AI1 CTA Euro Invest : AI1 CTA Euro Invest Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance 0.10% Min Investment € 125k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.09% Sharpe (RFR=1%) 0.20 CAROR 3.03% Assets € 11.5M Worst DD -23.80 S&P Correlation -0.13 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since5/2010 AI1 CTA Euro Invest 0.10 - - - - - 8.18 18.16 S&P 500 0.05 - - - - - 66.47 272.63 +/- S&P 500 0.05 - - - - - -58.29 -254.47 Strategy Description SummaryThe proprietary trading system was developed by Mag. Dipl.Ing. Franz Wanovits and Dr. Johannes Fritz. Franz Wanovits holds a masters degree in Business Administration from the University of Economics, Vienna, and a second masters degree in Mechanical Engineering from the... Read More Account & Fees Type Fund Minimum Investment € 125k Trading Level Incremental Increase € 0k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity 30% Targeted Worst DD 29.26% Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 34.00% 4-12 Months 33.00% 1-3 Months 33.00% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Technical 100.00% Composition SummaryThe proprietary trading system was developed by Mag. Dipl.Ing. Franz Wanovits and Dr. Johannes Fritz. Franz Wanovits holds a masters degree in Business Administration from the University of Economics, Vienna, and a second masters degree in Mechanical Engineering from the Technical University, Vienna. He has more than 25 years of trading experience and is an expert in quantitative time series analysis. Since 1997 he has served as a member of the Executive Board of Euro Invest Bank AG, Vienna. Johannes Fritz holds a graduate degree and a Ph.D. from Vienna University of economics and business administration. He also holds an undergraduate degree in electronic and communication engineering. After four years of working as system analyst and programmer in two mayor computer companies he started to develop the trading system. In 1994 he joined an offshore private pool as trading system developer (futures, options and stocks). Since 2003 he is working exclusively for Euro Invest Bank AG and is responsible for financial engineering, risk control, trading system development and portfolio management, as well as for the general financial market research. Over the past decades the team has developed proprietary trading systems utilizing mathematical algorithms derived from advanced statistical analysis of historical market data. These dynamic, continuously evolving and quantitative systems are designed to perform in a wide spectrum of market conditions. The system is fundamentally the same system since 1989. There is a continuing fine-tuning process going on where the system parameters are constantly monitored and if necessary adapted. The primary target is high performance in every market situation with absolute returns based on proprietary technology as a factor for success. A minimum investment period of three years is highly recommended. The fully automated trading system operates independently in over 60 liquid markets worldwide. The system is a 4th generation advanced trend following system with differing time horizons, i.e., short-, medium- and long-term. The system differs not only by duration of trades, but also by the frequency of trading signals. This results in optimal exploitation of price movements for profit in both directions in a multitude of future markets. The system is automated to generate buy and sell orders according to a number of quantitative indicators within the constraints of predefined risk parameters. The system is equipped with a permanent and automated risk management and control framework. Diligent and successful money management balances between risk and reward with an emphasis on broad diversification over a large number of markets.Investment StrategyThe applied trading approach does not forecast markets or price levels but reacts in a dynamic way to market's price movement. The buy and sell signals are generated using our proprietary quantitative models. These models are designed to exploit statistical properties of the underlying futures contracts. It is the aim of the algorithms to spot market inefficiencies and extract tradable information from the underlying price flow. As soon as the expected market inefficiency exceeds a specific limit, the system steps in and generates an order to initialize a long or a short position. Immediately after the execution of a new position a corresponding stop loss order becomes effective. One of the mayor input variables is market volatility. Volatility influences both, position size and stop loss distances in a very massive manner. The system's average trade length is about 70 days (but could be sometimes up to 200 days or even longer). Profitable trades tend to have a longer trade length then losing trades. The program is entirely based on quantitative analysis of price behavior. It is 100% systematic and 100% technical in nature. All relevant information is extracted from our database containing historical price movement. The program may enter into both long and short positions in any of the futures involved, or it may have no position (neutral). Its design is of the trend following type, and performs best in smooth trending market environments. In order to reduce the dependence of a particular optimal trend length, the algorithm uses three different time windows for the trade generation. As to keep the over all risk in a pre specified range, huge changes in market volatility result in reductions of the exposure and hence reduction of contracts traded (in a particular market or market group). Another mean to keep risk in a well defined range is to reduce the position sizes during a drawdown. 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 -23.80 20 10 7/1/2012 3/1/2014 -17.24 7 - 3/1/2015 10/1/2015 -13.59 3 3 2/1/2011 5/1/2011 -11.10 1 9 9/1/2011 10/1/2011 -4.87 1 1 10/1/2010 11/1/2010 -1.68 1 1 6/1/2010 7/1/2010 -1.16 1 1 1/1/0001 5/1/2010 -0.50 1 1 1/1/2015 2/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 36.85 10 4/1/2014 1/1/2015 21.79 4 6/1/2011 9/1/2011 15.99 3 12/1/2010 2/1/2011 10.24 2 11/1/2011 12/1/2011 9.83 3 8/1/2010 10/1/2010 7.13 1 7/1/2012 7/1/2012 6.32 3 9/1/2013 11/1/2013 5.34 2 12/1/2012 1/1/2013 4.14 1 5/1/2012 5/1/2012 3.90 1 4/1/2011 4/1/2011 3.57 1 9/1/2015 9/1/2015 3.47 1 6/1/2010 6/1/2010 2.96 1 3/1/2015 3/1/2015 2.82 1 2/1/2012 2/1/2012 2.82 1 2/1/2014 2/1/2014 2.75 2 3/1/2013 4/1/2013 0.87 1 5/1/2015 5/1/2015 0.10 1 11/1/2015 11/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -16.73 4 5/1/2013 8/1/2013 -13.26 4 8/1/2012 11/1/2012 -11.10 1 10/1/2011 10/1/2011 -10.65 3 6/1/2015 8/1/2015 -10.37 1 3/1/2011 3/1/2011 -7.22 2 12/1/2013 1/1/2014 -7.21 1 5/1/2011 5/1/2011 -6.46 1 4/1/2015 4/1/2015 -5.22 1 10/1/2015 10/1/2015 -4.87 1 11/1/2010 11/1/2010 -3.35 1 3/1/2014 3/1/2014 -2.90 1 1/1/2012 1/1/2012 -2.82 2 3/1/2012 4/1/2012 -1.85 1 6/1/2012 6/1/2012 -1.68 1 7/1/2010 7/1/2010 -1.16 1 5/1/2010 5/1/2010 -0.57 1 2/1/2013 2/1/2013 -0.50 1 2/1/2015 2/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00 Percent Profitable58.2152.3156.4562.5060.0063.6459.3885.00 Average Period Return0.361.142.324.925.503.761.5510.49 Average Gain3.446.919.6213.2716.5113.107.2513.09 Average Loss-3.94-5.19-7.13-9.00-11.01-12.60-6.79-4.20 Best Period12.3220.7727.0340.1933.5332.7924.6430.59 Worst Period-11.10-13.92-14.45-19.65-23.32-17.97-13.61-4.92 Standard Deviation4.647.9310.5313.9815.4114.289.2410.01 Gain Standard Deviation2.975.787.6610.158.367.716.958.44 Loss Standard Deviation2.744.284.386.075.225.384.621.14 Sharpe Ratio (1%)0.060.110.170.280.260.12-0.160.64 Average Gain / Average Loss0.871.331.351.471.501.041.073.12 Profit / Loss Ratio1.221.461.752.462.251.821.5617.66 Downside Deviation (10%)3.305.306.969.3812.2414.3816.7814.54 Downside Deviation (5%)3.134.755.787.128.559.366.913.22 Downside Deviation (0%)3.084.615.506.607.678.225.171.67 Sortino Ratio (10%)-0.02-0.02-0.02-0.01-0.17-0.45-0.85-0.76 Sortino Ratio (5%)0.090.190.320.550.470.19-0.212.00 Sortino Ratio (0%)0.120.250.420.750.720.460.306.30 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