AIS Capital Management, L.P. : MAAP (2x-4x) Composite Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 8.27% Jan Performance 8.27% Min Investment $ 3,000k Mgmt. Fee 2.70% Perf. Fee 20.00% Annualized Vol 27.96% Sharpe (RFR=1%) 0.34 CAROR 6.73% Assets $ 11.9M Worst DD -78.95 S&P Correlation 0.28 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since10/1992 MAAP (2x-4x) Composite 8.27 35.18 8.27 131.84 92.83 101.39 -29.98 532.89 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 830.15 +/- S&P 500 9.38 21.59 9.38 116.69 61.31 11.91 -215.80 -297.26 Strategy Description SummaryThe MAAP investment process begins with a global macro-economic analysis and then uses a technical and systematic study of current trends and futures contract valuation to determine the direction and size of positions to be taken in MAAP. MAAP maintains long, short or neutral... Read More Account & Fees Type Managed Account Minimum Investment $ 3,000k Trading Level Incremental Increase $ 1k CTA Max Funding Factor 3.00 Management Fee 2.70% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 250 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 50.00% 4-12 Months 40.00% 1-3 Months 10.00% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Fundamental 90.00% Trend-following 10.00% Composition Currency Futures 17.00% Energy 17.00% Grains 17.00% Interest Rates 16.00% Stock Indices 16.00% Precious Metals 14.00% Industrial Metals 3.00% SummaryThe MAAP investment process begins with a global macro-economic analysis and then uses a technical and systematic study of current trends and futures contract valuation to determine the direction and size of positions to be taken in MAAP. MAAP maintains long, short or neutral positions in markets within each of the following six asset classes: 1. Equities 2. Fixed Income 3. Currency 4. Metals 5. Agricultural Products 6. Energy Products Investment StrategyThe MAAP investment process begins with an analysis of the global macro economic conditions that could impact the environment for the six sectors traded. AIS believes that global economic growth rates, inflation trends, government policies, currency and interest rate trends, and demographic factors all interact to impact price trends in the various markets traded. In addition to global macro trends, analysis of specific supply and demand trends within each of the three commodity sectors is conducted on an ongoing basis. Finally, AIS analyzes the potential of supply demand conditions and price trends in one sector to impact prices in other sectors. Using their analysis of fundamental conditions, the trading principals then look to their quantitative and systematic models and utilize technical analysis to help with the timing of trades and the determination of the size of new or adjusted positions. The trading principals believe that combining both fundamental and quantitative analysis creates a more in-depth understanding of market dynamics. AIS exercises discretion with respect to the timing of entering into new positions when additional funds are added, and the timing of closing out existing positions when there are withdrawals. When MAAP’s position weighting parameters signal that the number of positions in a futures contract should be increased or decreased, due to overall portfolio gains or due to a need to rebalance,, AIS may wait for corrections or advances prior to adjusting the number of contracts held in a particular asset’s position. During these periods, account leverage may substantially exceed or fall short of what it would be if a new position were initiated immediately. If AIS believes the markets are subject to unusual risk, possible government intervention or temporary illiquidity, it may temporarily reduce overall portfolio leverage or leverage in a particular market. Although AIS generally takes positions in the most liquid, front month futures contract, it also analyzes spread relationships in order to take advantage of extremes in pricing between front month futures contracts and forward month futures contracts and may at times utilize forward month futures. AIS believes this flexibility periodically offers opportunities to reduce portfolio risk or increase portfolio return. AIS may also buy or sell options on futures at its discretion in an effort to reduce portfolio risk or to allow a managed account to enter or exit positions at certain prices and times. AIS can apply MAAP with different degrees of leverage based on a client’s risk/reward parameters, ranging from no additional leverage to four times leverage. AIS continues an active research program designed to improve investment returns and reduce portfolio risk. Such research may lead to the introduction of trading models in individual markets and to more extensive use of options on futures contracts. AIS’ research in the use of options on futures is primarily, but not solely, intended to seek ways to further reduce portfolio volatility risk. AIS believes that both its fundamental research, and the proprietary software tools it uses to trade the six asset classes described above, may also be applied to other actively traded futures markets. AIS may expand the number of asset classes it may offer either in conjunction with MAAP’s present six-asset class portfolio or in various other portfolio combinationsRisk ManagementWhen AIS believes the markets are subject to unusual risk, possible government intervention or temporary illiquidity, it may temporarily reduce overall portfolio leverage or leverage in a particular market. Although AIS generally takes positions in the most liquid, front month futures contract, it also analyzes spread relationships in order to take advantage of extremes in pricing between front month futures contracts and forward month futures contracts and may at times utilize forward month futures. AIS believes this flexibility periodically offers opportunities to reduce portfolio risk or increase portfolio return. AIS may also buy or sell options on futures at its discretion in an effort to reduce portfolio risk or to allow a managed account to enter or exit positions at certain prices and times. AIS can apply MAAP with different degrees of leverage based on a client’s risk/reward parameters, ranging from no additional leverage to four times leverage. AIS continues an active research program designed to improve investment returns and reduce portfolio risk. Such research may lead to the introduction of trading models in individual markets and to more extensive use of options on futures contracts. AIS’ research in the use of options on futures is primarily, but not solely, intended to seek ways to further reduce portfolio volatility risk. AIS believes that both its fundamental research, and the proprietary software tools it uses to trade the six asset classes described above, may also be applied to other actively traded futures markets. AIS may expand the number of asset classes it may offer either in conjunction with MAAP’s present six-asset class portfolio or in various other portfolio combinationsRisk Management commodity exposure risk reduction overlay in place beginning in 2009 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 -78.95 142 - 6/1/2008 4/1/2020 -45.58 20 29 2/1/1997 10/1/1998 -25.12 5 12 4/1/2006 9/1/2006 -20.11 2 6 2/1/2003 4/1/2003 -17.20 2 3 9/1/2002 11/1/2002 -15.61 5 2 9/1/1995 2/1/1996 -14.74 2 2 9/1/2005 11/1/2005 -14.23 14 4 3/1/2001 5/1/2002 -13.11 2 2 12/1/1993 2/1/1994 -12.57 5 3 7/1/1994 12/1/1994 -12.02 3 4 3/1/2004 6/1/2004 -10.45 1 2 11/1/2004 12/1/2004 -9.28 1 2 1/1/2006 2/1/2006 -7.92 1 1 6/1/1996 7/1/1996 -7.06 1 2 2/1/2008 3/1/2008 -5.91 1 3 3/1/2005 4/1/2005 -3.25 2 1 2/1/1993 4/1/1993 -3.22 1 3 1/1/0001 10/1/1992 -1.04 1 1 4/1/1996 5/1/1996 -0.93 1 1 10/1/2007 11/1/2007 Show More Consecutive Gains Run-up Length (Mos.) Start End 77.31 9 7/1/2003 3/1/2004 73.40 4 5/1/2020 8/1/2020 68.68 4 9/1/2010 12/1/2010 61.85 3 3/1/2009 5/1/2009 55.83 3 11/1/2020 1/1/2021 45.35 3 12/1/2007 2/1/2008 40.78 4 6/1/2012 9/1/2012 40.22 8 5/1/1993 12/1/1993 35.74 9 1/1/1995 9/1/1995 33.43 5 3/1/1994 7/1/1994 33.19 3 9/1/2009 11/1/2009 31.36 7 8/1/1996 2/1/1997 30.94 3 4/1/2008 6/1/2008 29.22 2 9/1/2007 10/1/2007 26.45 3 2/1/2011 4/1/2011 25.78 2 3/1/2006 4/1/2006 23.24 3 12/1/2002 2/1/2003 23.06 2 10/1/2006 11/1/2006 22.79 4 11/1/1999 2/1/2000 22.69 2 11/1/1998 12/1/1998 22.10 5 7/1/2004 11/1/2004 22.08 3 1/1/2005 3/1/2005 21.76 5 9/1/2017 1/1/2018 19.99 2 3/1/1996 4/1/1996 18.83 4 6/1/2002 9/1/2002 18.61 2 12/1/2005 1/1/2006 18.60 2 7/1/2011 8/1/2011 17.77 3 6/1/1999 8/1/1999 17.54 5 5/1/2005 9/1/2005 16.15 2 7/1/2013 8/1/2013 16.03 3 2/1/1999 4/1/1999 14.82 2 5/1/2000 6/1/2000 14.75 3 2/1/2014 4/1/2014 13.52 2 2/1/2001 3/1/2001 13.49 3 2/1/2010 4/1/2010 13.06 2 1/1/2012 2/1/2012 12.13 1 10/1/2011 10/1/2011 11.73 1 8/1/2000 8/1/2000 11.07 1 6/1/2019 6/1/2019 10.67 1 7/1/1998 7/1/1998 10.57 2 11/1/1997 12/1/1997 10.17 1 4/1/2016 4/1/2016 9.50 1 7/1/2010 7/1/2010 8.31 1 6/1/1996 6/1/1996 8.22 2 1/1/2007 2/1/2007 7.86 3 12/1/2016 2/1/2017 7.83 2 1/1/2016 2/1/2016 6.64 1 7/1/2017 7/1/2017 6.45 1 10/1/2000 10/1/2000 6.37 4 11/1/1992 2/1/1993 6.37 3 8/1/2001 10/1/2001 6.24 1 12/1/2019 12/1/2019 6.16 1 5/1/2003 5/1/2003 5.88 1 1/1/1996 1/1/1996 5.60 1 1/1/2013 1/1/2013 5.41 3 5/1/2007 7/1/2007 5.06 1 4/1/2015 4/1/2015 5.06 1 7/1/2009 7/1/2009 4.63 2 3/1/2018 4/1/2018 4.44 1 9/1/2016 9/1/2016 4.29 1 1/1/2015 1/1/2015 4.08 2 3/1/2002 4/1/2002 3.37 1 7/1/2006 7/1/2006 3.15 1 9/1/2018 9/1/2018 2.66 1 6/1/2016 6/1/2016 2.62 1 6/1/2018 6/1/2018 2.57 1 8/1/2015 8/1/2015 2.06 1 1/1/2019 1/1/2019 1.85 1 6/1/2014 6/1/2014 1.70 1 4/1/2012 4/1/2012 1.55 1 10/1/2019 10/1/2019 1.52 1 10/1/1994 10/1/1994 1.38 1 12/1/2013 12/1/2013 1.33 1 9/1/1997 9/1/1997 1.22 1 4/1/2019 4/1/2019 0.92 1 6/1/1997 6/1/1997 0.69 1 12/1/2001 12/1/2001 0.44 1 11/1/2012 11/1/2012 0.17 1 3/1/2013 3/1/2013 0.12 1 11/1/1995 11/1/1995 Show More Consecutive Losses Run-up Length (Mos.) Start End -74.76 8 7/1/2008 2/1/2009 -41.12 6 7/1/2014 12/1/2014 -30.21 1 9/1/2011 9/1/2011 -28.51 6 1/1/1998 6/1/1998 -24.19 1 5/1/2012 5/1/2012 -20.50 2 8/1/2006 9/1/2006 -20.47 2 12/1/2009 1/1/2010 -20.17 3 9/1/2013 11/1/2013 -20.11 2 3/1/2003 4/1/2003 -19.57 3 8/1/1998 10/1/1998 -18.60 4 9/1/2015 12/1/2015 -17.34 3 4/1/2013 6/1/2013 -17.20 2 10/1/2002 11/1/2002 -16.10 2 5/1/2011 6/1/2011 -15.04 3 5/1/2015 7/1/2015 -14.74 2 10/1/2005 11/1/2005 -14.69 4 3/1/2017 6/1/2017 -14.41 4 1/1/2020 4/1/2020 -13.11 2 1/1/1994 2/1/1994 -12.74 3 7/1/2019 9/1/2019 -12.16 3 3/1/1997 5/1/1997 -12.14 4 4/1/2001 7/1/2001 -12.02 3 4/1/2004 6/1/2004 -11.78 2 3/1/2000 4/1/2000 -11.41 2 9/1/2020 10/1/2020 -10.98 2 5/1/2010 6/1/2010 -10.74 2 8/1/1994 9/1/1994 -10.64 1 2/1/1996 2/1/1996 -10.48 1 2/1/2013 2/1/2013 -10.45 1 12/1/2004 12/1/2004 -9.35 1 12/1/2006 12/1/2006 -9.29 2 7/1/1997 8/1/1997 -9.28 1 2/1/2006 2/1/2006 -9.17 1 12/1/1995 12/1/1995 -9.01 1 7/1/2000 7/1/2000 -9.01 2 7/1/2016 8/1/2016 -8.89 2 5/1/2006 6/1/2006 -8.60 1 6/1/2009 6/1/2009 -8.14 2 9/1/1999 10/1/1999 -7.93 2 7/1/2018 8/1/2018 -7.92 1 7/1/1996 7/1/1996 -7.83 2 2/1/2015 3/1/2015 -7.25 2 10/1/2016 11/1/2016 -7.10 1 8/1/2010 8/1/2010 -7.06 1 3/1/2008 3/1/2008 -6.90 1 5/1/1999 5/1/1999 -6.56 1 2/1/2018 2/1/2018 -6.50 1 11/1/2019 11/1/2019 -6.19 1 10/1/2012 10/1/2012 -5.91 1 4/1/2005 4/1/2005 -5.86 1 5/1/2002 5/1/2002 -5.52 2 11/1/2011 12/1/2011 -5.08 1 10/1/1997 10/1/1997 -4.60 2 1/1/2002 2/1/2002 -4.36 1 1/1/2014 1/1/2014 -4.14 1 9/1/2000 9/1/2000 -4.06 1 8/1/2009 8/1/2009 -3.87 3 10/1/2018 12/1/2018 -3.83 1 1/1/1999 1/1/1999 -3.70 3 11/1/2000 1/1/2001 -3.51 2 11/1/1994 12/1/1994 -3.47 1 5/1/2014 5/1/2014 -3.25 2 3/1/1993 4/1/1993 -3.22 1 10/1/1992 10/1/1992 -2.79 2 3/1/2007 4/1/2007 -2.73 1 3/1/2012 3/1/2012 -2.49 1 11/1/2001 11/1/2001 -2.37 1 5/1/2018 5/1/2018 -2.27 1 8/1/2007 8/1/2007 -2.25 1 8/1/2017 8/1/2017 -2.19 1 3/1/2016 3/1/2016 -2.19 1 12/1/2012 12/1/2012 -2.06 1 6/1/2003 6/1/2003 -2.04 1 1/1/2011 1/1/2011 -1.92 1 10/1/1995 10/1/1995 -1.85 1 5/1/2016 5/1/2016 -1.67 2 2/1/2019 3/1/2019 -1.04 1 5/1/1996 5/1/1996 -0.97 1 5/1/2019 5/1/2019 -0.93 1 11/1/2007 11/1/2007 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods340.00338.00335.00329.00323.00317.00305.00293.00281.00 Percent Profitable55.5955.6258.2160.4961.3064.3560.6667.2469.40 Average Period Return0.872.685.359.5512.7417.0523.7731.5538.67 Average Gain6.2812.3318.5228.0935.1842.1856.2963.9974.47 Average Loss-5.90-9.41-13.01-18.82-22.81-28.33-26.37-35.02-42.49 Best Period39.3161.8586.07128.87145.40191.94182.12249.13444.66 Worst Period-33.82-55.15-70.16-69.29-57.82-59.73-66.79-66.89-70.99 Standard Deviation8.0714.9521.9331.6536.6145.0752.6264.4079.66 Gain Standard Deviation5.4011.0916.8224.9126.7635.1139.7451.7668.94 Loss Standard Deviation5.269.3113.3215.9216.2816.3921.2923.6921.27 Sharpe Ratio (1%)0.100.160.220.270.310.330.390.430.42 Average Gain / Average Loss1.061.311.421.491.541.492.131.831.75 Profit / Loss Ratio1.331.641.982.282.442.693.293.753.97 Downside Deviation (10%)5.479.4013.1918.0121.4625.1229.7535.5140.89 Downside Deviation (5%)5.308.9212.2415.9618.1820.5722.7326.1328.81 Downside Deviation (0%)5.268.8012.0115.4717.4119.5221.2224.1626.25 Sortino Ratio (10%)0.090.150.220.250.240.270.270.280.27 Sortino Ratio (5%)0.150.270.400.540.620.730.911.051.17 Sortino Ratio (0%)0.170.300.450.620.730.871.121.311.47 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 4 5.06 4/2015 Diversified Trader Index Month 7 5.06 4/2015 Discretionary Trader Index Month 2 12.32 2/2014 IASG CTA Index Month 5 12.32 2/2014 Diversified Trader Index Month 5 12.32 2/2014 Discretionary Trader Index Month 1 11.84 8/2013 IASG CTA Index Month 2 11.84 8/2013 Diversified Trader Index Month 2 11.84 8/2013 Discretionary Trader Index Month 6 5.60 1/2013 IASG CTA Index Month 6 10.76 8/2012 Discretionary Trader Index Month 5 10.76 8/2012 Diversified Trader Index Month 3 10.76 8/2012 Diversified Trader Index Month 8 12.75 7/2012 Discretionary Trader Index Month 9 12.75 7/2012 Discretionary Trader Index Month 8 11.95 6/2012 Diversified Trader Index Month 5 11.95 6/2012 Discretionary Trader Index Month 5 6.36 2/2012 Discretionary Trader Index Month 10 6.30 1/2012 Diversified Trader Index Month 3 12.13 10/2011 IASG CTA Index Month 4 12.13 10/2011 Discretionary Trader Index Month 4 12.13 10/2011 Discretionary Trader Index Month 5 7.89 8/2011 Discretionary Trader Index Month 9 9.93 7/2011 Discretionary Trader Index Month 5 9.99 4/2011 Discretionary Trader Index Month 6 8.17 3/2011 Diversified Trader Index Month 6 8.17 3/2011 IASG CTA Index Month 10 8.17 3/2011 Discretionary Trader Index Month 8 6.28 2/2011 Diversified Trader Index Month 9 19.06 12/2010 Discretionary Trader Index Month 5 19.06 12/2010 Discretionary Trader Index Month 4 2.90 11/2010 Diversified Trader Index Month 7 2.90 11/2010 Diversified Trader Index Month 3 23.00 9/2010 Discretionary Trader Index Month 5 23.00 9/2010 IASG CTA Index Month 6 23.00 9/2010 Diversified Trader Index Month 6 9.50 7/2010 Discretionary Trader Index Month 3 9.50 7/2010 IASG CTA Index Month 8 9.50 7/2010 Discretionary Trader Index Month 7 4.44 3/2010 Discretionary Trader Index Month 8 5.47 2/2010 IASG CTA Index Annual 8 64.56 2009 Discretionary Trader Index Month 3 14.61 11/2009 Discretionary Trader Index Month 4 7.90 10/2009 IASG CTA Index Month 7 7.90 10/2009 Diversified Trader Index Month 6 7.90 10/2009 Discretionary Trader Index Month 7 7.70 9/2009 Discretionary Trader Index Month 4 5.06 7/2009 Diversified Trader Index Month 2 39.31 5/2009 IASG CTA Index Month 3 39.31 5/2009 Discretionary Trader Index Month 3 39.31 5/2009 Diversified Trader Index Month 10 4.03 4/2009 IASG CTA Index Month 3 11.68 3/2009 Diversified Trader Index Month 2 11.68 3/2009 Discretionary Trader Index Month 3 11.68 3/2009 Discretionary Trader Index Month 3 17.74 6/2008 IASG CTA Index Month 6 17.74 6/2008 Diversified Trader Index Month 5 17.74 6/2008 Discretionary Trader Index Month 3 8.17 5/2008 Diversified Trader Index Month 10 8.17 5/2008 Discretionary Trader Index Month 3 19.50 2/2008 Discretionary Trader Index Month 5 9.71 1/2008 IASG CTA Index 5 Year 6 234.17 2002 - 2007 Discretionary Trader Index Month 6 10.87 12/2007 Diversified Trader Index Month 6 10.87 12/2007 IASG CTA Index Month 10 10.87 12/2007 IASG CTA Index Annual 9 53.81 2007 IASG CTA Index 3 Year 9 100.13 2004 - 2007 Discretionary Trader Index Month 4 9.07 10/2007 Discretionary Trader Index Month 3 18.47 9/2007 Discretionary Trader Index Month 5 3.42 7/2007 Diversified Trader Index Month 4 7.55 2/2007 IASG CTA Index Month 6 7.55 2/2007 Discretionary Trader Index Month 4 7.55 2/2007 Discretionary Trader Index Month 4 12.65 11/2006 Diversified Trader Index Month 5 12.65 11/2006 IASG CTA Index Month 7 12.65 11/2006 Discretionary Trader Index Month 5 9.24 10/2006 Diversified Trader Index Month 8 9.24 10/2006 Discretionary Trader Index Month 7 3.37 7/2006 Diversified Trader Index Month 5 3.37 7/2006 Discretionary Trader Index Month 2 15.05 4/2006 Discretionary Trader Index Month 5 9.33 3/2006 Discretionary Trader Index Month 8 6.24 1/2006 Diversified Trader Index Month 4 11.64 12/2005 IASG CTA Index Month 5 11.64 12/2005 IASG CTA Index 3 Year 7 114.55 2002 - 2005 Discretionary Trader Index Month 3 11.64 12/2005 Discretionary Trader Index Month 5 4.62 8/2005 Discretionary Trader Index Month 3 5.87 7/2005 Diversified Trader Index Month 4 5.87 7/2005 IASG CTA Index Month 4 5.87 7/2005 Discretionary Trader Index Month 8 3.06 6/2005 Diversified Trader Index Month 9 4.64 3/2005 Discretionary Trader Index Month 4 4.64 3/2005 IASG CTA Index Month 4 16.29 2/2005 Discretionary Trader Index Month 3 16.29 2/2005 Diversified Trader Index Month 4 16.29 2/2005 Diversified Trader Index Month 8 0.32 1/2005 Discretionary Trader Index Month 8 0.32 1/2005 Discretionary Trader Index Month 8 2.22 11/2004 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