Alesia Capital Management : Discretionary Managed Account Program

archived programs
Year-to-Date
N / A
Jan Performance
2.42%
Min Investment
$ 30k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
19.11%
Sharpe (RFR=1%)
-0.18
CAROR
-4.44%
Assets
$ 21k
Worst DD
-41.95
S&P Correlation
0.20

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
5/2011
Discretionary Managed Account Program 2.42 - - - - -5.53 - -19.40
S&P 500 -5.07 - - - - 50.84 - 157.51
+/- S&P 500 7.49 - - - - -56.37 - -176.91

Strategy Description

Summary

Alesia’s investment objective is to achieve significant capital appreciation of its clients’ assets through investments and trading in futures and futures options. The target return to investors, net of all fees and expenses, is at least 20% per annum. There is no assurance that... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 15.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 12.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 25.00%
1-30 Days 75.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
5.00%
Softs
5.00%
Stock Indices
5.00%
VIX
5.00%
Composition Pie Chart

Summary

Alesia’s investment objective is to achieve significant capital appreciation of its clients’ assets through investments and trading in futures and futures options. The target return to investors, net of all fees and expenses, is at least 20% per annum. There is no assurance that this objective will be met, and a prospective investor should consider making an investment in an account to be managed by the Advisor only if he regards his investment as risk capital. The Advisor will attempt to meet its return objective by making trading decisions based on the Advisor’s proprietary trading methods, as generally described below. The Advisor will rely on the skills, experience and judgment of the principals in order to achieve its objective.

Investment Strategy

The Diversified Managed Account Program is primarily an option writing program which seeks to minimize risk by writing options in liquid commodity markets that are uncorrelated to each other. Most positions have option expirations within 30 days. FUNDAMENTAL AND TECHNICAL ANALYSIS: Futures traders generally rely on either fundamental or technical analysis, or a combination of both, in making trading decisions. Technical analysis is based on the theory that analyzing trading patterns provides a means of anticipating future price changes. Technical analysis of futures markets generally involves studying, among other things, historical daily, weekly and monthly price fluctuations, volume variations and changes in the number of open contracts. Fundamental analysis, on the other hand, relies on analyzing factors external to trading patterns, such as general economic conditions, current and anticipated world events, and supply and demand factors, in order to predict future price changes. Fundamental analysis is based on the premise that fundamental factors ultimately represent the predominant influences on price movements. In managing clients’ accounts, Alesia will use primarily fundamental analysis, although technical analysis also may be employed to help determine specific entry and exit points and the placement of stop-loss orders. The fundamental factors to be analyzed will include the product supply and demand outlook, inventory levels and storage capacity, import and export markets, economic trends, and government policies. RISK-REWARD OPTIMIZATION: The Advisor seeks to identify favorable risk-reward trade-offs in the futures markets—i.e., situations where there is an opportunity to earn attractive profits after accounting for the risk of loss. For example, Alesia may purchase particular futures contracts based on an assessment that the underlying commodity is undervalued, based on fundamental factors and a probabilistic calculation of the profit opportunity versus the risk of loss. This calculation may involve developing a weighted average of the various prices at which the commodity is likely to trade over the relevant time horizon, to determine an expected future price or price range. USE OF OPTIONS: The principals are experienced in trading futures options and believe that such options often allow for attractive risk-reward trade-offs.

Risk Management

Portfolios generally maintained between 25%-40% initial margin requirement to liquidation value • Delta adjusted to be within 10% of neutral to control volatility • Portfolio monitored on a daily basis for margin req. to liquidation value and drawdown • Individual positions monitored for price movement and volatility • Trades adjusted by rolling out to more distant strikes or closing trades • We primarily trade options in commodities with highest volume, liquidity is a significant factor in choosing which options to trade

   

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:
Average 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
-41.95 33 - 3/1/2013 12/1/2015
-12.50 1 6 7/1/2011 8/1/2011
-2.52 1 1 12/1/2012 1/1/2013
-0.92 1 1 4/1/2012 5/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
17.57 7 6/1/2012 12/1/2012
16.74 7 5/1/2013 11/1/2013
13.30 3 9/1/2011 11/1/2011
11.18 5 2/1/2014 6/1/2014
8.49 3 5/1/2011 7/1/2011
6.66 4 1/1/2012 4/1/2012
6.46 3 4/1/2015 6/1/2015
5.57 2 2/1/2013 3/1/2013
2.54 2 1/1/2015 2/1/2015
2.42 1 1/1/2016 1/1/2016
2.05 2 8/1/2015 9/1/2015
1.81 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.74 1 4/1/2013 4/1/2013
-19.69 2 12/1/2013 1/1/2014
-13.38 1 3/1/2015 3/1/2015
-12.50 1 8/1/2011 8/1/2011
-8.75 4 7/1/2014 10/1/2014
-8.67 1 7/1/2015 7/1/2015
-8.40 3 10/1/2015 12/1/2015
-2.62 1 12/1/2014 12/1/2014
-2.52 1 1/1/2013 1/1/2013
-1.44 1 12/1/2011 12/1/2011
-0.92 1 5/1/2012 5/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable70.1852.7340.3832.6135.0026.4722.73
Average Period Return-0.21-0.92-1.70-3.66-6.12-11.08-15.08
Average Gain2.285.599.8414.8514.259.614.27
Average Loss-6.07-8.19-9.52-12.62-17.08-18.52-20.77
Best Period6.1313.3014.9525.3339.5817.866.47
Worst Period-23.74-20.01-17.68-24.52-26.97-36.13-40.26
Standard Deviation5.528.3610.6814.9318.1115.2115.16
Gain Standard Deviation1.292.844.038.9414.226.791.72
Loss Standard Deviation7.116.145.166.546.999.1912.23
Sharpe Ratio (1%)-0.05-0.14-0.21-0.31-0.42-0.86-1.19
Average Gain / Average Loss0.380.681.031.180.830.520.21
Profit / Loss Ratio0.880.760.700.570.450.190.06
Downside Deviation (10%)5.177.6910.0515.4220.7525.9834.21
Downside Deviation (5%)5.057.138.6712.3615.9719.2323.37
Downside Deviation (0%)5.026.998.3311.6214.8417.6621.02
Sortino Ratio (10%)-0.12-0.28-0.41-0.56-0.66-0.82-0.90
Sortino Ratio (5%)-0.06-0.16-0.25-0.38-0.48-0.68-0.77
Sortino Ratio (0%)-0.04-0.13-0.20-0.31-0.41-0.63-0.72

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.