AIS Capital Management, L.P. : Frontera Global Opportunity Program (futures only)

archived programs
Year-to-Date
N / A
May Performance
-1.54%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.12%
Sharpe (RFR=1%)
0.05
CAROR
1.00%
Assets
$ 13.3M
Worst DD
-11.49
S&P Correlation
0.35

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
8/2009
Frontera Global Opportunity Program (futures only) -1.54 -2.17 - -9.04 -2.80 12.10 - 6.00
S&P 500 1.05 0.14 - 9.56 60.83 93.41 - 106.45
+/- S&P 500 -2.59 -2.31 - -18.59 -63.62 -81.31 - -100.45

Strategy Description

Summary

Frontera Global Opportunity seeks to deliver high-quality alpha returns through fundamentally driven, diversified, risk-controlled positions within discretionary and systematic global macro strategies. The systematic strategies quantify over 300 distinct fundamental linkages of... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1600 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
-11.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
10.00%
1-3 Months
70.00%
1-30 Days
10.00%
Intraday
5.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Fundamental
80.00%
Technical
20.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Stock Indices
25.00%
Currency Futures
20.00%
Industrial Metals
6.00%
Precious Metals
6.00%
Energy
6.00%
Currency FX
5.00%
Grains
2.00%
Livestock
2.00%
Softs
2.00%
VIX
1.00%
Composition Pie Chart

Summary

Frontera Global Opportunity seeks to deliver high-quality alpha returns through fundamentally driven, diversified, risk-controlled positions within discretionary and systematic global macro strategies. The systematic strategies quantify over 300 distinct fundamental linkages of economic momentum, fundamental value and price action on over 200 tradable markets. We track 100-plus economic linkages for each tradable instrument and produce daily buy-sell indicators individually (factor-level) and in aggregate (tradable-level). Examples include: the relationship of yield curves and swap spreads to trade equity indexes; the Chinese Leading Indicator and Baltic Dry Index to trade commodities; and credit spreads and the Fed Model to trade government bonds. The objective is to generate Information Ratios at the individual indicator level of 0.10 to 0.50; at the aggregated tradable level of 0.60 to 1.20; and at the asset class and portfolio level of 1.50 or better. Systematic strategies include directional and relative-value trades in global commodities; currencies; equity indices; global short-, medium-, and long-term interest rates; and volatility. The systematic strategy seeks to profit from the notions that, 1) in the intermediate to long run, macroeconomic and market fundamentals determine asset returns, yet 2) it is critical to assess technical conditions in order to preserve capital when shorter-term market forces lead markets to trade away from the fundamentals. We supplement the 90% systematic trading with 10% discretionary macro strategies in order to enhance portfolio performance and reduce portfolio risk. These strategies seek to capitalize on longer-term macroeconomic views and volatility mispricings; to express positions that fall outside the purview of the systematic model; and to protect capital during periods of market stress and fundamental decoupling. The resulting portfolio is subject to strict predetermined risk limits at the position, sector, asset class, and portfolio level.

Risk Management

Not only does the strategy target a clients desired volalitily, it also impliments a drawdown control overlay that cuts exposure by 20% for every 1% of equity lost until the exposure is 20% or the drawdown is over and equity invested rising again.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-11.49 8 32 2/1/2011 10/1/2011
-11.43 11 - 6/1/2014 5/1/2015
-8.35 1 5 4/1/2010 5/1/2010
-4.47 1 2 12/1/2009 1/1/2010
-2.67 2 1 9/1/2009 11/1/2009
-0.04 1 1 1/1/0001 8/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
22.97 7 8/1/2010 2/1/2011
10.68 4 11/1/2011 2/1/2012
8.40 5 9/1/2012 1/1/2013
7.27 5 2/1/2014 6/1/2014
6.45 3 2/1/2010 4/1/2010
5.82 1 1/1/2015 1/1/2015
5.40 4 7/1/2013 10/1/2013
3.08 1 12/1/2009 12/1/2009
2.44 1 6/1/2010 6/1/2010
1.17 1 9/1/2009 9/1/2009
0.68 1 11/1/2014 11/1/2014
0.64 1 9/1/2011 9/1/2011
0.41 1 4/1/2011 4/1/2011
0.14 1 3/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.54 4 5/1/2011 8/1/2011
-8.35 1 5/1/2010 5/1/2010
-7.75 6 3/1/2012 8/1/2012
-7.36 4 7/1/2014 10/1/2014
-6.34 5 2/1/2013 6/1/2013
-5.56 1 2/1/2015 2/1/2015
-4.47 1 1/1/2010 1/1/2010
-2.87 1 12/1/2014 12/1/2014
-2.67 2 10/1/2009 11/1/2009
-2.31 2 4/1/2015 5/1/2015
-2.29 3 11/1/2013 1/1/2014
-2.23 1 3/1/2011 3/1/2011
-0.97 1 10/1/2011 10/1/2011
-0.88 1 7/1/2010 7/1/2010
-0.04 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable51.4354.4152.3162.7175.4772.3477.1473.91
Average Period Return0.120.411.002.664.094.246.158.94
Average Gain2.023.825.686.116.846.809.0213.74
Average Loss-1.90-3.67-4.14-3.13-4.38-2.46-3.51-4.66
Best Period5.8312.6522.2021.2919.7118.8119.3223.54
Worst Period-8.35-7.31-11.19-9.04-9.64-5.13-6.32-8.23
Standard Deviation2.634.716.686.306.755.706.559.88
Gain Standard Deviation1.743.425.545.385.134.474.276.12
Loss Standard Deviation1.772.023.062.002.921.541.543.00
Sharpe Ratio (1%)0.010.030.070.260.380.390.480.49
Average Gain / Average Loss1.061.041.371.951.562.762.572.95
Profit / Loss Ratio1.131.241.503.284.807.238.678.35
Downside Deviation (10%)2.023.585.045.426.838.0911.5615.88
Downside Deviation (5%)1.842.973.822.793.242.513.224.68
Downside Deviation (0%)1.802.823.532.252.581.511.812.76
Sortino Ratio (10%)-0.14-0.23-0.29-0.43-0.51-0.74-0.83-0.79
Sortino Ratio (5%)0.020.050.130.600.800.890.971.04
Sortino Ratio (0%)0.070.140.281.181.592.813.393.24

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 4 3.68 11/2010
Systematic Trader Index Month 6 3.68 11/2010
IASG CTA Index Month 8 3.68 11/2010

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