Aleph One Fund Management Ltd. : Aleph One Isotropic fund

archived programs
Year-to-Date
N / A
Nov Performance
-0.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
28.44%
Sharpe (RFR=1%)
0.28
CAROR
5.12%
Assets
$ 3.8M
Worst DD
-26.97
S&P Correlation
0.01

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
Aleph One Isotropic fund -0.17 - - -4.98 -17.39 - - 20.11
S&P 500 3.40 - - 13.79 41.40 - - 67.76
+/- S&P 500 -3.57 - - -18.76 -58.79 - - -47.65

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
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
8.40 2 7/1/2019 8/1/2019
5.98 1 10/1/2017 10/1/2017
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
-4.98 3 9/1/2019 11/1/2019
-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 Periods44.0042.0039.0033.0027.0021.00
Percent Profitable59.0954.7653.8554.5581.4861.90
Average Period Return0.742.305.3510.8813.2815.78
Average Gain5.6412.8418.4127.1319.3730.38
Average Loss-6.32-10.45-9.88-8.62-13.50-7.93
Best Period22.6727.5343.1173.1949.1966.29
Worst Period-16.41-26.97-15.74-20.04-21.27-13.07
Standard Deviation8.2113.7117.4922.9618.0525.78
Gain Standard Deviation5.747.5313.4218.9513.6622.16
Loss Standard Deviation5.706.744.014.696.164.31
Sharpe Ratio (1%)0.080.150.280.430.650.53
Average Gain / Average Loss0.891.231.863.151.433.83
Profit / Loss Ratio1.291.492.173.786.316.22
Downside Deviation (10%)5.579.018.809.689.6011.50
Downside Deviation (5%)5.428.447.537.176.886.62
Downside Deviation (0%)5.388.307.216.566.285.49
Sortino Ratio (10%)0.060.120.330.610.590.48
Sortino Ratio (5%)0.120.240.641.381.712.08
Sortino Ratio (0%)0.140.280.741.662.122.87

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.