Alpina Investments : MOD2 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 May Qtr YTD 1yr 3yr 5yr 10yr Since1/2010 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% Composition Currency FX 100.00% 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 StrategyTrend-following 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel