Algorithm 2017-32-3

Product Description

The Product’s investment objective is high long-term capital appreciation with a prudent approach to protection of capital from undue risks.

The Product seeks to attain its objective by investing in a managed portfolio of equity securities through a fully automated computer algorithm. Daily, this algorithm evaluates a universe of stocks, and creates a portfolio based on performance and volatility objectives. The resulting portfolio is narrowly focused, with up to 20% of assets assigned per single instrument. The Product was designed with a strong focus on achieving a smooth equity curve, attempting to avoid deep draw-downs, and minimize overall volatility.

The algorithm is based on purely technical analysis of quantitative data, namely historical price action. It falls into the category of trend-following systems, where trends established in the past are expected to have a momentum extending into the future.

Performance (as of 10/25/2017)

The performance data presented here are simulated results. Until 09/22/2017, the date the algorithm went into live trading, this is considered back-testing with historical data. After that date, this is considered forward-testing with out-of-sample data. The simulated results include trade commissions, and advisory fees, but do not account for slippage. In the forward-testing period, the simulation has proven to be a very accurate representation of the results achieved in live trading.

Performance data represents past performance, which does not guarantee future results. Current performance may differ from the figures shown. The Product’s investment returns and principal values will change with market conditions, and you may have a gain or a loss when you sell your shares.

Product Measures

Algorithm 2017-32-3 S&P 500
Compound Annual Growth Rate 17.57% 5.65%
Maximum Drawdown -16.62% -56.78%
Sharpe Ratio 1.69 0.41
Beta 0.27 n/a
Average Annual Turnover 16.8 n/a


The product is made available through Bertram Solution’s adviser services. For more information on our services, refer to the Services page.