Algocentric Capital LLC : Algo I

Year-to-Date
8.05%
Oct Performance
-9.93%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
52.43%
Sharpe (RFR=1%)
0.21
CAROR
-
Assets
$ 800k
Worst DD
-45.26
S&P Correlation
0.46

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Algo I -9.93 -8.08 -8.05 -4.00 - - - -5.66
S&P 500 -2.77 -0.04 1.21 7.65 - - - 31.60
+/- S&P 500 -7.16 -8.05 -9.27 -11.65 - - - -37.26

Strategy Description

Investment Strategy

A diversified trend following program that defines its entries & exists off of algorithmic analysis signals. Trades over between 9 and 11 different commodities in different sectors to form a more diversified basket of low correlated markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
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

Currency Futures
17.00%
Energy
17.00%
Grains
17.00%
Stock Indices
17.00%
Precious Metals
16.00%
Interest Rates
16.00%
Composition Pie Chart

Investment Strategy

A diversified trend following program that defines its entries & exists off of algorithmic analysis signals. Trades over between 9 and 11 different commodities in different sectors to form a more diversified basket of low correlated markets.

   

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
-45.26 1 - 2/1/2020 3/1/2020
-23.29 2 3 8/1/2019 10/1/2019
-6.77 2 1 5/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
56.99 4 4/1/2020 7/1/2020
44.55 4 11/1/2019 2/1/2020
8.56 1 8/1/2019 8/1/2019
6.91 1 5/1/2019 5/1/2019
2.05 1 9/1/2020 9/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-45.26 1 3/1/2020 3/1/2020
-23.29 2 9/1/2019 10/1/2019
-9.93 1 10/1/2020 10/1/2020
-6.77 2 6/1/2019 7/1/2019
-0.46 1 8/1/2020 8/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable61.1150.0030.7742.86
Average Period Return1.002.77-1.37-7.38
Average Gain9.5625.3028.6811.06
Average Loss-12.44-19.76-14.72-21.21
Best Period23.5446.7659.4816.08
Worst Period-45.26-36.12-27.21-29.74
Standard Deviation15.1326.9224.7119.40
Gain Standard Deviation6.1513.6823.406.70
Loss Standard Deviation15.5314.347.6811.28
Sharpe Ratio (1%)0.060.09-0.08-0.43
Average Gain / Average Loss0.771.281.950.52
Profit / Loss Ratio1.211.280.870.39
Downside Deviation (10%)12.0217.6115.5221.15
Downside Deviation (5%)11.8917.0314.0218.34
Downside Deviation (0%)11.8516.8913.6517.65
Sortino Ratio (10%)0.050.09-0.25-0.59
Sortino Ratio (5%)0.080.15-0.13-0.46
Sortino Ratio (0%)0.080.16-0.10-0.42

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.