Altavest Wealth Management : Altavest Multi-Strategy

archived programs
Year-to-Date
N / A
Aug Performance
-1.76%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.65%
Sharpe (RFR=1%)
-0.50
CAROR
-9.51%
Assets
$ 678k
Worst DD
-34.33
S&P Correlation
-0.27

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
8/2015
Altavest Multi-Strategy -1.76 - - - - -19.72 - -18.79
S&P 500 0.05 - - - - 75.45 - 81.77
+/- S&P 500 -1.81 - - - - -95.17 - -100.56

Strategy Description

Summary

The Altavest Multi-Strategy program is a liquid, transparent CTA program that targets attractive tax-efficient non-correlated returns with a high Sortino Ratio. The goal of the Altavest Multi-Strategy overlay (Altavest Short Gamma, RLS and RID) is to try to optimize alpha returns from... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $11.50
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 65.00%
1-30 Days 15.00%
Intraday 20.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Option-spreads
75.00%
Technical
25.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Altavest Multi-Strategy program is a liquid, transparent CTA program that targets attractive tax-efficient non-correlated returns with a high Sortino Ratio. The goal of the Altavest Multi-Strategy overlay (Altavest Short Gamma, RLS and RID) is to try to optimize alpha returns from various negatively correlated strategies to hopefully achieve a higher return, but more importantly, lower risk by minimizing monthly or periodic drawdowns resulting from any single strategy. The Altavest Multi-Strategy program is balanced to optimally neutralize short gamma risk with directional futures trading systems. So far, our hypothetical model has generated an annualized return of 34.78% for the Altavest Multi-Strategy Program versus 20.38% for the Altavest Short Gamma Program alone.

Investment Strategy

Altavest Wealth Management is an NFA registered CTA offering separately managed accounts to qualified exempt persons. Our Altavest Multi-strategy program overlays a medium-term short volatility options strategy in S&P 500 futures options with short-term break-out systematic trading in the Russell 2000 futures.

Risk Management

Mechanical trigger used to exit option strategies.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-34.33 11 - 9/1/2016 8/1/2017
-6.95 1 1 9/1/2015 10/1/2015
-6.22 1 2 6/1/2016 7/1/2016
-1.80 1 1 1/1/0001 8/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
30.70 8 11/1/2015 6/1/2016
8.40 2 8/1/2016 9/1/2016
6.76 1 1/1/2017 1/1/2017
1.86 1 9/1/2015 9/1/2015
0.93 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.88 4 2/1/2017 5/1/2017
-20.20 3 10/1/2016 12/1/2016
-6.95 1 10/1/2015 10/1/2015
-6.22 1 7/1/2016 7/1/2016
-2.24 2 7/1/2017 8/1/2017
-1.80 1 8/1/2015 8/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable52.0047.8345.0035.7112.50
Average Period Return-0.69-1.94-3.76-7.61-14.13
Average Gain3.486.3712.7719.295.35
Average Loss-5.21-9.56-17.29-22.55-16.92
Best Period8.6818.5626.1524.955.35
Worst Period-12.15-20.20-29.48-32.61-27.11
Standard Deviation5.389.9517.3122.6811.54
Gain Standard Deviation2.625.066.776.28
Loss Standard Deviation3.596.499.2310.629.12
Sharpe Ratio (1%)-0.14-0.22-0.25-0.38-1.35
Average Gain / Average Loss0.670.670.740.860.32
Profit / Loss Ratio0.730.610.600.480.05
Downside Deviation (10%)4.568.9916.0423.5024.26
Downside Deviation (5%)4.378.3914.7220.5218.95
Downside Deviation (0%)4.328.2414.3919.7817.69
Sortino Ratio (10%)-0.24-0.35-0.39-0.54-0.90
Sortino Ratio (5%)-0.18-0.26-0.29-0.42-0.82
Sortino Ratio (0%)-0.16-0.24-0.26-0.38-0.80

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.