Advanced Arbitrage Concepts : Advanced Arbitrage Concepts Account 1 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.62% Feb Performance -1.89% Min Investment $ 500k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 9.56% Sharpe (RFR=1%) 0.42 CAROR 4.64% Assets $ 3.0M Worst DD -9.27 S&P Correlation -0.12 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since5/2013 Advanced Arbitrage Concepts Account 1 -1.89 -2.82 -2.62 -4.58 -6.53 11.45 - 30.29 S&P 500 2.97 0.88 11.08 2.60 42.65 48.24 - 69.03 +/- S&P 500 -4.86 -3.70 -13.69 -7.18 -49.18 -36.78 - -38.74 Strategy Description SummaryThis 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% Composition Energy 100.00% SummaryThis 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. 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 -9.27 14 - 12/1/2017 2/1/2019 -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 Show More 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -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 -2.82 3 12/1/2018 2/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00 Percent Profitable47.1452.9455.3862.7175.4787.2380.0095.65 Average Period Return0.411.332.835.848.8111.8415.5524.33 Average Gain2.044.047.2911.3612.9114.0820.3325.56 Average Loss-1.32-1.84-2.71-3.44-3.78-3.43-3.55-2.81 Best Period14.8521.2521.4523.5039.4744.0239.5344.93 Worst Period-5.31-5.52-5.61-6.83-7.35-8.48-6.53-2.81 Standard Deviation2.765.116.888.9612.1714.1214.7214.87 Gain Standard Deviation3.025.606.236.6211.2013.7212.4013.96 Loss Standard Deviation1.441.671.531.692.582.952.11 Sharpe Ratio (1%)0.120.210.340.540.600.700.851.36 Average Gain / Average Loss1.542.192.693.303.424.115.729.09 Profit / Loss Ratio1.762.633.345.5610.5228.0722.89199.94 Downside Deviation (10%)1.452.353.635.336.477.0210.527.72 Downside Deviation (5%)1.281.772.372.892.902.243.151.43 Downside Deviation (0%)1.251.642.072.332.241.561.810.59 Sortino Ratio (10%)0.000.040.100.160.190.23-0.020.36 Sortino Ratio (5%)0.260.610.981.672.524.393.9814.14 Sortino Ratio (0%)0.330.811.372.513.947.618.5841.48 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. x {{title}} x {{title}} Add Cancel