Altair Quant Macro Fund Mgmt : Altair FX Alpha

Year-to-Date
10.64%
Jun Performance
0.73%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
4.69%
Sharpe (RFR=1%)
1.46
CAROR
8.03%
Assets
$ 95.0M
Worst DD
-4.34
S&P Correlation
-0.05

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Altair FX Alpha 0.73 3.36 10.64 13.36 31.90 - - 41.56
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 58.16
+/- S&P 500 -1.11 -16.60 14.68 7.97 5.08 - - -16.60

Strategy Description

Summary

The Altair FX Alpha program is an intraday, systematic macro trading strategy in G7 FX. The strategy provides daily liquidity and does not take overnight risk. The objective of the FX Alpha Program is to generate consistent top-decile absolute returns and achieve long-term... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD -5.00%
Worst Peak-to-Trough -4.34%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
5.00%
Counter-trend
5.00%
Momentum
5.00%
Pattern Recognition
75.00%
Technical
5.00%
Trend-following
5.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Altair FX Alpha program is an intraday, systematic macro trading strategy in G7 FX. The strategy provides daily liquidity and does not take overnight risk. The objective of the FX Alpha Program is to generate consistent top-decile absolute returns and achieve long-term capital appreciation by employing a proven systematic, quantitative, intra-day pattern recognition trading strategy that has been historically non-correlated to most other investment styles. Analyzing historical data, our models reveal that market adjustments form patterns that are signaled by price and volatility movements. We believe there is an inherent return opportunity by participating in these adjustments. We do not try to predict trends. Instead we participate in patterns that we have identified via our various Pattern Recognition Strategies. The program’s emphasis on risk management, liquid markets and strict daily controls has enabled it to achieve consistent, long-term, positive results with low volatility.

Investment Strategy

Our trading program has been developed based on a well-defined investment process. The buy and sell signals generated by the system are strictly applied. Human emotions are eliminated from the investment process. Risk Management factors into every stage of our investment process and research where all risk is predetermined and secured by our robust, internal framework. We attempt to balance the portfolio so that the risks on any one trade are never a significant portion of the overall risk. The strategy is structured so that all positions remain in interest bearing accounts or are converted back to cash by the close of each trading session.

   

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
-4.34 4 3 10/1/2018 2/1/2019
-3.99 2 6 2/1/2017 4/1/2017
-3.40 3 2 7/1/2016 10/1/2016
-1.44 1 1 12/1/2016 1/1/2017
-0.60 1 2 5/1/2018 6/1/2018
-0.41 1 2 9/1/2019 10/1/2019
-0.25 1 1 1/1/2016 2/1/2016
-0.23 1 1 5/1/2016 6/1/2016
-0.23 1 1 11/1/2017 12/1/2017
-0.09 1 1 1/1/2018 2/1/2018
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
11.69 8 11/1/2019 6/1/2020
7.05 7 3/1/2019 9/1/2019
6.18 3 3/1/2016 5/1/2016
4.53 3 3/1/2018 5/1/2018
3.79 2 11/1/2016 12/1/2016
3.71 4 7/1/2018 10/1/2018
3.67 2 10/1/2017 11/1/2017
3.01 4 5/1/2017 8/1/2017
2.48 1 1/1/2018 1/1/2018
2.30 1 7/1/2016 7/1/2016
1.65 1 1/1/2016 1/1/2016
1.64 1 2/1/2017 2/1/2017
0.30 1 12/1/2018 12/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.99 2 3/1/2017 4/1/2017
-3.40 3 8/1/2016 10/1/2016
-2.79 2 1/1/2019 2/1/2019
-1.89 1 11/1/2018 11/1/2018
-1.44 1 1/1/2017 1/1/2017
-0.60 1 6/1/2018 6/1/2018
-0.41 1 10/1/2019 10/1/2019
-0.25 1 2/1/2016 2/1/2016
-0.23 1 12/1/2017 12/1/2017
-0.23 1 9/1/2017 9/1/2017
-0.23 1 6/1/2016 6/1/2016
-0.09 1 2/1/2018 2/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable70.3778.8581.6393.02100.00100.00100.00
Average Period Return0.651.953.636.589.7414.0820.70
Average Gain1.342.954.737.129.7414.0820.70
Average Loss-0.98-1.79-1.25-0.67
Best Period3.437.0510.6413.9117.2818.1331.90
Worst Period-2.23-3.40-2.76-1.394.867.7114.65
Standard Deviation1.352.543.424.363.122.645.54
Gain Standard Deviation0.871.732.734.023.122.645.54
Loss Standard Deviation0.741.160.980.66
Sharpe Ratio (1%)0.420.670.921.282.644.583.19
Average Gain / Average Loss1.371.653.7910.63
Profit / Loss Ratio3.266.1316.83141.79
Downside Deviation (10%)0.851.501.731.970.910.490.26
Downside Deviation (5%)0.701.070.850.46
Downside Deviation (0%)0.660.970.670.23
Sortino Ratio (10%)0.290.480.670.802.357.7519.33
Sortino Ratio (5%)0.821.593.6912.04
Sortino Ratio (0%)0.992.015.4528.98

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.