Date: 2/28/2015
Perf: $1,068.31 Date: 1/31/2015
Perf: $1,060.77 Date: 12/31/2014
Perf: $1,048.40 Date: 11/30/2014
Perf: $1,043.50 Date: 10/31/2014
Perf: $1,026.36 Date: 9/30/2014
Perf: $1,052.46 Date: 8/31/2014
Perf: $1,051.51 Date: 7/31/2014
Perf: $1,044.00 Date: 6/30/2014
Perf: $1,068.79 Date: 5/31/2014
Perf: $1,026.50 Date: 4/30/2014
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 04/14 - 11/18
Date: 11/30/2018
Return: 3.05 % Date: 10/31/2018
Return: -5.99 % Date: 9/30/2018
Return: -1.07 % Date: 8/31/2018
Return: 1.87 % Date: 7/31/2018
Return: -0.17 % Date: 6/30/2018
Return: 0.05 % Date: 5/31/2018
Return: -3.52 % Date: 4/30/2018
Return: 0.23 % Date: 3/31/2018
Return: 0.67 % Date: 2/28/2018
Return: -10.52 % Date: 1/31/2018
Return: 1.18 % Date: 12/31/2017
Return: 1.89 % Date: 11/30/2017
Return: 0.01 % Date: 10/31/2017
Return: 7.26 % Date: 9/30/2017
Return: -2.16 % Date: 8/31/2017
Return: 0.45 % Date: 7/31/2017
Return: -0.07 % Date: 6/30/2017
Return: -4.32 % Date: 5/31/2017
Return: -0.53 % Date: 4/30/2017
Return: -1.01 % Date: 3/31/2017
Return: -0.37 % Date: 2/28/2017
Return: 4.01 % Date: 1/31/2017
Return: -3.85 % Date: 12/31/2016
Return: 2.77 % Date: 11/30/2016
Return: 0.52 % Date: 10/31/2016
Return: -4.69 % Date: 9/30/2016
Return: 0.96 % Date: 8/31/2016
Return: 0.63 % Date: 7/31/2016
Return: 0.53 % Date: 6/30/2016
Return: 5.32 % Date: 5/31/2016
Return: 0.48 % Date: 4/30/2016
Return: -1.10 % Date: 3/31/2016
Return: -3.18 % Date: 2/29/2016
Return: 1.46 % Date: 1/31/2016
Return: 1.94 % Date: 12/31/2015
Return: 0.33 % Date: 11/30/2015
Return: 2.60 % Date: 10/31/2015
Return: 0.23 % Date: 9/30/2015
Return: 2.74 % Date: 8/31/2015
Return: -3.67 % Date: 7/31/2015
Return: 0.56 % Date: 6/30/2015
Return: 0.45 % Date: 5/31/2015
Return: -0.38 % Date: 4/30/2015
Return: -0.76 % Date: 3/31/2015
Return: 0.44 % Date: 2/28/2015
Return: 0.71 % Date: 1/31/2015
Return: 1.18 % Date: 12/31/2014
Return: 0.47 % Date: 11/30/2014
Return: 1.67 % Date: 10/31/2014
Return: -2.48 % Date: 9/30/2014
Return: 0.09 % Date: 8/31/2014
Return: 0.72 % Date: 7/31/2014
Return: -2.32 % Date: 6/30/2014
Return: 4.12 % Date: 5/31/2014
Return: 2.65 % Date: 4/30/2014
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/14 - 11/18
Return: -6.00 %
Count: 1 Return: -11.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: -3.00 %
Count: 1 Return: -4.00 %
Count: 4 Return: -1.00 %
Count: 5 Return: 2.00 %
Count: 4 Return: 1.00 %
Count: 11 Return: -2.00 %
Count: 3 Return: 4.00 %
Count: 2 Return: 3.00 %
Count: 5 Return: 0.00 %
Count: 16
Note: All performance data is since program inception.

Underwater Curve

Date Range: 04/14 - 11/18
Date: 11/30/2018
Drawdown: -15.06 % Date: 10/31/2018
Drawdown: -17.57 % Date: 9/30/2018
Drawdown: -12.32 % Date: 8/31/2018
Drawdown: -11.37 % Date: 7/31/2018
Drawdown: -13.00 % Date: 6/30/2018
Drawdown: -12.85 % Date: 5/31/2018
Drawdown: -12.89 % Date: 4/30/2018
Drawdown: -9.71 % Date: 3/31/2018
Drawdown: -9.92 % Date: 2/28/2018
Drawdown: -10.52 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -0.79 % Date: 11/30/2017
Drawdown: -2.63 % Date: 10/31/2017
Drawdown: -2.64 % Date: 9/30/2017
Drawdown: -9.23 % Date: 8/31/2017
Drawdown: -7.23 % Date: 7/31/2017
Drawdown: -7.64 % Date: 6/30/2017
Drawdown: -7.58 % Date: 5/31/2017
Drawdown: -3.40 % Date: 4/30/2017
Drawdown: -2.89 % Date: 3/31/2017
Drawdown: -1.90 % Date: 2/28/2017
Drawdown: -1.54 % Date: 1/31/2017
Drawdown: -5.33 % Date: 12/31/2016
Drawdown: -1.54 % Date: 11/30/2016
Drawdown: -4.19 % Date: 10/31/2016
Drawdown: -4.69 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: -3.79 % Date: 4/30/2016
Drawdown: -4.25 % Date: 3/31/2016
Drawdown: -3.18 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -0.94 % Date: 9/30/2015
Drawdown: -1.17 % Date: 8/31/2015
Drawdown: -3.80 % Date: 7/31/2015
Drawdown: -0.14 % Date: 6/30/2015
Drawdown: -0.69 % Date: 5/31/2015
Drawdown: -1.14 % Date: 4/30/2015
Drawdown: -0.76 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: -0.05 % Date: 1/31/2015
Drawdown: -0.75 % Date: 12/31/2014
Drawdown: -1.91 % Date: 11/30/2014
Drawdown: -2.37 % Date: 10/31/2014
Drawdown: -3.97 % Date: 9/30/2014
Drawdown: -1.53 % Date: 8/31/2014
Drawdown: -1.62 % Date: 7/31/2014
Drawdown: -2.32 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Spring Valley Asset Management
Address: 365 South Street, Suite 204
City: Morristown
State: NJ
Zip: 07960
Country: United States

Key People

Name:  John Ryan
Position:  Principal
Biography: 


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Technical Yes 
 Systematic Yes 
 Diversified Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 11% 
 Managed Account Availability: Open