Altitude Principle Advisory Limited : Noho Capital - Managed Futures on Asian Equity Indices

archived programs
Year-to-Date
N / A
Nov Performance
1.13%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
3.20%
Sharpe (RFR=1%)
0.58
CAROR
2.85%
Assets
$ 1.0M
Worst DD
-3.13
S&P Correlation
0.14

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
5/2011
Noho Capital - Managed Futures on Asian Equity Indices 1.13 - - - - 3.66 - 13.75
S&P 500 0.05 - - - - 76.19 - 157.51
+/- S&P 500 1.08 - - - - -72.53 - -143.75

Strategy Description

Summary

NoHo Capital runs an exclusive program focusing on one region (Asia) and one asset class (futures on equity indices). Portfolio management is based on a unique combination of technical and macro signals. NoHo Capital Management Ltd runs a systematic program based on proprietary algorithms,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 10.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 2.81%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 30.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
16.00%
Momentum
17.00%
Trend-following
17.00%
Other
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

NoHo Capital runs an exclusive program focusing on one region (Asia) and one asset class (futures on equity indices). Portfolio management is based on a unique combination of technical and macro signals. NoHo Capital Management Ltd runs a systematic program based on proprietary algorithms, generating alpha without any bias. Risks are monitored through stringent rules, making low volatility and low drawdowns a high priority. Given its low correlation against other markets and even among its peers, the program offers effective diversification . Our philosophy is based on following assumptions: markets do not follow random walks. We do not believe in universal patterns. Each market has its own characteristics, that we capture in our algorithms. Restricted to “professional investors” as defined in the Securities and Futures Ordinance in Hong Kong. Trading started on Aug 1st, 2010 with founders' funds under a different corporate entity. It was then suspended during Oct and Nov 2010 (due to corporate changes and the creation of Noho Capital).

Investment Strategy

NoHo Capital runs a 100% systematic trading program based on various algorithms: trend-following, contrarian, deterministic and intraday. Instruments covered are equity index futures across Asia.

Risk Management

We follow a strict policy on risk management methodology for the day-to-day operations:
- markets liquidity is a key factor for assets allocation
- embedded leverage is an inverse function of short-term volatility
- maximum authorized embedded leverage by market is 5x.
- maximum net exposure per market is 5 x.
- daily mark-to-market is based on official settlement prices
- stop-loss orders are set for each algorithm low cash requirements (margin to equity) due to algorithms diversification.
- disaster recovery plan allows business continuity

   

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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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
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
-3.13 8 5 12/1/2013 8/1/2014
-2.24 2 11 8/1/2012 10/1/2012
-2.03 4 4 1/1/0001 8/1/2011
-1.14 1 3 2/1/2012 3/1/2012
-0.97 1 4 4/1/2015 5/1/2015
-0.51 1 1 10/1/2013 11/1/2013
-0.17 1 1 12/1/2011 1/1/2012
-0.10 1 1 2/1/2015 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
4.62 5 6/1/2013 10/1/2013
4.29 6 9/1/2014 2/1/2015
4.14 3 6/1/2012 8/1/2012
3.66 3 9/1/2015 11/1/2015
2.65 4 9/1/2011 12/1/2011
2.55 1 4/1/2015 4/1/2015
1.31 1 4/1/2013 4/1/2013
1.24 3 11/1/2012 1/1/2013
0.91 2 6/1/2015 7/1/2015
0.61 1 12/1/2013 12/1/2013
0.37 1 2/1/2012 2/1/2012
0.31 1 4/1/2014 4/1/2014
0.27 1 6/1/2011 6/1/2011
0.10 1 6/1/2014 6/1/2014
0.10 1 4/1/2012 4/1/2012
0.06 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.24 2 9/1/2012 10/1/2012
-2.02 1 1/1/2014 1/1/2014
-1.60 1 5/1/2013 5/1/2013
-1.52 1 5/1/2011 5/1/2011
-1.14 1 3/1/2012 3/1/2012
-1.06 2 7/1/2014 8/1/2014
-0.97 1 5/1/2015 5/1/2015
-0.79 2 7/1/2011 8/1/2011
-0.74 2 2/1/2013 3/1/2013
-0.51 1 11/1/2013 11/1/2013
-0.46 1 5/1/2014 5/1/2014
-0.34 1 8/1/2015 8/1/2015
-0.17 1 1/1/2012 1/1/2012
-0.10 1 3/1/2015 3/1/2015
-0.08 1 3/1/2014 3/1/2014
-0.06 1 5/1/2012 5/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable63.6464.1578.0086.36100.0096.88100.00
Average Period Return0.240.731.462.743.584.747.17
Average Gain0.771.642.143.273.584.927.17
Average Loss-0.69-0.91-0.98-0.63-0.64
Best Period2.554.145.388.219.257.9611.69
Worst Period-2.02-2.04-2.09-1.680.56-0.644.60
Standard Deviation0.921.551.802.321.932.012.04
Gain Standard Deviation0.611.071.352.031.931.782.04
Loss Standard Deviation0.580.620.740.56
Sharpe Ratio (1%)0.170.310.530.751.081.362.03
Average Gain / Average Loss1.111.802.195.227.71
Profit / Loss Ratio1.953.227.7633.05238.98
Downside Deviation (10%)0.751.391.923.144.445.858.82
Downside Deviation (5%)0.580.790.780.660.190.49
Downside Deviation (0%)0.540.660.570.300.11
Sortino Ratio (10%)-0.22-0.36-0.53-0.72-0.91-0.94-0.97
Sortino Ratio (5%)0.270.611.232.6210.925.63
Sortino Ratio (0%)0.441.112.579.1742.07

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.