Algocentric Capital LLC : Algo II Program

Year-to-Date
61.99%
Sep Performance
-5.48%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.79%
Sharpe (RFR=1%)
3.46
CAROR
-
Assets
$ 1.0M
Worst DD
-5.48
S&P Correlation
0.52

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
4/2020
Algo II Program -5.48 16.53 61.99 - - - - 61.99
S&P 500 -3.92 8.47 4.09 - - - - 15.47
+/- S&P 500 -1.56 8.06 57.90 - - - - 46.52

Strategy Description

Investment Strategy

AlgoCentric Capital is a NFA registered Commodity Trading Advisor (CTA) that invests in a diversified range of over 20 different commodities in different sectors, forming a more diversified basket of markets with low correlation. AlgoCentric uses proprietary moving averages... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
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 3600 RT/YR/$M
Avg. Margin-to-Equity 40%
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 100.00%
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

AlgoCentric Capital is a NFA registered Commodity Trading Advisor (CTA) that invests in a diversified range of over 20 different commodities in different sectors, forming a more diversified basket of markets with low correlation. AlgoCentric uses proprietary moving averages to enter a trade. Profit is made by riding the long-term trend of the market. We utilize a market breakout to enter and utilize a proprietary trailing stop-loss that adjusts for volatility. AlgoCentric does not attempt to call market tops or bottoms, nor does it attempt to predict or forecast market direction.

   

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:
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Reward
Compound RoR:
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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
-5.48 1 - 8/1/2020 9/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
71.38 5 4/1/2020 8/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.48 1 9/1/2020 9/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable83.33100.00
Average Period Return8.6634.42
Average Gain11.4934.42
Average Loss-5.48
Best Period18.5149.12
Worst Period-5.4816.53
Standard Deviation8.6013.65
Gain Standard Deviation5.7013.65
Loss Standard Deviation
Sharpe Ratio (1%)1.002.50
Average Gain / Average Loss2.10
Profit / Loss Ratio10.49
Downside Deviation (10%)2.40
Downside Deviation (5%)2.27
Downside Deviation (0%)2.24
Sortino Ratio (10%)3.43
Sortino Ratio (5%)3.78
Sortino Ratio (0%)3.87

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.