Alpha Z Advisors LLC : Alpha Z Futures Fund, LLC

Year-to-Date
47.73%
Sep Performance
3.58%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.36%
Sharpe (RFR=1%)
1.71
CAROR
59.09%
Assets
$ 13.2M
Worst DD
-24.12
S&P Correlation
0.57

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
7/2013
Alpha Z Futures Fund, LLC 3.58 12.56 47.73 63.07 441.84 - - 619.44
S&P 500 1.93 3.96 12.36 16.01 27.54 - - 49.22
+/- S&P 500 1.65 8.60 35.37 47.05 414.30 - - 570.21

Strategy Description

Summary

Alpha Z Futures Fund LLC is an alternative investment fund formed to trade futures and futures options on the Standard & Poor’s 500. The Fund’s trading is conducted by Alpha Z Advisors, LLC. Trading methods are quantitative, systemic and discretionary. Trades are based on decades of... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4500 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-24.12%
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
85.00%
1-30 Days
10.00%
Intraday
5.00%

Decision-Making

Discretionary
90.00%
Systematic
10.00%

Strategy

Arbitrage
10.00%
Fundamental
5.00%
Option-writing
20.00%
Seasonal/cyclical
5.00%
Technical
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Alpha Z Futures Fund LLC is an alternative investment fund formed to trade futures and futures options on the Standard & Poor’s 500. The Fund’s trading is conducted by Alpha Z Advisors, LLC. Trading methods are quantitative, systemic and discretionary. Trades are based on decades of extensive research conducted by Dr. Ziemba and trading experience in stock market calendar anomalies, arbitrage strategies and behavioral biases.

Investment Strategy

The trades involve long futures positions, futures spreads, option sales and option purchases that Dr. Ziemba’s proprietary research indicates to have mispricings. Market exposure is based on the calculated funds or margin behind each position. The Manager’s trading also employs Dr. Ziemba’s proprietary stock market prediction models and crash prediction models.

Risk Management

Risk/reward is assessed by the calculating potential loss of new and current positions. Overall portfolio is measured. Careful attention has been paid to current market conditions and adjusting portfolio size quickly.

   

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
-24.12 1 3 7/1/2015 8/1/2015
-12.86 2 1 11/1/2014 1/1/2015
-6.52 1 1 6/1/2014 7/1/2014
-5.73 1 2 12/1/2015 1/1/2016
-4.80 3 1 1/1/0001 9/1/2013
-3.98 1 2 12/1/2013 1/1/2014
-1.94 1 1 5/1/2016 6/1/2016
-1.52 1 1 1/1/2017 2/1/2017
-0.75 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
109.08 6 2/1/2015 7/1/2015
44.06 4 9/1/2015 12/1/2015
43.87 7 3/1/2017 9/1/2017
40.06 4 2/1/2016 5/1/2016
30.28 7 7/1/2016 1/1/2017
21.06 5 2/1/2014 6/1/2014
18.89 3 10/1/2013 12/1/2013
13.84 2 10/1/2014 11/1/2014
8.77 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.12 1 8/1/2015 8/1/2015
-12.86 2 12/1/2014 1/1/2015
-6.52 1 7/1/2014 7/1/2014
-5.73 1 1/1/2016 1/1/2016
-4.80 3 7/1/2013 9/1/2013
-3.98 1 1/1/2014 1/1/2014
-1.94 1 6/1/2016 6/1/2016
-1.52 1 2/1/2017 2/1/2017
-0.75 1 9/1/2014 9/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable76.4787.76100.00100.00100.00100.00100.00
Average Period Return4.2813.3828.9466.07120.70188.06365.55
Average Gain7.2015.9728.9466.07120.70188.06365.55
Average Loss-5.22-5.17
Best Period40.3762.93109.08123.91215.30285.52447.06
Worst Period-24.12-12.643.0521.2032.38110.96289.77
Standard Deviation8.4813.5319.2424.1234.4937.6443.51
Gain Standard Deviation6.7112.3019.2424.1234.4937.6443.51
Loss Standard Deviation6.503.99
Sharpe Ratio (1%)0.490.971.482.703.464.948.33
Average Gain / Average Loss1.383.09
Profit / Loss Ratio4.4822.16
Downside Deviation (10%)4.072.57
Downside Deviation (5%)3.972.28
Downside Deviation (0%)3.942.21
Sortino Ratio (10%)0.954.72
Sortino Ratio (5%)1.065.75
Sortino Ratio (0%)1.096.05

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 3 Year Rolling 1 446.50 2014 - 2017
IASG CTA Index Year Rolling 4 61.96 2016 - 2017
IASG CTA Index Sharpe 7 1.70 2016 - 2017
Discretionary Trader Index Month 9 2.73 6/2017
Stock Index Trader Index Month 4 2.73 6/2017
Stock Index Trader Index Month 1 3.81 5/2017
Discretionary Trader Index Month 5 3.81 5/2017
Stock Index Trader Index Month 2 5.53 4/2017
Discretionary Trader Index Month 3 5.53 4/2017
IASG CTA Index Month 5 5.53 4/2017
IASG CTA Index Month 4 5.53 4/2017
Stock Index Trader Index Month 1 13.57 3/2017
IASG CTA Index Month 2 13.57 3/2017
Discretionary Trader Index Month 2 13.57 3/2017
Stock Index Trader Index Month 3 4.27 1/2017
Discretionary Trader Index Month 7 4.27 1/2017
IASG CTA Index Month 10 4.27 1/2017
IASG CTA Index Sharpe 9 1.56 2015 - 2016
Discretionary Trader Index Month 6 3.13 12/2016
Stock Index Trader Index Month 3 3.13 12/2016
IASG CTA Index Year Rolling 1 61.77 2015 - 2016
IASG CTA Index 3 Year Rolling 1 330.27 2013 - 2016
Stock Index Trader Index Month 5 4.31 11/2016
Stock Index Trader Index Month 5 2.61 10/2016
Stock Index Trader Index Month 6 2.94 9/2016
Discretionary Trader Index Month 7 2.94 9/2016
IASG CTA Index Month 10 3.20 8/2016
Stock Index Trader Index Month 3 3.20 8/2016
Stock Index Trader Index Month 1 6.55 7/2016
Discretionary Trader Index Month 2 6.55 7/2016
IASG CTA Index Month 4 6.55 7/2016

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