Alternative Asset Management Limited : Megalio Futures Alpha Fund

archived programs
Year-to-Date
N / A
Sep Performance
2.85%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
53.13%
Sharpe (RFR=1%)
1.01
CAROR
N/A
Assets
$ 5.0M
Worst DD
-32.12
S&P Correlation
0.57

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2010
Megalio Futures Alpha Fund 2.85 - - - - - 29.12 49.46
S&P 500 -7.18 - - - - - 8.68 173.50
+/- S&P 500 10.03 - - - - - 20.44 -124.04

Strategy Description

Summary

1. Sophisticated 10yrs back test procedure in a range of market environments 2. 100% systematic Trend Following performance 3. Strong Gross profitability/returns 4. 100% algorithm IP held by Manager 5. Megalio Futures Alpha Fund strategy has a unique trading algorithm 6. Only... Read More

Account & Fees

Type Fund
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 28%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
5.00%
Counter-trend
5.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Precious Metals
25.00%
Grains
25.00%
Stock Indices
13.00%
Energy
12.00%
Composition Pie Chart

Summary

1. Sophisticated 10yrs back test procedure in a range of market environments 2. 100% systematic Trend Following performance 3. Strong Gross profitability/returns 4. 100% algorithm IP held by Manager 5. Megalio Futures Alpha Fund strategy has a unique trading algorithm 6. Only available to qualifying investors via either a ‘Managed Account’(Daily liquidity) (Min $400/-)or via our Alternative Vision Fund (Monthly liquidity). Please contact Peter-Jon Halmshaw for further details. Markets: Major Currencies, Equity Market Indeces, Oil, Hard & Soft Commodities Risk: Medium to High

Investment Strategy

The adviser invests exclusively in proprietary program(s), with the objective of achieving consistent capital growth, which is uncorrelated or negatively correlated with the CTA Index, S&P 500 Index, US Government Bonds and all major Hedge Fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios and provide added-value as a diversification to an investment portfolio. This fully systematic program employs an algorithm with multiple parameters that are reviewed quarterly for optimal consistency. Our trading programme employing 2X gearing targets a non-compounded performance return of 100%+ NET annually with volatility of 40% to 60%. The average length of a trade is 9 days. Designed as 75% trend anticipator and 25% trend follower with reversal, our trading programme has an open position at all times in all contracts traded.

Risk Management

Diversification across different market sectors using gearing appropriate to achieving consistent returns. Margin/Equity: 70% maximum (less than 4% of trading days), 28% typical. 10 Years of rigorous back-testing of strategy shows stability in varying market conditions. Protfolio stop loss designed to protect against catastrophic risk. Quarterly re-evaluation of strategy parameters to stay in line with changing market condition.

   

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
-32.12 2 - 6/1/2011 8/1/2011
-13.58 1 2 3/1/2011 4/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
109.10 6 10/1/2010 3/1/2011
18.47 2 5/1/2011 6/1/2011
2.85 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.12 2 7/1/2011 8/1/2011
-13.58 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable75.0080.0071.43
Average Period Return4.5615.7529.73
Average Gain11.2326.8552.43
Average Loss-15.47-28.69-27.04
Best Period29.3471.36109.10
Worst Period-30.53-30.19-28.52
Standard Deviation15.3432.7648.26
Gain Standard Deviation8.5225.9735.17
Loss Standard Deviation14.212.122.10
Sharpe Ratio (1%)0.290.470.61
Average Gain / Average Loss0.730.941.94
Profit / Loss Ratio2.183.744.85
Downside Deviation (10%)9.8313.3915.79
Downside Deviation (5%)9.7012.9614.74
Downside Deviation (0%)9.6712.8514.48
Sortino Ratio (10%)0.421.081.73
Sortino Ratio (5%)0.461.201.98
Sortino Ratio (0%)0.471.232.05

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.