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/ Alder Capital DAC / CALM Eurozone Equity Program

Alder Capital DAC : CALM Eurozone Equity Program

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Year-to-Date
16.34%
Dec Performance
0.62%
Min Investment
€ 100k
Mgmt. Fee
0.50%
Perf. Fee
0%
Annualized Vol
8.08%
Sharpe (RFR=1%)
-0.04
CAROR
0.39%
Assets
€ 9.1M
Worst DD
-12.49
S&P Correlation
0.67
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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 Dec Qtr 2019 1yr 3yr 5yr 10yr Since
5/2015
CALM Eurozone Equity Program 0.62 2.82 16.34 16.34 11.23 - - 1.84
S&P 500 2.86 8.53 28.87 28.87 42.84 - - 51.75
+/- S&P 500 -2.24 -5.71 -12.53 -12.53 -31.61 - - -49.91

Strategy Description

Summary

The CALM Eurozone Equity Program is a fully systematic investment strategy that invests in the EURO STOXX 50® Index (the “Index”). The investment strategy is designed to target and manage the volatility of the Fund within a defined range around a target of 8% standard deviation of... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 100k
Trading Level Incremental Increase
€ 100k
CTA Max Funding Factor
1.00
Management Fee
0.50%
Performance Fee
0%
Average Commission
$2.30
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
Worst Peak-to-Trough
13.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The CALM Eurozone Equity Program is a fully systematic investment strategy that invests in the EURO STOXX 50® Index (the “Index”). The investment strategy is designed to target and manage the volatility of the Fund within a defined range around a target of 8% standard deviation of daily returns per annum. The program employs proprietary volatility forecasting models to actively control exposure to the underlying Index.

Investment Strategy

The strategy aims to manage the drawdown risk seen in equity markets and thus improve the long-term risk-adjusted expected return.

Risk Management

Targeting an 8% volatility

   

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

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
-12.49 14 41 1/1/0001 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
10.99 4 1/1/2019 4/1/2019
7.59 4 2/1/2017 5/1/2017
5.89 2 9/1/2017 10/1/2017
5.53 4 9/1/2019 12/1/2019
5.23 2 10/1/2015 11/1/2015
4.12 2 6/1/2019 7/1/2019
3.83 1 12/1/2016 12/1/2016
3.21 1 4/1/2018 4/1/2018
2.62 1 7/1/2018 7/1/2018
2.54 3 3/1/2016 5/1/2016
2.25 1 1/1/2018 1/1/2018
1.72 2 7/1/2016 8/1/2016
0.78 1 10/1/2016 10/1/2016
0.40 1 7/1/2015 7/1/2015
0.39 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.29 3 12/1/2015 2/1/2016
-6.56 3 10/1/2018 12/1/2018
-6.43 2 8/1/2015 9/1/2015
-4.76 2 2/1/2018 3/1/2018
-4.34 1 6/1/2016 6/1/2016
-4.19 2 11/1/2017 12/1/2017
-3.45 1 8/1/2018 8/1/2018
-3.43 1 5/1/2019 5/1/2019
-3.35 3 6/1/2017 8/1/2017
-2.66 2 5/1/2015 6/1/2015
-2.01 2 5/1/2018 6/1/2018
-1.21 1 8/1/2019 8/1/2019
-1.00 1 1/1/2017 1/1/2017
-0.91 1 11/1/2016 11/1/2016
-0.80 1 9/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable53.5753.7049.0253.3361.5472.7361.90
Average Period Return0.060.180.470.891.392.293.32
Average Gain1.873.004.636.245.494.027.74
Average Loss-2.04-3.09-3.54-5.22-5.18-2.31-3.87
Best Period4.028.0711.4916.3410.329.0514.78
Worst Period-4.75-7.29-7.72-10.09-11.01-4.40-6.62
Standard Deviation2.333.704.936.956.103.676.93
Gain Standard Deviation1.262.143.164.252.902.594.63
Loss Standard Deviation1.282.052.223.433.461.392.25
Sharpe Ratio (1%)-0.01-0.02-0.01-0.02-0.020.080.04
Average Gain / Average Loss0.920.971.311.191.061.742.00
Profit / Loss Ratio1.061.131.261.371.704.653.25
Downside Deviation (10%)1.873.254.607.498.628.7414.16
Downside Deviation (5%)1.682.653.284.834.642.394.50
Downside Deviation (0%)1.632.502.974.243.831.392.72
Sortino Ratio (10%)-0.19-0.32-0.44-0.55-0.72-0.91-0.88
Sortino Ratio (5%)-0.01-0.03-0.01-0.02-0.030.120.06
Sortino Ratio (0%)0.040.070.160.210.361.651.22

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 5 2.63 9/2019
Stock Index Trader Index Month 4 2.63 9/2019
Stock Index Trader Index Month 5 4.02 6/2019
Stock Index Trader Index Month 1 3.68 4/2019
Stock Index Trader Index Month 1 3.68 4/2019
Stock Index Trader Index Month 8 1.10 3/2019
Stock Index Trader Index Month 3 3.10 2/2019
Stock Index Trader Index Month 3 3.10 2/2019
Stock Index Trader Index Month 3 3.10 2/2019
Stock Index Trader Index Month 3 3.10 2/2019
Stock Index Trader Index Month 7 2.62 7/2018
Systematic Trader Index Month 8 3.21 4/2018
Stock Index Trader Index Month 5 3.21 4/2018
IASG CTA Index Month 9 3.21 4/2018
IASG CTA Index Month 9 3.21 4/2018
Systematic Trader Index Month 7 3.21 4/2018
Stock Index Trader Index Month 5 3.21 4/2018

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

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