Albedo Capital SAS : Albedo Absolute Alpha Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance -0.11% Min Investment € 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.54% Sharpe (RFR=1%) -1.33 CAROR - Assets € 7.2M Worst DD -5.84 S&P Correlation -0.02 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index May Qtr YTD 1yr 3yr 5yr 10yr Since12/2015 Albedo Absolute Alpha -0.11 - - - - - - -5.20 S&P 500 1.53 - - - - - - 69.51 +/- S&P 500 -1.64 - - - - - - -74.71 Strategy Description SummaryAlbedo Capital is a French regulated management company. Invested on the most liquid Forex pairs (G10), our portfolio of short term fully systematic strategies seeks risk-adjusted Absolute Return by relying on a set of in-house technical signals, result of more than 15 years of R&D.... Read More Account & Fees Type Fund Minimum Investment € 100k Trading Level Incremental Increase € 50k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD -15.00% Worst Peak-to-Trough 10.00% Sector Focus Currency Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 20.00% Intraday 80.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 67.00% Trend-following 33.00% Composition Currency FX 100.00% SummaryAlbedo Capital is a French regulated management company. Invested on the most liquid Forex pairs (G10), our portfolio of short term fully systematic strategies seeks risk-adjusted Absolute Return by relying on a set of in-house technical signals, result of more than 15 years of R&D. The complementarity of our trend-following and mean reversion strategies allows us to trade every market cycle. This program is also availabel through managed accounts (see Albedo Systematic FX, min 1.000.000€)Investment StrategyThe strategies are designed to target and accumulate small gains with high probability & consistency thanks to the relevance of our proprietary technical indicators. Delivery of non-correlated Alpha through complementary short term trend-following and mean reversion strategies. The program is 100% cash every Friday night, at market close. Risk ManagementAlbedo’s fund objective is to deliver risk adjusted absolute returns, non correlated to traditional asset classes. The investment process is fully systematic and relies on technical analysis of the most liquid Fx pairs. Every strategy includes dynamic stop-losses to secure positive returns and cut losses systematically. The strategies are designed to benefit from short-term recurrences and inefficiences on markets. This fund is teh replication of the rewarded program Albedo Systematic FX but with a stricter risk management policy: VaR 99% (20days) < 15% Net Portfolio Exposure < 10x Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -5.84 2 - 1/1/2016 3/1/2016 -0.25 1 1 1/1/0001 12/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 0.91 1 1/1/2016 1/1/2016 0.13 1 4/1/2016 4/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.84 2 2/1/2016 3/1/2016 -0.25 1 12/1/2015 12/1/2015 -0.11 1 5/1/2016 5/1/2016 Show More Time Windows Analysis 1 Month3 Month Number of Periods6.004.00 Percent Profitable33.330.00 Average Period Return-0.86-3.97 Average Gain0.52 Average Loss-1.55-3.97 Best Period0.910.00 Worst Period-5.82-5.72 Standard Deviation2.462.67 Gain Standard Deviation0.55 Loss Standard Deviation2.852.67 Sharpe Ratio (1%)-0.38-1.58 Average Gain / Average Loss0.34 Profit / Loss Ratio0.17 Downside Deviation (10%)2.575.69 Downside Deviation (5%)2.424.81 Downside Deviation (0%)2.384.60 Sortino Ratio (10%)-0.49-0.91 Sortino Ratio (5%)-0.39-0.88 Sortino Ratio (0%)-0.36-0.86 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel