AllMountain Capital AG : Mount Denali Global Trends

archived programs
Year-to-Date
N / A
Sep Performance
5.91%
Min Investment
$ 160k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.71%
Sharpe (RFR=1%)
0.42
CAROR
5.75%
Assets
$ 25.2M
Worst DD
-23.79
S&P Correlation
-0.36

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
7/2007
Mount Denali Global Trends 5.91 10.04 - 7.63 -7.95 7.90 - 49.94
S&P 500 -1.55 0.62 - 17.29 74.30 86.55 - 35.51
+/- S&P 500 7.46 9.42 - -9.66 -82.25 -78.65 - 14.43

Strategy Description

Summary

Mount Denali Global Trends is a single hedge fund based on a proprietary and systematic long-trend following trading program. Mount Denali Global Trends has proven to be a true diversifier within a traditional institutional asset classes and a medium correlation to other large trend... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 160k
Trading Level Incremental Increase
$ 106k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

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
1200 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-23.80%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
80.00%
1-30 Days
10.00%
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

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

Summary

Mount Denali Global Trends is a single hedge fund based on a proprietary and systematic long-trend following trading program. Mount Denali Global Trends has proven to be a true diversifier within a traditional institutional asset classes and a medium correlation to other large trend following managed futures fund.

Investment Strategy

Out of a universe of all liquid markets, the portfolio holds up to 30 top trending markets across major asset classes, enabling a high level of diversification.

Risk Management

Risk Management is done on the following levels:
- Volatility targeting on product level
- Minimum diversification enforced across different sectors
- Stops on single 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
-23.79 9 21 3/1/2009 12/1/2009
-17.40 25 - 2/1/2012 3/1/2014
-5.81 3 1 6/1/2008 9/1/2008
-5.23 1 4 9/1/2011 10/1/2011
-4.32 1 3 1/1/0001 7/1/2007
-2.58 2 1 2/1/2008 4/1/2008
-2.14 1 1 10/1/2007 11/1/2007
-1.17 1 1 12/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
24.33 3 10/1/2008 12/1/2008
17.80 3 12/1/2007 2/1/2008
12.35 2 5/1/2008 6/1/2008
10.50 3 8/1/2007 10/1/2007
10.04 3 7/1/2014 9/1/2014
9.73 1 12/1/2010 12/1/2010
9.69 3 1/1/2010 3/1/2010
8.59 4 2/1/2011 5/1/2011
8.37 2 5/1/2010 6/1/2010
7.85 3 7/1/2011 9/1/2011
6.63 3 11/1/2012 1/1/2013
5.40 2 11/1/2011 12/1/2011
4.58 2 2/1/2009 3/1/2009
4.49 2 10/1/2013 11/1/2013
3.62 2 8/1/2010 9/1/2010
2.62 2 3/1/2013 4/1/2013
2.43 1 2/1/2012 2/1/2012
2.17 1 5/1/2012 5/1/2012
1.06 2 4/1/2014 5/1/2014
0.57 1 7/1/2012 7/1/2012
0.49 1 6/1/2009 6/1/2009
0.30 1 9/1/2009 9/1/2009
0.07 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.44 3 10/1/2009 12/1/2009
-10.73 2 4/1/2009 5/1/2009
-8.91 2 10/1/2010 11/1/2010
-7.87 2 3/1/2012 4/1/2012
-6.85 3 8/1/2012 10/1/2012
-6.03 5 5/1/2013 9/1/2013
-5.81 3 7/1/2008 9/1/2008
-5.23 1 10/1/2011 10/1/2011
-4.46 2 12/1/2013 1/1/2014
-4.35 2 7/1/2009 8/1/2009
-4.32 1 7/1/2007 7/1/2007
-4.15 1 4/1/2010 4/1/2010
-3.83 1 6/1/2012 6/1/2012
-2.78 1 1/1/2011 1/1/2011
-2.70 1 3/1/2014 3/1/2014
-2.58 2 3/1/2008 4/1/2008
-2.56 1 2/1/2013 2/1/2013
-2.14 1 11/1/2007 11/1/2007
-1.63 1 1/1/2012 1/1/2012
-1.41 1 7/1/2010 7/1/2010
-1.17 1 1/1/2009 1/1/2009
-0.43 1 6/1/2014 6/1/2014
-0.07 1 6/1/2011 6/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable55.1756.4756.1056.5848.5759.3875.0072.5071.43
Average Period Return0.531.552.925.046.425.7710.2315.3113.66
Average Gain3.115.909.6614.8720.4115.1415.7222.5822.64
Average Loss-2.64-4.09-5.69-7.76-6.80-7.93-6.26-3.85-8.79
Best Period11.0124.3328.5042.4663.0145.9045.5864.4555.99
Worst Period-6.60-11.44-15.04-21.23-14.36-15.11-12.51-9.88-16.14
Standard Deviation3.676.5610.0514.8718.6215.0414.9821.9420.60
Gain Standard Deviation2.615.037.8912.1617.8612.2513.1021.6117.27
Loss Standard Deviation1.833.074.205.023.624.384.213.414.63
Sharpe Ratio (1%)0.120.200.240.270.260.250.480.510.42
Average Gain / Average Loss1.181.441.701.923.001.912.515.872.58
Profit / Loss Ratio1.451.872.172.502.842.797.5415.486.44
Downside Deviation (10%)2.374.056.089.1110.7012.2413.0216.9123.02
Downside Deviation (5%)2.193.494.936.636.486.905.084.667.87
Downside Deviation (0%)2.143.364.666.065.515.753.732.645.24
Sortino Ratio (10%)0.050.080.070.00-0.11-0.37-0.43-0.37-0.61
Sortino Ratio (5%)0.210.370.490.610.760.541.422.411.09
Sortino Ratio (0%)0.250.460.630.831.171.002.745.802.61

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 4.03 12/2011
Trend Following Strategy Index Month 10 2.15 3/2011
Systematic Trader Index Month 8 5.06 1/2010
Diversified Trader Index Month 8 5.06 1/2010
Trend Following Strategy Index Month 3 5.06 1/2010
Trend Following Strategy Index Month 10 0.49 6/2009
Trend Following Strategy Index Month 6 1.70 3/2009
Trend Following Strategy Index Month 9 2.83 2/2009
Trend Following Strategy Index Month 9 8.47 12/2008
Trend Following Strategy Index Month 9 1.99 8/2007

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