Aleph One Fund Management Ltd. : Aleph One Isotropic fund

Year-to-Date
1.75%
Jul Performance
4.72%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
29.70%
Sharpe (RFR=1%)
0.31
CAROR
6.17%
Assets
$ 4.3M
Worst DD
-26.97
S&P Correlation
0.02

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
Aleph One Isotropic fund 4.72 -10.18 -1.75 -1.22 46.76 - - 22.10
S&P 500 1.31 1.17 18.88 5.82 35.72 - - 42.84
+/- S&P 500 3.41 -11.35 -20.63 -7.04 11.04 - - -20.74

Strategy Description

Summary

Aleph One Fund Management Ltd. is an investment management company that applies a quantitative approach to generate absolute returns. The systematic strategy relies on statistics to find asymmetrical probabilities in the price movements, and by finding certain morphological patterns... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
62 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-45.00%
Worst Peak-to-Trough
17.00%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
40.00%
Intraday
60.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Aleph One Fund Management Ltd. is an investment management company that applies a quantitative approach to generate absolute returns. The systematic strategy relies on statistics to find asymmetrical probabilities in the price movements, and by finding certain morphological patterns in financial markets the strategy is able to generate predictive signals that are intended to generate positive returns above common benchmarks, while maintaining a lower risk profile.

Investment Strategy

The fund employs a quantitative strategy that relies on several areas of mathematics and science to find morphological patterns that occur in financial markets, exploring asymmetrical probabilities in price movements. The strategy is systematic and orders are placed automatically by the system, based on its predictive signals. The investment objective is to produce positive risk-adjusted absolute returns that are uncorrelated to equity markets.

Risk Management

The company employs portfolio and operational risk procedures to mitigate and control exposure to market risks, maintaining a lower maximum drawdown than common benchmarks.

   

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
-26.97 3 - 10/1/2018 1/1/2019
-23.38 7 6 8/1/2017 3/1/2018
-17.05 2 5 5/1/2016 7/1/2016
-10.40 1 1 1/1/2017 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
43.11 6 3/1/2017 8/1/2017
36.29 6 8/1/2016 1/1/2017
27.79 2 2/1/2019 3/1/2019
21.72 3 8/1/2018 10/1/2018
11.01 3 4/1/2018 6/1/2018
5.98 1 10/1/2017 10/1/2017
4.72 1 7/1/2019 7/1/2019
3.52 1 2/1/2018 2/1/2018
0.30 2 4/1/2016 5/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.97 3 11/1/2018 1/1/2019
-17.05 2 6/1/2016 7/1/2016
-16.96 3 4/1/2019 6/1/2019
-14.24 1 9/1/2017 9/1/2017
-11.05 1 3/1/2018 3/1/2018
-10.40 1 2/1/2017 2/1/2017
-8.44 3 11/1/2017 1/1/2018
-0.05 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable62.5055.2654.2962.0778.2676.47
Average Period Return0.862.336.2414.1914.5221.30
Average Gain5.7213.3719.6327.1322.3030.38
Average Loss-7.25-11.30-9.66-6.99-13.50-8.21
Best Period22.6727.5343.1173.1949.1966.29
Worst Period-16.41-26.97-15.74-9.89-21.27-12.64
Standard Deviation8.5714.3317.9822.4519.2825.61
Gain Standard Deviation5.847.6813.4718.9513.3122.16
Loss Standard Deviation5.806.604.212.596.164.02
Sharpe Ratio (1%)0.090.150.320.590.680.75
Average Gain / Average Loss0.791.182.033.881.653.70
Profit / Loss Ratio1.321.462.416.365.9512.03
Downside Deviation (10%)5.819.418.667.5510.319.11
Downside Deviation (5%)5.658.847.405.157.455.24
Downside Deviation (0%)5.618.697.094.566.804.33
Sortino Ratio (10%)0.080.120.441.220.671.21
Sortino Ratio (5%)0.140.240.782.561.753.68
Sortino Ratio (0%)0.150.270.883.112.144.92

Top Performer Badges

Index Award Type Rank Performance Period

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