American Optimal Advisors : AORDA Portfolio 3
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definitions page
Year-to-Date
N / A
Dec -1.96%
|
Min. Investment |
$ 200k |
Inception |
Dec 2008 |
Assets |
$ 2.5M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
0.90 |
Worst DD |
-14.74 |
|
Perf Fee |
20.00% |
CAROR |
13.94% |
S&P Correlation |
-0.01 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | 3.90 | 1.44 | -2.74 | 0.92 | 2.48 | -5.09 | -0.14 | 9.45 | -3.91 | -0.64 | 1.04 | -1.96 | 4.01 | -5.42 |
| 2010 | -0.90 | 0.36 | 1.00 | -1.73 | 6.35 | 2.44 | 8.17 | 3.21 | 2.88 | 1.39 | 3.33 | 1.40 | 31.22 | -1.73 |
| 2009 | -0.39 | 5.68 | 10.08 | -3.56 | 7.13 | -9.22 | 1.38 | 3.54 | -4.54 | -3.91 | -0.40 | -0.79 | 3.40 | -13.63 |
| 2008 | | | | | | | | | | | | 5.95 | 5.95 | 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
AORDA Portfolio 3 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 3 is offered in the form of managed accounts for accredited investors. Accounts can be opened at Interactive Brokers.
Investment Strategy
Portfolio composition: up to 66.5% of capital in Futures on index S&P500 with leverage 2, 33% of capital is always fully invested in Futures on S&P500; up to 33.5% of capital in Futures on index NASDAQ100 with leverage 2; no investments are made in individual stocks or any other instruments. Portfolio positions are rebalanced twice per day. Portfolio is constructed to have slightly positive correlation with S&P500. Most favorable outcomes are achieved in bull 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 (NASDAQ 100) and S&P500; both long and short positions are allowed.
