Alis Capital Management : AAA Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since1/2010 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 SummaryThe "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% 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% SummaryThe "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 StrategyThe 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 ManagementMarket 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. 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 -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 Show More 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 Show More 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 Show More 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. 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