Advanced Arbitrage Concepts : Advanced Arbitrage Concepts Account 1

archived programs
Year-to-Date
5.77%
Mar Performance
-3.24%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.61%
Sharpe (RFR=1%)
0.35
CAROR
3.99%
Assets
$ 0k
Worst DD
-12.21
S&P Correlation
-0.12

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
Advanced Arbitrage Concepts Account 1 -3.24 -5.07 -5.77 -8.30 -8.23 7.67 - 26.07
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 78.82
+/- S&P 500 -5.03 -18.13 -18.84 -15.62 -44.45 -42.18 - -52.75

Strategy Description

Summary

This program engages in arbitrage trading in the international energy markets. Specifically energy futures contracts listed on The International Commodity Exchange known as ICE and energy futures contracts listed on NYMEX will be traded in this program. Since the program utilizes arbitrage... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
30.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
5.62%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
65.00%
Systematic
35.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

This program engages in arbitrage trading in the international energy markets. Specifically energy futures contracts listed on The International Commodity Exchange known as ICE and energy futures contracts listed on NYMEX will be traded in this program. Since the program utilizes arbitrage techniques it is always long contracts on one exchange while being short similar contracts on the other exchange and/or vice versa. There may be a fractional amount of a contract net long or short due to rounding because the contract sizes on the two exchanges are not an equal match. The essence of the program is to attempt to take advantage of both random and structural differences in the price movement in the spread between these contracts as opposed to trading the outright or flat price of the energy contacts. The program uses a mathematical model which reads live price data from the exchanges and creates an index which in turn generates buy and sell signals. Traders review these signals against a list of criteria and then utilize both traditional and high frequency trading venues to enter and exit transactions. Performance for 2013 and 2014 are based on a negotiated incentive fee 0f 0% and 30% starting 2015.

   

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
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
-12.21 15 - 12/1/2017 3/1/2019
-5.67 9 4 12/1/2015 9/1/2016
-5.61 2 2 9/1/2013 11/1/2013
-4.78 2 1 5/1/2013 7/1/2013
-4.55 3 5 4/1/2017 7/1/2017
-1.95 1 2 7/1/2015 8/1/2015
-0.61 1 1 5/1/2015 6/1/2015
-0.16 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
21.45 4 12/1/2013 3/1/2014
12.59 2 1/1/2015 2/1/2015
7.33 5 12/1/2016 4/1/2017
5.82 2 8/1/2013 9/1/2013
4.90 4 9/1/2015 12/1/2015
2.82 1 12/1/2017 12/1/2017
2.68 1 8/1/2017 8/1/2017
2.13 1 10/1/2016 10/1/2016
1.91 1 7/1/2015 7/1/2015
1.86 2 7/1/2014 8/1/2014
1.38 1 5/1/2013 5/1/2013
1.13 1 11/1/2018 11/1/2018
0.98 1 7/1/2016 7/1/2016
0.78 2 6/1/2018 7/1/2018
0.68 2 3/1/2018 4/1/2018
0.30 1 5/1/2015 5/1/2015
0.04 2 2/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.97 4 12/1/2018 3/1/2019
-5.61 2 10/1/2013 11/1/2013
-5.16 3 4/1/2016 6/1/2016
-4.91 2 1/1/2018 2/1/2018
-4.78 2 6/1/2013 7/1/2013
-4.55 3 5/1/2017 7/1/2017
-2.47 3 8/1/2018 10/1/2018
-1.95 1 8/1/2015 8/1/2015
-1.89 1 5/1/2018 5/1/2018
-1.22 1 11/1/2016 11/1/2016
-1.04 2 8/1/2016 9/1/2016
-0.61 1 6/1/2015 6/1/2015
-0.51 1 1/1/2016 1/1/2016
-0.41 3 9/1/2017 11/1/2017
-0.16 3 4/1/2014 6/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable46.4852.1754.5561.6774.0785.4277.7891.67
Average Period Return0.361.222.705.618.4611.3514.8623.06
Average Gain2.044.047.2911.3612.9114.0820.3325.56
Average Loss-1.39-1.97-2.81-3.64-4.23-4.62-4.31-4.39
Best Period14.8521.2521.4523.5039.4744.0239.5344.93
Worst Period-5.31-5.77-5.71-8.08-10.09-11.74-9.58-5.96
Standard Deviation2.775.146.919.0612.3314.3815.1015.80
Gain Standard Deviation3.025.606.236.6211.2013.7212.4013.96
Loss Standard Deviation1.461.791.601.923.004.142.892.23
Sharpe Ratio (1%)0.100.190.320.510.560.650.781.20
Average Gain / Average Loss1.472.052.593.123.053.054.725.83
Profit / Loss Ratio1.622.383.115.028.7217.8616.5364.09
Downside Deviation (10%)1.502.483.745.556.857.6411.209.42
Downside Deviation (5%)1.331.902.473.103.282.983.752.48
Downside Deviation (0%)1.301.772.172.532.612.292.401.35
Sortino Ratio (10%)-0.030.000.060.110.130.14-0.080.16
Sortino Ratio (5%)0.210.510.891.492.123.143.157.66
Sortino Ratio (0%)0.280.691.242.213.254.966.2017.14

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 4 2.82 12/2017
Discretionary Trader Index Month 10 2.68 8/2017
Discretionary Trader Index Month 4 5.46 1/2017
IASG CTA Index Month 6 5.46 1/2017
Discretionary Trader Index Month 10 1.68 10/2015
Discretionary Trader Index Month 3 8.97 2/2015

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