Altaloma Asset Management : Short Term Counter Trend
Help with terms and abbreviations? See our
definitions page
Year-to-Date
N / A
Aug 0.00%
|
Min. Investment |
$ 100k |
Inception |
Nov 2008 |
Assets |
$ 288k |
|
Mgmt Fee |
0% |
Sharpe (RFR=1%)
|
0.74 |
Worst DD |
-12.21 |
|
Perf Fee |
20.00% |
CAROR |
- |
S&P Correlation |
0.09 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2010 | 7.27 | 3.23 | -5.60 | -3.80 | 1.45 | -3.80 | 6.02 | 0.00 | | | | | 4.05 | -11.37 |
| 2009 | -1.31 | 4.07 | 1.18 | 8.82 | -0.01 | 1.11 | -3.48 | 0.00 | -0.19 | -8.87 | 4.44 | 3.95 | 8.97 | -12.21 |
| 2008 | | | | | | | | | | | 2.55 | 5.12 | 7.80 | N/A |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
The Short Term counter Trend (STCT) model is contrarian in nature and looks for over extensions in several key components of the underlying asset and its derivatives. The model trades the S&P 500 futures contract exclusively. STCT is generally selective in its trades. On average the model spends roughly 70% of the time in cash while the other 30% is spent either long or short. Positions in this model are held for five and a half days on average although there are times when positions can be held for significantly longer or shorter periods of time.
Investment Strategy
The STCT Managed Futures Program utilizes a proprietary method of defining the key components mentioned earlier, which have infinite ranges, in finite terms. When one component reaches one extreme and others the opposite extreme the model will take a position either long or short. The model is dynamic in nature and does not have static entry and exit points based on the underlying asset or its derivatives.
Risk Management
The model utilizes a two-step proprietary risk management process, which simultaneously determines the optimal number of contracts to trade given the current volatility and the max acceptable stop loss.
