AIS Capital Management, L.P. : MAAP (3x-6x) Composite

Year-to-Date
3.69%
Sep Performance
3.32%
Min Investment
$ 2,000k
Mgmt. Fee
4.00%
Perf. Fee
20.00%
Annualized Vol
43.40%
Sharpe (RFR=1%)
0.29
CAROR
3.99%
Assets
$ 13.3M
Worst DD
-93.66
S&P Correlation
0.25

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
7/1992
MAAP (3x-6x) Composite 3.32 10.45 -3.69 -13.17 -55.47 -85.53 -82.46 168.43
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 64.73 492.89
+/- S&P 500 1.39 6.49 -16.04 -29.19 -83.01 -160.13 -147.20 -324.46

Strategy Description

Summary

The 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... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
4.00
Management Fee
4.00%
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
400 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
N/A
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%
Strategy Pie Chart

Composition

Currency Futures
17.00%
Energy
17.00%
Grains
17.00%
Stock Indices
16.00%
Interest Rates
16.00%
Precious Metals
14.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

The 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 Strategy

The 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 combinations

Risk Management

When 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

   

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
-93.66 108 - 6/1/2008 6/1/2017
-63.78 19 63 2/1/1997 9/1/1998
-37.56 5 12 4/1/2006 9/1/2006
-27.89 5 2 9/1/1995 2/1/1996
-25.10 2 3 12/1/1993 2/1/1994
-21.66 2 2 9/1/2005 11/1/2005
-21.09 5 3 7/1/1994 12/1/1994
-20.82 3 4 3/1/2004 6/1/2004
-16.44 2 1 11/1/2004 1/1/2005
-14.66 1 2 1/1/2006 2/1/2006
-14.46 1 2 6/1/1996 7/1/1996
-9.96 1 2 2/1/2008 3/1/2008
-8.81 1 3 3/1/2005 4/1/2005
-8.40 2 1 2/1/1993 4/1/1993
-6.13 1 2 9/1/1992 10/1/1992
-1.41 1 1 10/1/2007 11/1/2007
-1.40 1 1 4/1/1996 5/1/1996
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Consecutive Gains

Run-up Length (Mos.) Start End
143.76 9 7/1/2003 3/1/2004
123.34 4 9/1/2010 12/1/2010
105.52 8 5/1/1993 12/1/1993
102.36 3 3/1/2009 5/1/2009
72.08 3 12/1/2007 2/1/2008
71.22 9 1/1/1995 9/1/1995
69.82 4 6/1/2012 9/1/2012
57.65 7 8/1/1996 2/1/1997
56.79 5 3/1/1994 7/1/1994
52.26 3 9/1/2009 11/1/2009
45.70 3 4/1/2008 6/1/2008
44.24 2 9/1/2007 10/1/2007
43.39 3 2/1/2011 4/1/2011
41.75 3 12/1/2002 2/1/2003
40.49 2 3/1/2006 4/1/2006
40.13 5 7/1/2004 11/1/2004
38.99 2 3/1/1996 4/1/1996
36.16 2 10/1/2006 11/1/2006
35.01 4 11/1/1999 2/1/2000
34.95 3 10/1/1998 12/1/1998
34.66 2 2/1/2005 3/1/2005
29.47 4 6/1/2002 9/1/2002
29.07 2 12/1/2005 1/1/2006
28.44 2 7/1/2011 8/1/2011
28.44 5 5/1/2005 9/1/2005
26.85 3 6/1/1999 8/1/1999
23.64 3 2/1/1999 4/1/1999
22.49 3 2/1/2014 4/1/2014
21.54 2 5/1/2000 6/1/2000
21.46 2 1/1/2012 2/1/2012
21.28 3 2/1/2010 4/1/2010
20.42 2 2/1/2001 3/1/2001
18.23 1 10/1/2011 10/1/2011
17.65 1 8/1/2000 8/1/2000
17.27 1 7/1/1998 7/1/1998
16.06 2 11/1/1997 12/1/1997
15.56 1 4/1/2016 4/1/2016
14.42 4 11/1/1992 2/1/1993
14.20 1 7/1/2010 7/1/2010
13.24 1 6/1/1996 6/1/1996
12.40 2 1/1/2007 2/1/2007
12.06 2 1/1/2016 2/1/2016
11.95 3 12/1/2016 2/1/2017
10.55 1 7/1/2017 7/1/2017
10.45 2 7/1/2013 8/1/2013
10.26 1 1/1/1996 1/1/1996
9.83 1 1/1/2013 1/1/2013
9.39 3 8/1/2001 10/1/2001
9.22 1 10/1/2000 10/1/2000
9.19 1 5/1/2003 5/1/2003
7.79 1 4/1/2015 4/1/2015
7.74 3 5/1/2007 7/1/2007
6.89 1 9/1/2016 9/1/2016
6.52 1 1/1/2015 1/1/2015
6.20 1 7/1/2009 7/1/2009
5.43 1 3/1/2002 3/1/2002
5.29 1 7/1/2006 7/1/2006
5.15 3 7/1/1992 9/1/1992
4.09 1 6/1/2016 6/1/2016
3.87 1 8/1/2015 8/1/2015
3.32 1 9/1/2017 9/1/2017
3.01 1 4/1/2012 4/1/2012
2.77 1 6/1/2014 6/1/2014
2.27 1 10/1/1994 10/1/1994
2.12 1 9/1/1997 9/1/1997
2.06 1 12/1/2013 12/1/2013
1.41 1 6/1/1997 6/1/1997
1.05 1 12/1/2001 12/1/2001
0.89 1 11/1/2012 11/1/2012
0.25 1 11/1/1995 11/1/1995
0.24 1 3/1/2013 3/1/2013
0.08 1 6/1/2001 6/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-89.67 8 7/1/2008 2/1/2009
-56.17 6 7/1/2014 12/1/2014
-43.98 1 9/1/2011 9/1/2011
-42.58 6 1/1/1998 6/1/1998
-35.27 1 5/1/2012 5/1/2012
-32.74 2 3/1/2003 4/1/2003
-31.43 2 8/1/2006 9/1/2006
-30.55 2 12/1/2009 1/1/2010
-29.44 2 8/1/1998 9/1/1998
-28.93 3 9/1/2013 11/1/2013
-27.11 2 10/1/2002 11/1/2002
-27.01 4 9/1/2015 12/1/2015
-25.10 3 4/1/2013 6/1/2013
-25.10 2 1/1/1994 2/1/1994
-23.67 2 5/1/2011 6/1/2011
-21.81 3 5/1/2015 7/1/2015
-21.66 2 10/1/2005 11/1/2005
-21.45 4 3/1/2017 6/1/2017
-20.82 3 4/1/2004 6/1/2004
-19.71 3 3/1/1997 5/1/1997
-18.71 1 2/1/1996 2/1/1996
-18.09 2 8/1/1994 9/1/1994
-16.57 2 3/1/2000 4/1/2000
-16.56 1 2/1/2013 2/1/2013
-16.44 2 12/1/2004 1/1/2005
-16.25 1 12/1/1995 12/1/1995
-16.06 2 5/1/2010 6/1/2010
-15.54 2 4/1/2001 5/1/2001
-14.66 1 2/1/2006 2/1/2006
-14.46 1 7/1/1996 7/1/1996
-14.28 1 12/1/2006 12/1/2006
-14.16 2 7/1/1997 8/1/1997
-13.57 1 7/1/2000 7/1/2000
-13.51 2 5/1/2006 6/1/2006
-13.03 2 7/1/2016 8/1/2016
-12.99 1 6/1/2009 6/1/2009
-12.87 2 9/1/1999 10/1/1999
-11.21 2 2/1/2015 3/1/2015
-10.65 1 10/1/2012 10/1/2012
-10.62 1 8/1/2010 8/1/2010
-10.61 2 10/1/2016 11/1/2016
-10.50 1 5/1/1999 5/1/1999
-9.96 1 3/1/2008 3/1/2008
-8.86 2 4/1/2002 5/1/2002
-8.81 1 4/1/2005 4/1/2005
-8.42 2 11/1/2011 12/1/2011
-8.40 2 3/1/1993 4/1/1993
-7.98 1 10/1/1997 10/1/1997
-6.69 2 1/1/2002 2/1/2002
-6.42 1 1/1/2014 1/1/2014
-6.41 1 9/1/2000 9/1/2000
-6.13 1 10/1/1992 10/1/1992
-6.12 3 11/1/2000 1/1/2001
-6.00 1 8/1/2009 8/1/2009
-5.93 1 1/1/1999 1/1/1999
-5.80 2 11/1/1994 12/1/1994
-5.13 1 5/1/2014 5/1/2014
-4.68 1 3/1/2012 3/1/2012
-4.39 2 3/1/2007 4/1/2007
-4.18 1 10/1/1995 10/1/1995
-3.95 1 11/1/2001 11/1/2001
-3.76 1 12/1/2012 12/1/2012
-3.62 1 8/1/2007 8/1/2007
-3.55 1 3/1/2016 3/1/2016
-3.54 1 6/1/2003 6/1/2003
-3.30 1 8/1/2017 8/1/2017
-3.25 1 7/1/2001 7/1/2001
-2.86 1 1/1/2011 1/1/2011
-2.56 1 5/1/2016 5/1/2016
-1.41 1 11/1/2007 11/1/2007
-1.40 1 5/1/1996 5/1/1996
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods303.00301.00298.00292.00286.00280.00268.00256.00244.00
Percent Profitable56.7753.4956.7158.2258.7459.2957.8464.0667.21
Average Period Return1.133.697.9716.4422.7731.4644.0061.2075.37
Average Gain9.4519.7629.5549.4464.0482.71108.08121.36133.81
Average Loss-9.78-14.79-20.30-29.54-35.99-43.16-43.88-46.03-44.42
Best Period61.29102.36144.70225.23258.22378.92355.13484.441028.08
Worst Period-49.02-73.12-86.42-86.45-76.18-80.45-84.06-84.58-87.60
Standard Deviation12.5322.8034.3152.8463.2581.1996.03118.59153.52
Gain Standard Deviation8.1016.1127.3143.0548.0365.8775.81106.69155.61
Loss Standard Deviation8.1813.4318.2021.5622.9021.5424.6029.5830.25
Sharpe Ratio (1%)0.080.150.220.290.340.360.430.480.46
Average Gain / Average Loss0.971.341.461.671.781.922.462.643.01
Profit / Loss Ratio1.271.541.912.332.532.793.384.706.18
Downside Deviation (10%)8.5814.2419.1626.2931.6136.7441.9544.4945.04
Downside Deviation (5%)8.4113.7318.1624.1328.1931.9134.3634.8233.17
Downside Deviation (0%)8.3713.6017.9123.6027.3730.7532.6332.7530.71
Sortino Ratio (10%)0.080.170.290.440.480.580.670.891.06
Sortino Ratio (5%)0.120.250.410.640.750.921.191.642.12
Sortino Ratio (0%)0.140.270.440.700.831.021.351.872.45

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 5 3.87 8/2015
IASG CTA Index Month 5 7.79 4/2015
Discretionary Trader Index Month 2 7.79 4/2015
Diversified Trader Index Month 2 7.79 4/2015
Discretionary Trader Index Month 10 6.52 1/2015
Diversified Trader Index Month 2 18.71 2/2014
IASG CTA Index Month 2 18.71 2/2014
Discretionary Trader Index Month 1 18.71 2/2014
Diversified Trader Index Month 10 3.95 8/2013
Discretionary Trader Index Month 8 3.95 8/2013
Diversified Trader Index Month 10 6.25 7/2013
Discretionary Trader Index Month 4 6.25 7/2013
Discretionary Trader Index Month 1 9.83 1/2013
IASG CTA Index Month 8 9.83 1/2013
Diversified Trader Index Month 7 9.83 1/2013
Diversified Trader Index Month 1 18.72 8/2012
IASG CTA Index Month 2 18.72 8/2012
Discretionary Trader Index Month 2 18.72 8/2012
Discretionary Trader Index Month 4 18.84 7/2012
Diversified Trader Index Month 4 18.84 7/2012
IASG CTA Index Month 7 18.84 7/2012
Discretionary Trader Index Month 3 19.00 6/2012
IASG CTA Index Month 3 19.00 6/2012
Diversified Trader Index Month 1 19.00 6/2012
Discretionary Trader Index Month 1 10.74 2/2012
IASG CTA Index Month 5 10.74 2/2012
Diversified Trader Index Month 5 10.74 2/2012
Discretionary Trader Index Month 4 9.68 1/2012
Diversified Trader Index Month 10 9.68 1/2012
IASG CTA Index 3 Year Rolling 7 171.70 2008 - 2011
Diversified Trader Index Month 2 18.23 10/2011
IASG CTA Index Month 3 18.23 10/2011
Discretionary Trader Index Month 3 18.23 10/2011
Discretionary Trader Index Month 3 11.40 8/2011
Discretionary Trader Index Month 3 15.30 7/2011
Diversified Trader Index Month 7 15.30 7/2011
IASG CTA Index Month 9 15.30 7/2011
IASG CTA Index Month 7 15.39 4/2011
Diversified Trader Index Month 6 15.39 4/2011
Discretionary Trader Index Month 2 15.39 4/2011
Diversified Trader Index Month 1 12.61 3/2011
IASG CTA Index Month 5 12.61 3/2011
Discretionary Trader Index Month 4 12.61 3/2011
Discretionary Trader Index Month 4 10.35 2/2011
Diversified Trader Index Month 7 10.35 2/2011
Discretionary Trader Index Month 3 33.13 12/2010
IASG CTA Index Month 3 33.13 12/2010
IASG CTA Index Year Rolling 6 66.29 2009 - 2010
Diversified Trader Index Month 1 33.13 12/2010
Discretionary Trader Index Month 2 4.45 11/2010
Diversified Trader Index Month 3 4.45 11/2010
IASG CTA Index Month 7 4.45 11/2010
Diversified Trader Index Month 8 17.97 10/2010
Discretionary Trader Index Month 6 17.97 10/2010
IASG CTA Index Month 2 36.15 9/2010
Discretionary Trader Index Month 2 36.15 9/2010
Diversified Trader Index Month 1 36.15 9/2010
Diversified Trader Index Month 1 14.20 7/2010
IASG CTA Index Month 2 14.20 7/2010
Discretionary Trader Index Month 2 14.20 7/2010
Discretionary Trader Index Month 7 4.60 4/2010
Discretionary Trader Index Month 4 6.85 3/2010
Discretionary Trader Index Month 4 8.51 2/2010
Diversified Trader Index Month 6 8.51 2/2010
IASG CTA Index Month 10 8.51 2/2010
IASG CTA Index Year Rolling 4 97.26 2008 - 2009
Discretionary Trader Index Month 2 22.96 11/2009
Diversified Trader Index Month 7 22.96 11/2009
IASG CTA Index Month 8 22.96 11/2009
IASG CTA Index Month 3 11.39 10/2009
Diversified Trader Index Month 2 11.39 10/2009
Discretionary Trader Index Month 2 11.39 10/2009
IASG CTA Index Month 6 11.17 9/2009
Diversified Trader Index Month 3 11.17 9/2009
Discretionary Trader Index Month 3 11.17 9/2009
Discretionary Trader Index Month 3 6.20 7/2009
Diversified Trader Index Month 8 6.20 7/2009
IASG CTA Index Month 9 6.20 7/2009
Discretionary Trader Index Month 1 61.29 5/2009
Diversified Trader Index Month 1 61.29 5/2009
IASG CTA Index Month 1 61.29 5/2009
Diversified Trader Index Month 6 5.87 4/2009
Discretionary Trader Index Month 5 5.87 4/2009
Discretionary Trader Index Month 1 18.51 3/2009
IASG CTA Index Month 1 18.51 3/2009
Diversified Trader Index Month 1 18.51 3/2009
Discretionary Trader Index Month 1 26.11 6/2008
Diversified Trader Index Month 1 26.11 6/2008
IASG CTA Index Month 1 26.11 6/2008
Discretionary Trader Index Month 1 11.96 5/2008
IASG CTA Index Month 6 11.96 5/2008
Diversified Trader Index Month 6 11.96 5/2008
Discretionary Trader Index Month 10 3.19 4/2008
Diversified Trader Index Month 6 29.12 2/2008
IASG CTA Index Month 6 29.12 2/2008
Discretionary Trader Index Month 1 29.12 2/2008
Discretionary Trader Index Month 1 14.76 1/2008
IASG CTA Index Month 6 16.13 12/2007
Discretionary Trader Index Month 4 16.13 12/2007
Diversified Trader Index Month 3 16.13 12/2007

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