Alternative Asset Management Limited : Megalio Vision Fund

archived programs
Year-to-Date
N / A
Sep Performance
2.85%
Min Investment
$ 160k
Mgmt. Fee
2.00%
Perf. Fee
40.00%
Annualized Vol
61.16%
Sharpe (RFR=1%)
0.73
CAROR
N/A
Assets
$ 1.0M
Worst DD
-84.37
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
2/2009
Megalio Vision Fund 2.85 - - - - - -79.84 95.12
S&P 500 -7.18 - - - - - 8.68 371.25
+/- S&P 500 10.03 - - - - - -88.52 -276.13

Strategy Description

Summary

Short Term Trend Following with attitude! Megalio Vision is the result of over 4 decades of cumulative 'market' trading experience by two remarkable in-house proprietary traders who have produced significant positive returns over the past 22 months through short term trend following. Highly... Read More

Account & Fees

Type Fund
Minimum Investment $ 160k
Trading Level Incremental Increase $ 16k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 40.00%
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 3

Trading

Trading Frequency 15000 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 20.64%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Short Term Trend Following with attitude! Megalio Vision is the result of over 4 decades of cumulative 'market' trading experience by two remarkable in-house proprietary traders who have produced significant positive returns over the past 22 months through short term trend following. Highly liquid investment strategy with Monthly liquidity Megalio Vision seeks to maximize investor returns with carefully controlled high risk balanced with the intention of allowing trades room to 'breath' Megalio Vision traders have achieved a significant real return since February 2009 – against a back-drop of one of the most tumultuous financial markets in over 100 years. Base equity returns of (Est) +271% (Net to Investor - i.e. post all commissions and charges). Currently a single-market strategy dedicated to investing in the DAX market volatility as an asset. The objective is to capture the uncorrelated alpha that exists in trading the futures market in the DAX in a risk limited way Megalio Vision traders use market volatility as an asset. Hands on trading via constant monitoring of the markets during 'market hours' as traders scan for perceived trading opportunities, to create a long/short portfolio of short-term futures trades targeting maximum risk adjusted returns to build profit Looking to achieve high value and consistent absolute returns 22 month track record of actual results: Market prices for futures are used to predict future movements in the underlying market(s).

Compound returns calculation (where profits are re-invested on a monthly basis) would naturally be significantly higher however it is our policy not to compound returns as a part of our risk management measures.

Investment Strategy

Our Megalio Vision traders constantly monitor, analyse and compare proprietary views with the market's implied prospective movement to identify optimal trading strategies. Futures are used to either accumulate a 'long' position in the markets (Where our traders believe the market direction is up) or a short position (where our traders believe the market direction is down). This assessment is based on many decades of hands-on experience by a core team of some of the most experienced professional market traders in the 'markets' today. Trading positions are calculated and sized so as to attempt to maximize investor returns whilst limiting, wherever possible, risk. It is always important to allow trading positions to 'breath' with the markets. Our traders know only too well that most traders are often caught between the inexorable position of 'greed' and 'fear' – not knowing whether to sell and crystallise losses before it is too late, or add to positions as losses are incurred so as to enjoy the benefits of a 'reversion to mean' or clear change in trend or direction. Such knowledge can only come through years of hands-on physical trading experience and this is often what makes a good trader into a great trader.

Risk Management

A2ML and Megalio Vision Fund’s risk management philosophy is to ensure that the Megalio Vision Fund trading portfolio cannot suffer unlimited losses. This is achieved by prohibiting the downside by applying strict stop losses on the trading portfolios wherever possible. In response to demand for a limited downside risk from potential investors, A2ML and Megalio Vision Fund intend to use active ‘Stop losses’ where necessary. Megalio Vision Fund’s philosophical approach underlying the decision making process for each trade has been developed and refined over many years Investors should note that volatility in trading is a feature of High Risk, High Return trading strategies and thus from time to time our portfolio(s) will see significant ‘draw-down’ before achieving profit targets. Draw-down can last for minutes, hours or even days and weeks. Investors should be aware of the risks and consult with their own professional and legal adviser if they are in any doubt as to the risks involved in futures trading.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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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
-84.37 7 - 1/1/2011 8/1/2011
-8.86 1 1 10/1/2010 11/1/2010
-4.02 1 1 5/1/2010 6/1/2010
-3.79 1 2 8/1/2009 9/1/2009
-0.60 1 1 1/1/0001 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
178.39 8 10/1/2009 5/1/2010
155.41 6 3/1/2009 8/1/2009
62.37 4 7/1/2010 10/1/2010
25.64 2 12/1/2010 1/1/2011
2.85 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-84.37 7 2/1/2011 8/1/2011
-8.86 1 11/1/2010 11/1/2010
-4.02 1 6/1/2010 6/1/2010
-3.79 1 9/1/2009 9/1/2009
-0.60 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable65.6373.3374.0776.1973.33
Average Period Return3.7916.7150.63159.99314.88
Average Gain14.0038.3390.14229.99443.78
Average Loss-15.69-42.75-62.24-64.02-39.62
Best Period33.9872.04155.41342.68719.12
Worst Period-43.60-62.83-80.30-79.84-55.21
Standard Deviation17.6540.5573.52150.19304.12
Gain Standard Deviation8.0317.3230.6589.84246.68
Loss Standard Deviation14.1720.0219.4713.8516.70
Sharpe Ratio (1%)0.210.410.681.061.03
Average Gain / Average Loss0.890.901.453.5911.20
Profit / Loss Ratio1.702.474.1411.5030.80
Downside Deviation (10%)12.3224.6834.2034.2125.50
Downside Deviation (5%)12.1824.2233.2432.3022.51
Downside Deviation (0%)12.1424.1032.9931.8221.78
Sortino Ratio (10%)0.270.631.414.5312.05
Sortino Ratio (5%)0.300.681.514.9213.92
Sortino Ratio (0%)0.310.691.535.0314.46

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.