Albedo Capital SAS : Albedo Systematic FX

archived programs
Year-to-Date
N / A
May Performance
-0.04%
Min Investment
€ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.49%
Sharpe (RFR=1%)
1.65
CAROR
-
Assets
€ 12.0M
Worst DD
-7.94
S&P Correlation
-0.22

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 Since
1/2015
Albedo Systematic FX -0.04 - - - - -1.81 - 45.98
S&P 500 1.53 - - - - 55.85 - 73.67
+/- S&P 500 -1.57 - - - - -57.66 - -27.69

Strategy Description

Summary

Albedo 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 Managed Account
Minimum Investment € 1,000k
Trading Level Incremental Increase € 500k
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 2200 RT/YR/$M
Avg. Margin-to-Equity 8%
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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Albedo 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. The program is available through managed accounts and through 1 mutual fund, Albedo Absolute Alpha FR0013031622.

Investment Strategy

The 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 Management

Albedo’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.
Albedo Capital's target:
o ROR: 15 to 25%
o MDD: 10 to 15%
o Sharpe: 1.5 to 2.5
o Volatility: 10 to 15%

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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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
-7.94 6 - 11/1/2015 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
58.58 11 1/1/2015 11/1/2015
0.99 1 1/1/2016 1/1/2016
0.06 1 3/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.64 1 2/1/2016 2/1/2016
-3.36 1 12/1/2015 12/1/2015
-0.10 2 4/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable76.4760.0066.67
Average Period Return2.355.7711.83
Average Gain3.7711.9220.53
Average Loss-2.28-3.44-5.58
Best Period15.8022.7238.76
Worst Period-5.64-7.91-7.94
Standard Deviation4.768.8314.84
Gain Standard Deviation4.364.939.13
Loss Standard Deviation2.733.092.68
Sharpe Ratio (1%)0.480.630.76
Average Gain / Average Loss1.663.463.68
Profit / Loss Ratio5.395.197.37
Downside Deviation (10%)1.743.454.83
Downside Deviation (5%)1.622.943.75
Downside Deviation (0%)1.592.823.49
Sortino Ratio (10%)1.121.321.94
Sortino Ratio (5%)1.401.883.02
Sortino Ratio (0%)1.482.053.39

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.