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

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-1.23%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.35%
Sharpe (RFR=1%)
-0.04
CAROR
0.82%
Assets
$ 500k
Worst DD
-6.40
S&P Correlation
-0.26

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2011
Noho Capital - Managed Futures on Asian Equity Indices - Intraday -1.23 -0.34 - -0.89 -0.94 - - 3.18
S&P 500 5.49 1.79 - 13.18 54.10 - - 48.27
+/- S&P 500 -6.72 -2.13 - -14.07 -55.04 - - -45.09

Strategy Description

Summary

systematic intraday trading program focusing on Asian Equity markets 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. Currently... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
12

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

systematic intraday trading program focusing on Asian Equity markets 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. Currently operate under managed accounts only. A fund will be offered at a later stage.

Investment Strategy

NoHo Capital Management Ltd runs a systematic intraday trading program focusing on Asian Equity markets. Capturing alpha returns, our proprietary algorithms are based on trend following, contrarian and deterministic strategies. No bias is predetermined. Our algorithms are independent from each other. Intraday Strategies are part of the main NoHo Program and contribute to 50% of the global profit. Signals are intraday only, with no overnight position.

Risk Management

Risks are monitored following stringent rules, making low volatility and low drawdowns a high priority. Given its low correlation against other markets and even among it peers, the program offers effective diversification.

   

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
-6.40 7 - 8/1/2012 3/1/2013
-3.07 3 3 12/1/2011 3/1/2012
-0.30 1 1 6/1/2011 7/1/2011
-0.05 1 1 9/1/2011 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
5.50 5 4/1/2012 8/1/2012
4.55 2 11/1/2011 12/1/2011
1.93 2 8/1/2011 9/1/2011
1.43 5 9/1/2014 1/1/2015
0.94 1 8/1/2013 8/1/2013
0.83 1 10/1/2013 10/1/2013
0.80 2 5/1/2011 6/1/2011
0.55 2 6/1/2014 7/1/2014
0.51 1 4/1/2013 4/1/2013
0.48 2 12/1/2013 1/1/2014
0.20 1 6/1/2013 6/1/2013
0.13 1 4/1/2014 4/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.40 7 9/1/2012 3/1/2013
-3.07 3 1/1/2012 3/1/2012
-1.23 1 2/1/2015 2/1/2015
-0.78 2 2/1/2014 3/1/2014
-0.76 1 5/1/2014 5/1/2014
-0.63 1 8/1/2014 8/1/2014
-0.46 1 9/1/2013 9/1/2013
-0.34 1 5/1/2013 5/1/2013
-0.30 1 7/1/2011 7/1/2011
-0.13 1 11/1/2013 11/1/2013
-0.05 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable54.3554.5563.4142.8644.8343.48
Average Period Return0.070.240.410.36-0.15-0.56
Average Gain0.711.421.843.131.981.54
Average Loss-0.72-1.17-2.06-1.71-1.88-2.18
Best Period3.234.506.207.825.902.98
Worst Period-2.27-3.45-6.13-5.17-4.89-5.91
Standard Deviation0.971.802.503.212.612.42
Gain Standard Deviation0.731.351.592.692.040.97
Loss Standard Deviation0.601.141.741.601.491.88
Sharpe Ratio (1%)-0.010.00-0.04-0.20-0.64-1.06
Average Gain / Average Loss0.991.220.891.831.050.71
Profit / Loss Ratio1.231.461.551.370.850.55
Downside Deviation (10%)0.851.833.115.578.1611.07
Downside Deviation (5%)0.651.211.852.372.783.49
Downside Deviation (0%)0.611.091.611.751.762.12
Sortino Ratio (10%)-0.40-0.54-0.66-0.83-0.95-0.98
Sortino Ratio (5%)-0.020.00-0.05-0.27-0.60-0.74
Sortino Ratio (0%)0.120.220.260.21-0.09-0.26

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.