Altaloma Asset Management : Short Term Counter Trend

archived programs
Year-to-Date
N / A
Aug Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
15.06%
Sharpe (RFR=1%)
0.74
CAROR
-
Assets
$ 288k
Worst DD
-12.21
S&P Correlation
0.09

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/2008
Short Term Counter Trend 0.00 - - - - - - 22.23
S&P 500 -4.74 - - - - - - 299.92
+/- S&P 500 4.74 - - - - - - -277.69

Strategy Description

Summary

The Short Term counter Trend (STCT) model is contrarian in nature and looks for over extensions in several key components of the underlying asset and its derivatives. The model trades the S&P 500 futures contract exclusively. STCT is generally selective in its trades. On average... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 12.21%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Summary

The Short Term counter Trend (STCT) model is contrarian in nature and looks for over extensions in several key components of the underlying asset and its derivatives. The model trades the S&P 500 futures contract exclusively. STCT is generally selective in its trades. On average the model spends roughly 70% of the time in cash while the other 30% is spent either long or short. Positions in this model are held for five and a half days on average although there are times when positions can be held for significantly longer or shorter periods of time.

Investment Strategy

The STCT Managed Futures Program utilizes a proprietary method of defining the key components mentioned earlier, which have infinite ranges, in finite terms. When one component reaches one extreme and others the opposite extreme the model will take a position either long or short. The model is dynamic in nature and does not have static entry and exit points based on the underlying asset or its derivatives.

Risk Management

The model utilizes a two-step proprietary risk management process, which simultaneously determines the optimal number of contracts to trade given the current volatility and the max acceptable stop loss.

   

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
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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
-12.21 4 3 6/1/2009 10/1/2009
-11.37 4 - 2/1/2010 6/1/2010
-1.31 1 1 12/1/2008 1/1/2009
-0.01 1 1 4/1/2009 5/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
20.22 4 11/1/2009 2/1/2010
14.59 3 2/1/2009 4/1/2009
7.80 2 11/1/2008 12/1/2008
6.02 1 7/1/2010 7/1/2010
1.45 1 5/1/2010 5/1/2010
1.11 1 6/1/2009 6/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.21 4 7/1/2009 10/1/2009
-9.19 2 3/1/2010 4/1/2010
-3.80 1 6/1/2010 6/1/2010
-1.31 1 1/1/2009 1/1/2009
-0.01 1 5/1/2009 5/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable54.5555.0064.7172.73
Average Period Return1.012.534.716.10
Average Gain4.108.5910.399.80
Average Loss-3.38-4.87-5.69-3.75
Best Period8.8216.4621.9118.44
Worst Period-8.87-9.04-11.24-6.46
Standard Deviation4.357.999.358.06
Gain Standard Deviation2.435.085.835.81
Loss Standard Deviation2.962.693.362.45
Sharpe Ratio (1%)0.210.290.450.63
Average Gain / Average Loss1.211.761.832.61
Profit / Loss Ratio1.822.163.356.97
Downside Deviation (10%)2.834.435.184.78
Downside Deviation (5%)2.673.834.102.69
Downside Deviation (0%)2.643.683.842.22
Sortino Ratio (10%)0.210.300.430.23
Sortino Ratio (5%)0.350.601.031.90
Sortino Ratio (0%)0.380.691.232.75

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.