Alis Capital Management : AAA Fund

archived programs
Year-to-Date
N / A
Jul Performance
2.38%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.76%
Sharpe (RFR=1%)
0.28
CAROR
2.23%
Assets
$ 4.2M
Worst DD
-5.33
S&P Correlation
-0.37

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
AAA Fund 2.38 - - - - - 0.51 5.86
S&P 500 1.26 - - - - - 51.28 222.58
+/- S&P 500 1.12 - - - - - -50.77 -216.73

Strategy Description

Summary

The "Alis Alternative Advisors" fund is a diversified managed futures fund designed for institutions seeking low risk exposure to a single manager CTA. The fund is designed to provide net returns on average around 7-8% per annum with a volatility of around 5%.... Read More

Account & Fees

Type Fund
Minimum Investment $ 15k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
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 1000 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

Interest Rates
40.00%
Stock Indices
30.00%
Industrial Metals
6.00%
Energy
6.00%
Grains
6.00%
Livestock
6.00%
Softs
6.00%
Composition Pie Chart

Summary

The "Alis Alternative Advisors" fund is a diversified managed futures fund designed for institutions seeking low risk exposure to a single manager CTA. The fund is designed to provide net returns on average around 7-8% per annum with a volatility of around 5%.

Investment Strategy

The computerized approach used is trend following and tactical in nature. Commodities and interest rate futures are actively traded (long, flat and short) depending on forecast trends within these markets. Equity index futures are traded using long-term tactical timing (long or flat only). Econometric models are used for forecasting and a GARCH risk overlay model is applied so that the fund has a constant volatility process over time, irrespective of market volatility. The fund is expected to return positive performance over time regardless of market conditions and makes a useful addition to investment portfolios.

Risk Management

Market risk is managed by a complex set of monitoring systems set up in-house which are under the responsibility of the risk controller. Intraday stops are used in the trading process. In addition, an external risk oversight committee meets on a regular basis.

   

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%)
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Kurtosis:
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Compound RoR:
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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
-5.33 6 - 9/1/2011 3/1/2012
-3.72 5 3 1/1/2011 6/1/2011
-1.30 1 1 10/1/2010 11/1/2010
-0.57 1 1 6/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
4.29 3 7/1/2011 9/1/2011
4.17 6 1/1/2010 6/1/2010
3.40 2 4/1/2012 5/1/2012
3.30 3 8/1/2010 10/1/2010
2.38 1 7/1/2012 7/1/2012
1.95 2 12/1/2010 1/1/2011
0.43 1 5/1/2011 5/1/2011
0.35 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.96 2 10/1/2011 11/1/2011
-3.40 3 2/1/2011 4/1/2011
-2.29 1 6/1/2012 6/1/2012
-1.77 3 1/1/2012 3/1/2012
-1.30 1 11/1/2010 11/1/2010
-0.75 1 6/1/2011 6/1/2011
-0.57 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable61.2962.0757.6950.0057.14
Average Period Return0.190.490.620.891.01
Average Gain1.061.952.653.413.45
Average Loss-1.18-1.91-2.14-1.64-2.24
Best Period3.434.294.867.047.02
Worst Period-2.35-3.63-5.33-3.24-3.38
Standard Deviation1.372.222.833.193.75
Gain Standard Deviation0.881.161.472.463.03
Loss Standard Deviation0.731.161.561.141.23
Sharpe Ratio (1%)0.080.110.04-0.03-0.13
Average Gain / Average Loss0.901.021.242.091.54
Profit / Loss Ratio1.421.671.692.092.05
Downside Deviation (10%)1.082.063.225.117.51
Downside Deviation (5%)0.901.491.972.022.63
Downside Deviation (0%)0.851.361.691.391.64
Sortino Ratio (10%)-0.20-0.36-0.57-0.80-0.88
Sortino Ratio (5%)0.120.160.06-0.06-0.19
Sortino Ratio (0%)0.230.360.370.640.61

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.