Alee Capital Management, LLC : Mistral Program

Year-to-Date
12.20%
Apr Performance
-1.86%
Min Investment
$ 2,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.80%
Sharpe (RFR=1%)
0.55
CAROR
10.57%
Assets
$ 10.2M
Worst DD
-27.59
S&P Correlation
-0.04

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/1999
Mistral Program -1.86 -8.79 -12.20 -3.32 -10.93 11.54 59.98 671.58
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 127.85
+/- S&P 500 -5.79 -17.73 -29.71 -14.57 -52.12 -43.24 -174.06 543.73

Strategy Description

Summary

*Performance results prior to October 2011 reflect the results of the Mistral and Poniente programs which were managed by Scully Capital Management, LLC (SCM). Please see the accompanying “Notes to Performance Tables” for full details.Alee Capital Management, LLC seeks to deploy high-alpha... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.50
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
1600 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
22.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
4-12 Months
1.00%
1-3 Months
12.00%
1-30 Days
86.00%
Intraday
1.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
16.00%
Energy
16.00%
Grains
16.00%
Softs
16.00%
Precious Metals
11.00%
Interest Rates
10.00%
Stock Indices
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

*Performance results prior to October 2011 reflect the results of the Mistral and Poniente programs which were managed by Scully Capital Management, LLC (SCM). Please see the accompanying “Notes to Performance Tables” for full details.Alee Capital Management, LLC seeks to deploy high-alpha strategies to exploit market inefficiencies through efficient diversification tempered with disciplined risk management. Our products, combined with conventional stock/bond portfolios, potentially generate higher portfolio returns with lower overall risks.

Investment Strategy

The Mistral Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets. The Program utilizes distinct algorithms and employs a highly disciplined, rule-based trading approach that leads to consistent, rational trading decisions despite often irrational market conditions. Long or short positions are initiated where risk is determined to be low relative to potential returns. The Program employs sophisticated market-specific and inter-market risk management strategies in an effort to mitigate portfolio volatility and drawdown. The Program emphasizes a wide range of diversification that include stock indices, fixed income, metals, foods & fibers, energies, currencies and agricultural products, and trades typically last from several days to several weeksMistral Program investment performance reflects assets allocated to the Mistral Program by the Sirocco II Fund, LLC, a privately offered fund managed by Alee Capital Management, LLC (ACM) investing in equity ETFs, fixed income instruments and futures. The Mistral Program has been traded as a segregated futures account with a distinct allocation of capital from the Sirocco II Fund, LLC, which may be adjusted upon subscriptions to and withdrawals from the Sirocco II Fund, LLC and may also be adjusted from time to time in the discretion of ACM. In order to fairly reflect the performance that might have been achieved on a fully funded managed futures account, certain pro forma adjustments have been made to the actual trading results of the Mistral Program. Performance reflects pro forma management fees of 0.0833% per month through 12/31/2006 and 0.1667% thereafter, based on net account value at month-end. Performance reflects pro forma quarterly incentive fees of 20% of new trading profits, subject to a high water mark. Results include interest earned on funds on deposit with brokers plus pro forma interest on notional funds at 90% of the 3-month Treasury bill rate through 12/31/2010 with no pro forma interest thereafter. Performance results prior to October 2011 reflect the results of the Sirocco Fund, LLC, which was managed and traded at Scully Capital Management, LLC (SCM). Both William McDonagh, President of ACM and Mark Cison, Vice President of ACM, were employed at Scully Capital Management and were fundamental in the management and trading of the assets at SCM. No trading took place in the Fund from 9/30/2011 until 8/1/2012, the time period between the closing of the Sirocco Fund, LLC at Scully Capital Management, LLC and the opening of the Sirocco II Fund, LLC at Alee Capital Management, LLC.

Risk Management

The Mistral trading strategy was developed conjointly with the risk management systems employed. The policies start at the trade level with one percent risk to exit on new trades; sector risk is limited to 3%. The program cuts positions by 20% when overall risk rises above 25% of the trade equity (this is usually during periods of high returns). Drawdowns are mitigated by reducing trading size by 10% for each 5% loss.

   

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
-27.59 51 - 1/1/2015 4/1/2019
-22.49 6 14 10/1/2001 4/1/2002
-21.27 5 3 2/1/2008 7/1/2008
-17.49 20 21 4/1/2011 12/1/2012
-16.93 8 3 11/1/2009 7/1/2010
-16.20 11 10 2/1/2004 1/1/2005
-11.27 4 3 3/1/2001 7/1/2001
-10.91 3 2 12/1/2008 3/1/2009
-9.79 1 3 10/1/2003 11/1/2003
-9.44 5 4 11/1/1999 4/1/2000
-7.96 2 2 8/1/2000 10/1/2000
-7.45 1 1 9/1/1999 10/1/1999
-7.29 2 2 6/1/2003 8/1/2003
-6.85 1 2 12/1/2000 1/1/2001
-5.85 2 2 1/1/2007 3/1/2007
-5.84 1 3 12/1/2010 1/1/2011
-5.48 2 1 1/1/2006 3/1/2006
-5.10 1 2 8/1/2009 9/1/2009
-3.71 1 1 7/1/2007 8/1/2007
-3.69 1 1 7/1/1999 8/1/1999
-2.70 3 1 5/1/2006 8/1/2006
-1.72 1 1 10/1/2010 11/1/2010
-1.08 1 2 4/1/1999 5/1/1999
-0.72 1 1 5/1/2007 6/1/2007
-0.58 1 1 5/1/2009 6/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
75.58 6 9/1/2007 2/1/2008
48.46 5 9/1/2014 1/1/2015
42.98 5 8/1/2008 12/1/2008
36.51 6 8/1/2005 1/1/2006
31.94 3 8/1/2010 10/1/2010
24.56 3 4/1/2003 6/1/2003
23.55 2 4/1/2006 5/1/2006
22.37 2 11/1/2000 12/1/2000
21.77 3 5/1/2002 7/1/2002
18.19 2 9/1/2003 10/1/2003
17.63 2 4/1/2009 5/1/2009
16.01 2 2/1/2001 3/1/2001
14.30 3 9/1/2004 11/1/2004
13.39 3 8/1/2001 10/1/2001
13.13 4 1/1/1999 4/1/1999
13.11 3 5/1/2013 7/1/2013
12.64 5 9/1/2006 1/1/2007
12.22 2 10/1/2009 11/1/2009
11.33 1 4/1/2011 4/1/2011
11.26 2 11/1/2016 12/1/2016
11.22 2 12/1/2017 1/1/2018
10.77 3 5/1/2017 7/1/2017
10.71 1 11/1/1999 11/1/1999
9.46 1 12/1/2010 12/1/2010
9.14 1 7/1/2014 7/1/2014
8.76 2 5/1/2000 6/1/2000
8.32 2 4/1/2007 5/1/2007
8.19 1 9/1/1999 9/1/1999
7.96 1 12/1/2003 12/1/2003
7.57 1 2/1/2005 2/1/2005
7.34 3 8/1/2018 10/1/2018
7.19 1 2/1/2004 2/1/2004
6.90 1 2/1/2014 2/1/2014
6.69 2 8/1/2011 9/1/2011
6.23 4 9/1/2013 12/1/2013
6.16 2 7/1/2009 8/1/2009
6.16 2 5/1/2018 6/1/2018
5.91 2 6/1/1999 7/1/1999
5.26 1 6/1/2010 6/1/2010
4.83 1 1/1/2013 1/1/2013
4.68 1 2/1/2003 2/1/2003
4.51 1 8/1/2000 8/1/2000
4.47 1 11/1/2015 11/1/2015
4.23 1 2/1/2011 2/1/2011
4.08 1 8/1/2015 8/1/2015
3.92 2 5/1/2005 6/1/2005
3.14 2 6/1/2016 7/1/2016
2.48 1 3/1/2000 3/1/2000
1.68 3 2/1/2016 4/1/2016
1.66 1 12/1/2018 12/1/2018
1.54 1 7/1/2007 7/1/2007
1.49 1 3/1/2002 3/1/2002
1.42 2 8/1/2012 9/1/2012
1.10 1 5/1/2001 5/1/2001
0.65 1 3/1/2013 3/1/2013
0.19 1 1/1/2010 1/1/2010
0.08 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.49 4 11/1/2001 2/1/2002
-21.27 5 3/1/2008 7/1/2008
-16.57 6 2/1/2015 7/1/2015
-16.20 3 5/1/2011 7/1/2011
-15.12 6 3/1/2004 8/1/2004
-14.40 3 2/1/2018 4/1/2018
-13.63 2 12/1/2004 1/1/2005
-12.20 4 1/1/2019 4/1/2019
-11.46 6 8/1/2002 1/1/2003
-11.32 2 3/1/2014 4/1/2014
-11.15 4 2/1/2010 5/1/2010
-10.91 3 1/1/2009 3/1/2009
-10.59 4 8/1/2017 11/1/2017
-9.79 1 11/1/2003 11/1/2003
-9.24 4 1/1/2017 4/1/2017
-9.00 3 10/1/2012 12/1/2012
-8.32 2 12/1/2015 1/1/2016
-8.13 1 3/1/2003 3/1/2003
-7.96 2 9/1/2000 10/1/2000
-7.45 1 10/1/1999 10/1/1999
-7.29 2 7/1/2003 8/1/2003
-6.85 1 1/1/2001 1/1/2001
-6.75 1 4/1/2001 4/1/2001
-6.22 1 4/1/2000 4/1/2000
-5.92 1 12/1/2009 12/1/2009
-5.88 2 6/1/2001 7/1/2001
-5.85 2 2/1/2007 3/1/2007
-5.84 1 1/1/2011 1/1/2011
-5.80 3 8/1/2016 10/1/2016
-5.77 3 12/1/1999 2/1/2000
-5.76 1 7/1/2010 7/1/2010
-5.48 2 2/1/2006 3/1/2006
-5.10 1 9/1/2009 9/1/2009
-4.92 1 6/1/2014 6/1/2014
-4.91 1 11/1/2018 11/1/2018
-4.47 1 2/1/2013 2/1/2013
-4.20 2 3/1/2005 4/1/2005
-3.88 2 9/1/2015 10/1/2015
-3.77 1 1/1/2014 1/1/2014
-3.72 1 8/1/2013 8/1/2013
-3.71 1 8/1/2007 8/1/2007
-3.69 1 8/1/1999 8/1/1999
-3.03 1 3/1/2011 3/1/2011
-2.72 1 4/1/2002 4/1/2002
-2.70 3 6/1/2006 8/1/2006
-1.72 1 11/1/2010 11/1/2010
-1.56 1 1/1/2004 1/1/2004
-1.50 1 7/1/2005 7/1/2005
-1.25 1 7/1/2000 7/1/2000
-1.08 1 5/1/1999 5/1/1999
-0.72 1 6/1/2007 6/1/2007
-0.58 1 6/1/2009 6/1/2009
-0.42 1 5/1/2016 5/1/2016
-0.16 1 4/1/2013 4/1/2013
-0.09 1 8/1/2014 8/1/2014
-0.04 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods244.00242.00239.00233.00227.00221.00209.00197.00185.00
Percent Profitable49.1855.7962.3472.1077.5381.0090.4396.95100.00
Average Period Return1.003.036.1212.4019.4527.5946.0270.5999.79
Average Gain5.289.5513.5519.7827.0735.6451.7573.3199.79
Average Loss-3.43-5.62-6.54-6.67-6.83-6.68-8.05-16.17
Best Period26.0235.5375.5879.3695.79134.13197.81269.08300.39
Worst Period-10.64-16.99-22.49-20.06-17.97-19.14-18.35-22.043.87
Standard Deviation5.7210.0914.0618.7924.2131.4047.9367.8584.53
Gain Standard Deviation4.818.4012.4616.9022.1829.5146.8467.1084.53
Loss Standard Deviation2.564.334.954.744.474.705.338.23
Sharpe Ratio (1%)0.160.280.400.610.740.810.900.981.12
Average Gain / Average Loss1.541.702.072.973.965.336.434.53
Profit / Loss Ratio1.622.323.637.6713.6722.7360.78144.32
Downside Deviation (10%)3.155.186.156.787.418.068.567.674.27
Downside Deviation (5%)2.974.665.124.754.484.303.793.770.09
Downside Deviation (0%)2.924.534.884.313.863.552.963.11
Sortino Ratio (10%)0.190.350.591.091.602.153.536.4016.89
Sortino Ratio (5%)0.310.601.102.404.015.9511.3317.651007.95
Sortino Ratio (0%)0.340.671.252.885.047.7815.5322.68

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 1.93 10/2018
Trend Following Strategy Index Month 4 1.73 9/2018
Trend Following Strategy Index Month 8 2.28 6/2018
Systematic Trader Index Month 6 3.79 5/2018
Trend Following Strategy Index Month 4 3.79 5/2018
Diversified Trader Index Month 5 3.79 5/2018
IASG CTA Index Month 10 3.79 5/2018
Systematic Trader Index Month 9 10.63 1/2018
Trend Following Strategy Index Month 6 10.63 1/2018
Diversified Trader Index Month 8 10.63 1/2018
IASG CTA Index Month 9 10.63 1/2018
IASG CTA Index Month 3 8.21 7/2017
Trend Following Strategy Index Month 3 8.21 7/2017
Systematic Trader Index Month 3 8.21 7/2017
Diversified Trader Index Month 3 8.21 7/2017
IASG CTA Index Month 6 10.51 11/2016
Diversified Trader Index Month 5 10.51 11/2016
Trend Following Strategy Index Month 5 10.51 11/2016
Systematic Trader Index Month 4 10.51 11/2016
Trend Following Strategy Index Month 8 16.95 9/2014
Systematic Trader Index Month 10 16.95 9/2014
Diversified Trader Index Month 10 16.95 9/2014
Diversified Trader Index Month 10 9.14 7/2014
Systematic Trader Index Month 9 9.14 7/2014
Trend Following Strategy Index Month 8 9.14 7/2014
Diversified Trader Index Month 7 6.94 6/2013
Systematic Trader Index Month 6 6.94 6/2013
Trend Following Strategy Index Month 5 6.94 6/2013
IASG CTA Index Month 6 6.94 6/2013
IASG CTA Index 5 Year Rolling 6 266.18 2005 - 2010
IASG CTA Index 5 Year Rolling 3 269.06 2004 - 2009
Trend Following Strategy Index Month 4 4.11 10/2009
Systematic Trader Index Month 7 4.11 10/2009
Trend Following Strategy Index Month 8 16.57 5/2009
Systematic Trader Index Month 8 16.57 5/2009
Diversified Trader Index Month 10 16.57 5/2009
IASG CTA Index 5 Year Rolling 7 218.86 2003 - 2008
IASG CTA Index 3 Year Rolling 4 163.66 2005 - 2008
IASG CTA Index 3 Year Rolling 4 130.54 2004 - 2007
IASG CTA Index 5 Year Rolling 7 181.43 2002 - 2007
Systematic Trader Index Month 7 5.44 5/2006
IASG CTA Index Month 8 5.44 5/2006
Trend Following Strategy Index Month 6 5.44 5/2006
Diversified Trader Index Month 7 5.44 5/2006
Diversified Trader Index Month 9 17.18 4/2006
Trend Following Strategy Index Month 8 17.18 4/2006
Systematic Trader Index Month 8 17.18 4/2006
IASG CTA Index Month 9 17.18 4/2006
Diversified Trader Index Month 9 2.61 10/2005
Trend Following Strategy Index Month 10 2.61 10/2005
IASG CTA Index Month 10 7.57 2/2005
Diversified Trader Index Month 9 7.57 2/2005
Systematic Trader Index Month 6 7.57 2/2005
Trend Following Strategy Index Month 6 7.57 2/2005
Trend Following Strategy Index Month 6 13.27 10/2003
Diversified Trader Index Month 8 13.27 10/2003
Systematic Trader Index Month 7 13.27 10/2003
IASG CTA Index Month 7 1.98 6/2003
Diversified Trader Index Month 5 1.98 6/2003
Systematic Trader Index Month 5 1.98 6/2003
Trend Following Strategy Index Month 4 1.98 6/2003
Trend Following Strategy Index Month 6 6.78 4/2003
Systematic Trader Index Month 6 6.78 4/2003
IASG CTA Index Month 9 6.78 4/2003
Diversified Trader Index Month 8 6.78 4/2003
Systematic Trader Index Month 7 9.02 5/2002
Trend Following Strategy Index Month 7 9.02 5/2002
Diversified Trader Index Month 9 9.02 5/2002
IASG CTA Index Month 10 5.67 6/2000
Diversified Trader Index Month 6 5.67 6/2000
Systematic Trader Index Month 4 5.67 6/2000
Trend Following Strategy Index Month 2 5.67 6/2000
Trend Following Strategy Index Month 4 2.48 3/2000
Diversified Trader Index Month 7 2.48 3/2000
Systematic Trader Index Month 10 2.48 3/2000
IASG CTA Index Year Rolling 9 23.53 1998 - 1999
Diversified Trader Index Month 6 10.71 11/1999
Trend Following Strategy Index Month 4 10.71 11/1999
Systematic Trader Index Month 5 10.71 11/1999
IASG CTA Index Month 6 10.71 11/1999
Diversified Trader Index Month 2 8.19 9/1999
IASG CTA Index Month 3 8.19 9/1999
Trend Following Strategy Index Month 1 8.19 9/1999
Systematic Trader Index Month 1 8.19 9/1999
Trend Following Strategy Index Month 4 4.89 7/1999
IASG CTA Index Month 7 4.89 7/1999
Diversified Trader Index Month 6 4.89 7/1999
Systematic Trader Index Month 7 4.89 7/1999
Trend Following Strategy Index Month 9 1.57 3/1999
Systematic Trader Index Month 9 7.65 2/1999
Trend Following Strategy Index Month 7 7.65 2/1999
Diversified Trader Index Month 9 7.65 2/1999
Trend Following Strategy Index Month 8 0.00 1/1999

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