Alternative Innovations Financial Services GmbH : ALTIMUM Financial & Commodity

archived programs
Year-to-Date
N / A
Oct Performance
-6.47%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.32%
Sharpe (RFR=1%)
0.03
CAROR
0.16%
Assets
$ 8.4M
Worst DD
-32.73
S&P Correlation
-0.13

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2008
ALTIMUM Financial & Commodity -6.47 - - - - - -6.17 0.55
S&P 500 10.77 - - - - - 18.25 152.83
+/- S&P 500 -17.24 - - - - - -24.42 -152.27

Strategy Description

Summary

The fund is an actively manged commodity investment, that invests in the most liquid commodity markets worldwide with a diversification into currencies and interest rates.The investment goal is to participate in medium term up- and down-trends of the international commodity markets.... Read More

Account & Fees

Type Fund
Minimum Investment $ 15k
Trading Level Incremental Increase $ 3k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 70 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 35.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 5.00%
4-12 Months 15.00%
1-3 Months 45.00%
1-30 Days 35.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Grains
19.00%
Energy
17.00%
Softs
15.00%
Livestock
14.00%
Currency FX
12.00%
Industrial Metals
12.00%
Precious Metals
6.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

The fund is an actively manged commodity investment, that invests in the most liquid commodity markets worldwide with a diversification into currencies and interest rates.The investment goal is to participate in medium term up- and down-trends of the international commodity markets.

Investment Strategy

Quantitative medium term trend following strategy. Adaptive proprietary indicators based on individual market cycles determine the general market trend with signal/noise ratios and create entry and exit points for each market.

Risk Management

Real time fully automated risk and position management with self adjusting trailing stops for every single position.

   

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
-32.73 14 - 12/1/2008 2/1/2010
-5.41 2 2 1/1/0001 7/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
37.73 5 8/1/2008 12/1/2008
14.54 2 9/1/2010 10/1/2010
10.58 3 12/1/2010 2/1/2011
9.18 2 3/1/2010 4/1/2010
5.53 2 6/1/2010 7/1/2010
1.91 1 5/1/2009 5/1/2009
1.17 1 4/1/2011 4/1/2011
0.70 1 9/1/2011 9/1/2011
0.55 2 10/1/2009 11/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.87 4 1/1/2009 4/1/2009
-10.69 4 6/1/2009 9/1/2009
-10.50 3 12/1/2009 2/1/2010
-6.76 4 5/1/2011 8/1/2011
-6.51 1 5/1/2010 5/1/2010
-6.47 1 10/1/2011 10/1/2011
-5.41 2 6/1/2008 7/1/2008
-4.27 1 3/1/2011 3/1/2011
-0.90 1 8/1/2010 8/1/2010
-0.24 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable46.3438.4644.4453.3350.0038.89
Average Period Return0.121.141.791.38-0.33-2.12
Average Gain4.0311.9116.9316.0414.015.60
Average Loss-3.25-5.59-10.31-15.36-14.68-7.02
Best Period12.4528.1736.4434.8921.9410.39
Worst Period-9.12-13.84-20.34-28.83-30.34-15.54
Standard Deviation4.7110.5515.8518.3717.077.78
Gain Standard Deviation3.338.4010.689.217.084.06
Loss Standard Deviation2.644.235.079.4210.504.99
Sharpe Ratio (1%)0.010.080.080.02-0.11-0.53
Average Gain / Average Loss1.242.131.641.040.950.80
Profit / Loss Ratio1.071.331.311.190.950.51
Downside Deviation (10%)3.286.2610.2115.2317.3614.49
Downside Deviation (5%)3.095.628.8612.7813.477.99
Downside Deviation (0%)3.045.468.5212.1912.586.63
Sortino Ratio (10%)-0.09-0.01-0.07-0.24-0.46-0.85
Sortino Ratio (5%)0.010.160.150.03-0.14-0.52
Sortino Ratio (0%)0.040.210.210.11-0.03-0.32

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.