Alpina Investments : MOD2

archived programs
Year-to-Date
N / A
May Performance
1.70%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
27.76%
Sharpe (RFR=1%)
0.25
CAROR
4.49%
Assets
$ 1.0M
Worst DD
-22.07
S&P Correlation
0.00

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
MOD2 1.70 - - - - - -11.25 11.19
S&P 500 -6.27 - - - - - 22.77 222.58
+/- S&P 500 7.97 - - - - - -34.02 -211.39

Strategy Description

Summary

“Portfolio MOD2” consists of 9 single-type MTS (Systematic trading): M2AUD, M2CAD, M2CHF, M2EUR, M2EURJPY, M2GBP, M2GBPJPY, M2JPY, M2NZD. Systems of MOD2 MTS family belong to positional class of systems which are constantly at the market. Systems of this type are designed for work... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 35 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 13.80%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

“Portfolio MOD2” consists of 9 single-type MTS (Systematic trading): M2AUD, M2CAD, M2CHF, M2EUR, M2EURJPY, M2GBP, M2GBPJPY, M2JPY, M2NZD. Systems of MOD2 MTS family belong to positional class of systems which are constantly at the market. Systems of this type are designed for work under any market conditions, and operational time frame is 1 day. The main goal of the system is to be at the market permanently in the direction of dominant or predicted movement. Two independent algorithms of direction tracking (trend and flat algorithms) are used in the system, thanks to what the system tries to get maximum from every movement. An important feature of these systems is a total absence of market stop loss orders. At the same time the system is reversible which allows it to change the current position and not to apply protective stop. Such technology limits loss at acceptable level and at the same time makes this type of systems absolutely unresponsive to short-term market noise.

Investment Strategy

Trend-following

   

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
-22.07 16 - 12/1/2010 4/1/2012
-8.64 2 1 2/1/2010 4/1/2010
-1.52 1 2 5/1/2010 6/1/2010
-0.54 1 1 1/1/0001 1/1/2010
-0.44 1 1 9/1/2010 10/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
26.92 1 5/1/2010 5/1/2010
15.16 2 9/1/2011 10/1/2011
13.40 3 7/1/2010 9/1/2010
11.47 1 2/1/2012 2/1/2012
11.25 1 4/1/2011 4/1/2011
5.30 1 2/1/2010 2/1/2010
3.90 2 11/1/2010 12/1/2010
1.70 1 5/1/2012 5/1/2012
0.49 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.15 4 5/1/2011 8/1/2011
-14.70 2 3/1/2012 4/1/2012
-11.11 3 1/1/2011 3/1/2011
-9.34 1 11/1/2011 11/1/2011
-8.64 2 3/1/2010 4/1/2010
-2.29 1 1/1/2012 1/1/2012
-1.52 1 6/1/2010 6/1/2010
-0.54 1 1/1/2010 1/1/2010
-0.44 1 10/1/2010 10/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable44.8355.5650.0033.3350.00
Average Period Return0.661.533.952.532.17
Average Gain6.838.9916.6228.1715.27
Average Loss-4.35-7.79-8.73-10.29-10.93
Best Period26.9226.8741.1244.9934.99
Worst Period-13.59-17.41-16.11-21.19-19.03
Standard Deviation8.0110.5916.0221.3016.60
Gain Standard Deviation7.407.6812.4116.3911.23
Loss Standard Deviation4.044.455.706.408.26
Sharpe Ratio (1%)0.070.120.220.070.04
Average Gain / Average Loss1.571.151.902.741.40
Profit / Loss Ratio1.281.441.901.371.40
Downside Deviation (10%)4.586.658.8213.5014.22
Downside Deviation (5%)4.396.067.5810.4910.28
Downside Deviation (0%)4.355.927.289.789.39
Sortino Ratio (10%)0.060.050.17-0.18-0.38
Sortino Ratio (5%)0.130.210.450.150.06
Sortino Ratio (0%)0.150.260.540.260.23

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.