ALFAKRAFT : ALFA Commodity Fund

archived programs
Year-to-Date
N / A
Jun Performance
-2.37%
Min Investment
$ 16k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
13.99%
Sharpe (RFR=1%)
0.44
CAROR
6.34%
Assets
$ 100.0M
Worst DD
-15.67
S&P Correlation
-0.12

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2010
ALFA Commodity Fund -2.37 1.34 - 8.25 9.04 17.07 - 45.35
S&P 500 0.09 1.90 - 1.73 30.67 58.90 - 103.60
+/- S&P 500 -2.46 -0.56 - 6.52 -21.63 -41.83 - -58.25

Strategy Description

Summary

Responsible Fund Manager: Mr. Thomas Stridsman. Swedish based hedge fund, SEK denominated. ISIN Code: SE0003616036. Also open to investors through Managed Account.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 16k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
470 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Grains
15.00%
Interest Rates
15.00%
Currency Futures
15.00%
Energy
15.00%
Stock Indices
10.00%
Precious Metals
10.00%
Other
5.00%
Livestock
5.00%
Softs
5.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

Responsible Fund Manager: Mr. Thomas Stridsman. Swedish based hedge fund, SEK denominated. ISIN Code: SE0003616036. Also open to investors through Managed Account.

Investment Strategy

Systematic, model-based trading on the global commodity derivatives markets, based on a purpose-driven approach, utilizing multiple short-term trades to balance risk-reward in long-term positions. Program type: Diversified, Systematic, Standard Leverage Program Market sectors: Energies, Metals, Grains, Softs/Misc, Currencies, Interest rates, Indexes. Return goals: Absolute return, High risk-adjusted return. Expected annual return: Standard leverage: 15-20%. Potential downside: < 15%. Risk (standard deviation): ≈ 13%. Correlation: Low correlation relative the stock market (historical correlation ≈ 0.00). Rec. investment period: Min. 2-3 years is recommended

Risk Management

The Managers have established a framework for the account’s management and limitations for the risks, which every decision model are programmed to remain within. Complementing research and performance analysis, using several models for simulating the risks and other limitations, is continuously conducted by the Managers. Risk per trade and position: All risk control starts with a decision regarding the maximum amount to risk in any individual trade. To keep any losses within tolerated levels, it is important that each trading decision is assessed considering the total risk for the position. To avoid high risks, the decision models work to limit the position size in accordance with market volatility and momentum as well as macro-economic trends. The amount risked for any of the decision models in The ALFA Program, can be as little as 1/10th of 1% of account equity at the time for the entry. The models will take positions with the direction of the identified trend, and incrementally adjust each position using many small trades, with the signals to trade originating from several different systems. This also ensures that the exits take place in an orderly fashion. The Managers have compared many different CTA strategies and has concluded that this strategy is the most effective in terms of consistent strong returns and low drawdowns, as well as in minimizing costs such as slippage and commission.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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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
-15.67 20 5 9/1/2012 5/1/2014
-13.19 12 5 4/1/2011 4/1/2012
-12.48 5 - 1/1/2015 6/1/2015
-0.96 1 1 10/1/2014 11/1/2014
-0.49 1 1 10/1/2010 11/1/2010
-0.11 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
19.76 5 6/1/2014 10/1/2014
19.06 5 6/1/2010 10/1/2010
12.60 3 2/1/2011 4/1/2011
11.04 1 5/1/2012 5/1/2012
10.96 2 12/1/2014 1/1/2015
10.42 3 7/1/2012 9/1/2012
9.17 2 7/1/2015 8/1/2015
8.96 3 7/1/2011 9/1/2011
8.38 2 1/1/2016 2/1/2016
5.70 3 9/1/2013 11/1/2013
5.39 1 11/1/2015 11/1/2015
4.45 3 4/1/2013 6/1/2013
4.10 1 2/1/2014 2/1/2014
3.80 2 4/1/2016 5/1/2016
2.68 3 12/1/2011 2/1/2012
2.48 1 12/1/2010 12/1/2010
1.78 2 1/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.60 3 3/1/2014 5/1/2014
-12.48 5 2/1/2015 6/1/2015
-10.55 2 10/1/2011 11/1/2011
-9.08 2 5/1/2011 6/1/2011
-6.95 2 9/1/2015 10/1/2015
-6.67 3 10/1/2012 12/1/2012
-6.59 1 12/1/2015 12/1/2015
-4.90 1 6/1/2012 6/1/2012
-4.79 2 7/1/2013 8/1/2013
-4.59 2 3/1/2012 4/1/2012
-2.80 1 3/1/2013 3/1/2013
-2.37 1 6/1/2016 6/1/2016
-2.25 2 12/1/2013 1/1/2014
-1.44 1 3/1/2016 3/1/2016
-0.96 1 11/1/2014 11/1/2014
-0.49 1 11/1/2010 11/1/2010
-0.11 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable57.5361.9761.7670.9782.1482.0086.84100.00
Average Period Return0.591.813.134.626.408.5210.6415.46
Average Gain3.265.658.448.498.9711.4413.3715.46
Average Loss-3.02-4.45-5.47-4.83-5.43-4.79-7.40
Best Period11.0417.2023.9528.2523.3131.6332.4026.50
Worst Period-7.58-14.60-13.11-13.19-10.31-11.44-12.092.98
Standard Deviation4.046.448.959.368.109.8010.265.87
Gain Standard Deviation2.824.436.868.116.338.187.875.87
Loss Standard Deviation2.203.683.603.873.263.273.12
Sharpe Ratio (1%)0.130.240.290.390.600.660.741.94
Average Gain / Average Loss1.081.271.541.761.652.391.81
Profit / Loss Ratio1.462.072.494.307.6010.8811.93
Downside Deviation (10%)2.644.155.405.926.277.4510.378.28
Downside Deviation (5%)2.463.664.293.743.223.193.940.21
Downside Deviation (0%)2.423.544.033.302.642.422.87
Sortino Ratio (10%)0.070.140.12-0.06-0.19-0.23-0.49-0.74
Sortino Ratio (5%)0.210.430.610.971.522.041.9354.04
Sortino Ratio (0%)0.250.510.781.402.423.533.71

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 0.68 5/2016
Trend Following Strategy Index Month 10 3.10 4/2016
Trend Following Strategy Index Month 7 5.03 8/2015
Trend Following Strategy Index Month 6 4.05 9/2012
Trend Following Strategy Index Month 6 3.71 8/2012
IASG CTA Index Sharpe 4 3.49 2009 - 2010

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