Amplitude : Dynamic Trading Fund C Class
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definitions page
Year-to-Date
5.10%
Jan 5.10%
|
Min. Investment |
|
Inception |
Jun 2005 |
Assets |
$ 971.0M |
|
Mgmt Fee |
3.00% |
Sharpe (RFR=1%)
|
0.67 |
Worst DD |
-20.06 |
|
Perf Fee |
20.00% |
CAROR |
11.10% |
S&P Correlation |
-0.19 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2012 | 5.10 | | | | | | | | | | | | 5.10 | N/A |
| 2011 | -1.10 | 1.02 | 1.45 | 5.15 | -7.36 | -0.47 | 0.25 | 3.71 | 2.97 | -2.91 | -4.71 | -4.47 | -7.02 | -12.76 |
| 2010 | 3.20 | -2.09 | 2.15 | 1.39 | 9.16 | 2.82 | -2.14 | 1.69 | 1.06 | -2.02 | -3.31 | 0.61 | 12.59 | -5.26 |
| 2009 | 2.35 | 1.31 | -6.17 | -2.16 | 12.18 | -11.29 | 3.20 | -0.07 | 1.00 | 3.77 | -8.53 | -2.00 | -8.22 | -14.05 |
| 2008 | 0.65 | 2.63 | 6.16 | 3.94 | 3.51 | 1.58 | -0.73 | -3.63 | 14.48 | -1.61 | 0.14 | -11.60 | 14.32 | -12.90 |
| 2007 | 1.56 | 1.30 | -0.77 | 6.78 | 0.06 | -3.79 | 5.56 | 4.13 | 8.30 | 3.16 | 7.01 | 6.44 | 46.79 | -3.79 |
| 2006 | 4.86 | -4.91 | 1.37 | 4.66 | -5.22 | 1.44 | 0.45 | -7.10 | 3.13 | 7.46 | 4.33 | -3.02 | 6.43 | -10.28 |
| 2005 | | | | | | 3.88 | 1.60 | 1.67 | 2.59 | 6.91 | 0.50 | -5.42 | 11.87 | -5.42 |
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 Amplitude Dynamic Trading Fund ("Fund") is a short term CTA that trades highly liquid exchange-traded futures including equity indices, fx, fixed income and commodities with an average holding period of about 1 day.
The program seeks to provide a very good level of downside protection for beta or beta-correlated strategies and a high degree of diversification within the CTA space.
The strategy is based on a systematic and fully automated directional program which uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology to detect ultra-short to short term market trends and reversion. Speed, cost and efficient execution are critical to the investment strategy. Execution is entirely electronic and utilizes in-house proprietary software to facilitate ultra-fast execution. Execution costs and slippage are constantly monitored to ensure any adverse market impact is kept to a minimum. The risk management function is monitored real-time and is fully automated.
Currently 40 markets are traded and each instrument is independently analyzed and traded.
Investment Strategy
The Dynamic fund is hard closed. It is only available via the Sinfonie Fund.
