Alee Capital Management, LLC : Mistral Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance -4.59% Min Investment $ 2,500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 19.70% Sharpe (RFR=1%) 0.54 CAROR 10.24% Assets $ 9.2M Worst DD -28.51 S&P Correlation -0.05 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since1/1999 Mistral Program -4.59 - - - -9.60 -12.15 2.24 661.80 S&P 500 2.04 - - - 41.41 48.99 190.12 190.49 +/- S&P 500 -6.63 - - - -51.02 -61.14 -187.87 471.31 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% 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% 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 StrategyThe 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 ManagementThe 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. 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 -28.51 57 - 1/1/2015 10/1/2019 -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 Show More 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 6.18 2 7/1/2019 8/1/2019 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 4.28 1 5/1/2019 5/1/2019 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 Show More 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 -10.13 2 9/1/2019 10/1/2019 -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 -0.78 1 6/1/2019 6/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods250.00248.00245.00239.00233.00227.00215.00203.00191.00 Percent Profitable49.2056.0561.6370.2975.5478.8587.9194.0998.95 Average Period Return0.972.975.9011.9118.7826.6444.5468.1596.92 Average Gain5.249.3613.4019.7827.0735.6451.7573.3198.03 Average Loss-3.44-5.58-6.49-6.72-6.81-6.89-7.86-13.98-8.70 Best Period26.0235.5375.5879.3695.79134.13197.81269.08300.39 Worst Period-10.64-16.99-22.49-20.06-17.97-19.14-18.35-22.04-12.52 Standard Deviation5.699.9913.9718.8224.2631.5148.0668.2884.73 Gain Standard Deviation4.778.3712.4416.9022.1829.5146.8467.1084.47 Loss Standard Deviation2.554.314.884.744.364.564.756.385.40 Sharpe Ratio (1%)0.160.270.390.580.710.780.860.941.08 Average Gain / Average Loss1.521.682.062.953.975.176.595.2411.27 Profit / Loss Ratio1.602.313.506.9712.2719.2947.8983.441065.16 Downside Deviation (10%)3.155.146.177.017.688.529.289.505.86 Downside Deviation (5%)2.974.625.134.934.644.594.134.631.47 Downside Deviation (0%)2.924.494.894.473.993.793.183.710.97 Sortino Ratio (10%)0.180.340.560.991.461.923.104.9111.83 Sortino Ratio (5%)0.300.591.052.213.735.3610.0613.8362.55 Sortino Ratio (0%)0.330.661.212.664.717.0414.0218.3799.71 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 6 4.28 5/2019 Diversified Trader Index Month 7 4.28 5/2019 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 Diversified Trader Index Month 8 10.63 1/2018 Systematic Trader Index Month 9 10.63 1/2018 Trend Following Strategy Index Month 6 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 6 266.18 2005 - 2010 IASG CTA Index 5 Year 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 7 218.86 2003 - 2008 IASG CTA Index 3 Year 4 163.66 2005 - 2008 IASG CTA Index 3 Year 4 130.54 2004 - 2007 IASG CTA Index 5 Year 7 181.43 2002 - 2007 Systematic Trader Index Month 7 5.44 5/2006 IASG CTA Index Month 8 5.44 5/2006 Diversified Trader Index Month 7 5.44 5/2006 Trend Following Strategy Index Month 6 5.44 5/2006 Systematic Trader Index Month 8 17.18 4/2006 Trend Following Strategy Index Month 8 17.18 4/2006 IASG CTA Index Month 9 17.18 4/2006 Diversified Trader Index Month 9 17.18 4/2006 Trend Following Strategy Index Month 10 2.61 10/2005 Diversified Trader Index Month 9 2.61 10/2005 Diversified Trader Index Month 9 7.57 2/2005 IASG CTA Index Month 10 7.57 2/2005 Trend Following Strategy Index Month 6 7.57 2/2005 Systematic Trader Index Month 6 7.57 2/2005 Systematic Trader Index Month 7 13.27 10/2003 Trend Following Strategy Index Month 6 13.27 10/2003 Diversified Trader Index Month 8 13.27 10/2003 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 IASG CTA Index Month 7 1.98 6/2003 Systematic Trader Index Month 6 6.78 4/2003 Diversified Trader Index Month 8 6.78 4/2003 Trend Following Strategy Index Month 6 6.78 4/2003 IASG CTA Index Month 9 6.78 4/2003 Trend Following Strategy Index Month 7 9.02 5/2002 Diversified Trader Index Month 9 9.02 5/2002 Systematic Trader Index Month 7 9.02 5/2002 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 IASG CTA Index Month 10 5.67 6/2000 Systematic Trader Index Month 10 2.48 3/2000 Trend Following Strategy Index Month 4 2.48 3/2000 Diversified Trader Index Month 7 2.48 3/2000 IASG CTA Index Annual 9 23.53 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. x {{title}} x {{title}} Add Cancel