Alesia Capital Management : Discretionary Managed Account Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jan Qtr 2020 1yr 3yr 5yr 10yr Since5/2011 Discretionary Managed Account Program 2.42 - - - - 2.42 - -19.40 S&P 500 -5.07 - - - - 50.84 - 176.32 +/- S&P 500 7.49 - - - - -48.42 - -195.72 Strategy Description SummaryAlesia’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% 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% SummaryAlesia’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 StrategyThe 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 ManagementPortfolios 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 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel