Alee Capital Management, LLC : Poniente Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance 0.35% Min Investment $ 2,500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.54% Sharpe (RFR=1%) 0.48 CAROR 8.55% Assets $ 0k Worst DD -36.47 S&P Correlation -0.11 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 May Qtr YTD 1yr 3yr 5yr 10yr Since1/1999 Poniente Program 0.35 - - - -3.92 -19.10 16.84 391.77 S&P 500 2.16 - - - 27.07 64.22 91.20 204.32 +/- S&P 500 -1.81 - - - -31.00 -83.32 -74.36 187.45 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 $4.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 950 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -25.00% Worst Peak-to-Trough 24.04% Sector Focus Diversified Traders Holding Periods Over 12 Months 4-12 Months 1.00% 1-3 Months 20.00% 1-30 Days 78.00% Intraday 1.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Energy 18.00% Softs 18.00% Currency Futures 17.00% Grains 17.00% Precious Metals 12.00% Interest Rates 12.00% Industrial Metals 6.00% 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 Poniente Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets and is designed to have very low correlation to equity 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 fixed income, metals, foods & fibers, energies, currencies and agricultural products while excluding equities. Trades typically last from weeks to months.Poniente Program investment performance reflects assets allocated to the Poniente Program by the Chinook II Fund, LLC, a privately offered fund managed by Alee Capital Management, LLC (ACM) investing in Real Asset ETF’s, fixed income instruments and futures. The Poniente Program has been traded as a segregated futures account with a distinct allocation of capital from the Chinook II Fund, LLC, which may be adjusted upon subscriptions to and withdrawals from the Chinook 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 Poniente 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 Chinook 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 Chinook Fund, LLC at Scully Capital Management, LLC and the opening of the Chinook II Fund, LLC at Alee Capital Management, LLC.Risk ManagementThe Poniente 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 30% 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 during periods of underperformance. 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 -36.47 39 - 1/1/2015 4/1/2018 -24.04 5 6 11/1/2009 4/1/2010 -22.04 21 31 5/1/2003 2/1/2005 -18.13 10 15 4/1/2001 2/1/2002 -16.15 3 21 4/1/2011 7/1/2011 -15.08 4 3 2/1/2014 6/1/2014 -14.85 5 3 2/1/2008 7/1/2008 -12.49 4 1 12/1/2008 4/1/2009 -10.23 4 2 5/1/2009 9/1/2009 -10.22 5 3 6/1/2013 11/1/2013 -9.26 1 3 12/1/2010 1/1/2011 -4.52 5 2 7/1/1999 12/1/1999 -4.14 1 1 9/1/2014 10/1/2014 -3.17 1 4 6/1/2000 7/1/2000 -2.62 1 1 10/1/2010 11/1/2010 -0.91 1 1 2/1/1999 3/1/1999 -0.54 1 1 5/1/1999 6/1/1999 -0.38 1 1 1/1/2001 2/1/2001 Show More Consecutive Gains Run-up Length (Mos.) Start End 83.74 6 9/1/2007 2/1/2008 65.03 5 8/1/2008 12/1/2008 30.36 3 7/1/2014 9/1/2014 27.54 3 8/1/2010 10/1/2010 25.33 3 11/1/2014 1/1/2015 25.09 3 4/1/2013 6/1/2013 20.36 2 4/1/2003 5/1/2003 18.70 6 1/1/2000 6/1/2000 16.50 2 10/1/2009 11/1/2009 15.81 1 5/1/2009 5/1/2009 15.17 3 11/1/2000 1/1/2001 12.61 1 4/1/2011 4/1/2011 12.46 1 2/1/2003 2/1/2003 12.42 4 3/1/2002 6/1/2002 11.21 4 8/1/2005 11/1/2005 10.21 3 11/1/2012 1/1/2013 10.08 1 2/1/2014 2/1/2014 9.25 4 3/1/2005 6/1/2005 9.17 1 12/1/2010 12/1/2010 9.07 4 11/1/2006 2/1/2007 8.08 2 8/1/2011 9/1/2011 7.59 4 4/1/2007 7/1/2007 7.45 2 10/1/2004 11/1/2004 7.06 2 3/1/2001 4/1/2001 6.52 2 5/1/2010 6/1/2010 6.23 2 11/1/2002 12/1/2002 6.23 1 11/1/2016 11/1/2016 6.22 1 4/1/2006 4/1/2006 5.10 1 10/1/2001 10/1/2001 4.99 2 4/1/1999 5/1/1999 4.47 1 12/1/2013 12/1/2013 4.47 1 2/1/2004 2/1/2004 4.20 2 1/1/1999 2/1/1999 4.19 1 8/1/2001 8/1/2001 4.07 2 1/1/2018 2/1/2018 3.55 2 6/1/2016 7/1/2016 3.31 1 2/1/2011 2/1/2011 3.26 1 5/1/2008 5/1/2008 3.01 2 6/1/2017 7/1/2017 2.99 1 8/1/2000 8/1/2000 2.92 1 11/1/2015 11/1/2015 2.74 1 8/1/2002 8/1/2002 2.59 1 7/1/1999 7/1/1999 2.54 1 7/1/2004 7/1/2004 2.27 1 2/1/2006 2/1/2006 1.88 1 6/1/2001 6/1/2001 1.70 1 2/1/2009 2/1/2009 1.66 1 7/1/2009 7/1/2009 1.61 1 7/1/2015 7/1/2015 1.61 1 9/1/2003 9/1/2003 1.55 1 9/1/2012 9/1/2012 1.19 1 12/1/2003 12/1/2003 0.97 2 8/1/2006 9/1/2006 0.85 1 5/1/2004 5/1/2004 0.77 1 9/1/2013 9/1/2013 0.72 1 2/1/2016 2/1/2016 0.65 1 11/1/1999 11/1/1999 0.46 1 4/1/2016 4/1/2016 0.35 1 5/1/2018 5/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -24.04 5 12/1/2009 4/1/2010 -16.15 3 5/1/2011 7/1/2011 -15.08 4 3/1/2014 6/1/2014 -15.04 4 11/1/2001 2/1/2002 -14.81 5 2/1/2015 6/1/2015 -12.97 6 12/1/2016 5/1/2017 -11.40 3 12/1/2004 2/1/2005 -10.28 2 3/1/2008 4/1/2008 -10.13 2 9/1/2002 10/1/2002 -9.91 2 3/1/2009 4/1/2009 -9.35 3 8/1/2015 10/1/2015 -9.35 3 6/1/2003 8/1/2003 -9.26 1 1/1/2011 1/1/2011 -8.09 2 6/1/2008 7/1/2008 -7.95 2 7/1/2013 8/1/2013 -7.72 5 8/1/2017 12/1/2017 -7.67 2 8/1/2009 9/1/2009 -7.30 3 8/1/2016 10/1/2016 -6.77 3 5/1/2006 7/1/2006 -6.48 1 8/1/2007 8/1/2007 -6.44 2 10/1/2003 11/1/2003 -6.30 1 7/1/2001 7/1/2001 -4.99 1 3/1/2003 3/1/2003 -4.49 1 1/1/2009 1/1/2009 -4.36 1 6/1/2009 6/1/2009 -4.32 1 3/1/2006 3/1/2006 -4.26 2 3/1/2018 4/1/2018 -4.14 1 10/1/2014 10/1/2014 -4.05 2 3/1/2004 4/1/2004 -4.03 1 5/1/2001 5/1/2001 -3.95 1 1/1/2004 1/1/2004 -3.95 1 9/1/2001 9/1/2001 -3.58 2 12/1/2005 1/1/2006 -3.35 1 10/1/2012 10/1/2012 -3.21 2 10/1/2013 11/1/2013 -3.17 1 7/1/2000 7/1/2000 -3.11 2 12/1/2015 1/1/2016 -3.09 1 3/1/2007 3/1/2007 -3.05 1 6/1/2004 6/1/2004 -3.04 3 8/1/1999 10/1/1999 -2.87 1 3/1/2016 3/1/2016 -2.81 2 9/1/2000 10/1/2000 -2.72 2 8/1/2004 9/1/2004 -2.62 1 11/1/2010 11/1/2010 -2.51 1 1/1/2003 1/1/2003 -2.39 1 7/1/2005 7/1/2005 -2.16 1 12/1/1999 12/1/1999 -2.08 1 7/1/2002 7/1/2002 -1.72 1 5/1/2016 5/1/2016 -1.49 2 2/1/2013 3/1/2013 -1.35 1 10/1/2006 10/1/2006 -1.19 1 7/1/2010 7/1/2010 -0.91 1 3/1/1999 3/1/1999 -0.88 1 1/1/2014 1/1/2014 -0.58 11 10/1/2011 8/1/2012 -0.54 1 6/1/1999 6/1/1999 -0.43 1 3/1/2011 3/1/2011 -0.38 1 2/1/2001 2/1/2001 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods233.00231.00228.00222.00216.00210.00198.00186.00174.00 Percent Profitable48.5054.5554.8263.5174.0781.9085.8689.7897.70 Average Period Return0.822.515.1010.6617.1024.0239.1358.2978.76 Average Gain4.708.5013.7921.4526.8632.1047.4965.6680.66 Average Loss-3.08-5.07-5.73-8.14-10.78-12.55-11.58-6.50-1.78 Best Period26.1546.3883.7493.35150.80165.90182.74205.46207.94 Worst Period-10.10-19.75-23.19-21.75-22.06-25.23-34.94-13.21-5.21 Standard Deviation5.359.8914.5821.4930.1837.4147.8057.8264.59 Gain Standard Deviation4.899.3314.3719.8129.1736.5446.3156.4764.13 Loss Standard Deviation2.323.894.035.145.677.6411.643.712.32 Sharpe Ratio (1%)0.140.230.320.450.520.590.760.941.14 Average Gain / Average Loss1.521.682.412.642.492.564.1010.1045.42 Profit / Loss Ratio1.562.183.074.597.1211.5824.8988.811930.30 Downside Deviation (10%)2.884.806.018.569.9410.5912.0110.788.71 Downside Deviation (5%)2.694.274.866.336.886.986.983.611.19 Downside Deviation (0%)2.654.144.595.816.196.236.122.380.41 Sortino Ratio (10%)0.140.270.440.660.961.301.953.415.87 Sortino Ratio (5%)0.270.530.951.532.273.155.1715.0461.82 Sortino Ratio (0%)0.310.611.111.842.763.866.4024.53193.91 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 4 2.00 2/2018 Trend Following Strategy Index Month 10 0.51 6/2017 Systematic Trader Index Month 10 6.23 11/2016 Trend Following Strategy Index Month 8 6.23 11/2016 Systematic Trader Index Month 8 19.00 9/2014 Trend Following Strategy Index Month 6 19.00 9/2014 IASG CTA Index Month 8 19.00 9/2014 Diversified Trader Index Month 8 19.00 9/2014 Trend Following Strategy Index Month 10 7.85 7/2014 Systematic Trader Index Month 10 10.08 2/2014 Trend Following Strategy Index Month 9 10.08 2/2014 Trend Following Strategy Index Month 3 9.24 6/2013 Systematic Trader Index Month 3 9.24 6/2013 IASG CTA Index Month 5 9.24 6/2013 Diversified Trader Index Month 5 9.24 6/2013 Trend Following Strategy Index Month 9 5.12 5/2013 IASG CTA Index 5 Year 8 190.95 2006 - 2011 IASG CTA Index 5 Year 9 202.52 2005 - 2010 IASG CTA Index 3 Year 8 156.08 2006 - 2009 Trend Following Strategy Index Month 8 2.17 10/2009 Systematic Trader Index Month 10 15.81 5/2009 IASG CTA Index Annual 10 93.35 2008 Trend Following Strategy Index Month 10 7.82 12/2008 IASG CTA Index 3 Year 5 163.34 2005 - 2008 Systematic Trader Index Month 10 26.15 2/2008 Trend Following Strategy Index Month 10 26.15 2/2008 Trend Following Strategy Index Month 6 1.94 2/2007 Diversified Trader Index Month 8 2.27 2/2006 Trend Following Strategy Index Month 6 2.27 2/2006 Systematic Trader Index Month 10 2.27 2/2006 Systematic Trader Index Month 10 2.17 4/2005 Diversified Trader Index Month 8 2.17 4/2005 Trend Following Strategy Index Month 6 2.17 4/2005 Diversified Trader Index Month 8 18.98 5/2003 Systematic Trader Index Month 9 18.98 5/2003 IASG CTA Index Month 9 18.98 5/2003 Trend Following Strategy Index Month 9 18.98 5/2003 Systematic Trader Index Month 9 2.72 4/2002 Diversified Trader Index Month 8 2.72 4/2002 Trend Following Strategy Index Month 5 2.72 4/2002 IASG CTA Index Month 6 4.33 4/2001 Diversified Trader Index Month 3 4.33 4/2001 Trend Following Strategy Index Month 1 4.33 4/2001 Systematic Trader Index Month 4 4.33 4/2001 Trend Following Strategy Index Month 7 1.51 3/2000 Systematic Trader Index Month 7 5.24 2/2000 Diversified Trader Index Month 7 5.24 2/2000 Trend Following Strategy Index Month 4 5.24 2/2000 IASG CTA Index Month 9 5.24 2/2000 Diversified Trader Index Month 10 3.89 1/2000 Trend Following Strategy Index Month 5 3.89 1/2000 Diversified Trader Index Month 4 -0.74 10/1999 Trend Following Strategy Index Month 2 -0.74 10/1999 Systematic Trader Index Month 8 -0.74 10/1999 IASG CTA Index Month 10 -0.74 10/1999 Trend Following Strategy Index Month 10 2.59 7/1999 Diversified Trader Index Month 9 2.21 5/1999 Systematic Trader Index Month 9 2.21 5/1999 Trend Following Strategy Index Month 6 2.21 5/1999 Trend Following Strategy Index Month 9 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