American Optimal Advisors : AORDA Portfolio 2
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definitions page
Year-to-Date
N / A
Dec -1.73%
|
Min. Investment |
$ 200k |
Inception |
Jan 2005 |
Assets |
$ 172k |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
1.04 |
Worst DD |
-28.17 |
|
Perf Fee |
20.00% |
CAROR |
22.14% |
S&P Correlation |
-0.39 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | 4.10 | -0.67 | -3.00 | -0.85 | 3.73 | -3.59 | 0.08 | 16.28 | -5.03 | -2.95 | 0.11 | -1.73 | 4.94 | -9.33 |
| 2010 | 1.20 | -2.24 | 0.84 | -2.33 | 13.43 | 7.78 | 7.21 | 3.14 | 3.67 | 0.91 | 3.60 | -0.42 | 42.16 | -3.72 |
| 2009 | -0.13 | 6.84 | 5.98 | -3.25 | 4.19 | -4.88 | -9.65 | -1.65 | -8.85 | -2.16 | -1.04 | -1.18 | -15.97 | -26.29 |
| 2008 | 4.54 | 7.20 | 4.18 | 8.13 | 3.24 | -0.11 | 9.27 | -2.86 | 28.21 | 10.23 | 0.49 | -2.91 | 90.54 | -2.91 |
| 2007 | -0.64 | 1.49 | 2.56 | 4.02 | -2.66 | 1.72 | 3.77 | -3.98 | -2.85 | 8.03 | -0.92 | 0.99 | 11.46 | -6.72 |
| 2006 | -3.76 | 0.12 | 0.59 | 1.89 | 3.24 | 15.36 | 8.85 | 4.46 | -6.63 | -5.05 | 6.60 | 6.14 | 34.15 | -11.35 |
| 2005 | 8.44 | 3.10 | -2.52 | 4.83 | -5.44 | 3.31 | -6.15 | -3.35 | 3.56 | -2.19 | 3.95 | 6.51 | 13.53 | -11.39 |
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
AORDA Portfolio 2 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 2 is offered in the form of managed accounts for accredited investors. Accounts can be opened at Interactive Brokers.
Investment Strategy
Portfolio composition: up to 50% in Futures on index S&P500 with leverage 2 and up to 50% in Futures on index NASDAQ100 with leverage 2; remaining capital is invested in cash. Investments are only in indices S&P500 and NASDAQ100; no investments are made in individual stocks or any other instruments. Portfolio positions are rebalanced twice per day. Portfolio is constructed to have negative correlation with S&P500. Most favorable outcomes are achieved in bear market.
Risk Management
Risk control of the portfolio is achieved by using formal state-of-the-art risk management/optimization techniques. AOA portfolios incorporate mathematical information about various U.S. indices and designed scenario outcomes that reflect up-to-date statistics of future states. Worldwide financial and macroeconomic data are used to build the scenarios. Portfolio weights are obtained as the result of an optimization problem: the portfolio expected return is maximized with a constraint on Conditional Value-at-Risk (CVaR) and back-tested on historical data in various market conditions. The CVaR risk measure evaluates the average of worst-case 10% scenario losses. Solution of the optimization problem gives the weights to assign to Money Market account and Futures on two US Indices: NDX (NASDAQ100) and S&P500; both long and short positions are allowed.
