Altradis Capital AG : Allvega

archived programs
Year-to-Date
N / A
Oct Performance
1.53%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.73%
Sharpe (RFR=1%)
0.72
CAROR
11.66%
Assets
$ 520k
Worst DD
-27.87
S&P Correlation
-0.16

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
5/2007
Allvega 1.53 - - - - - 4.85 128.64
S&P 500 2.32 - - - - - 78.53 126.32
+/- S&P 500 -0.79 - - - - - -73.67 2.31

Strategy Description

Summary

Allvega is a systematic trading program exploiting any kind of return distribution. It combines a long volatility strategy - which captures 'tail risk' distribution with high probability - with a short volatility strategy - which captures 'normal' market distribution with high probability.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 900 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 12.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 1.00%
1-3 Months 80.00%
1-30 Days 19.00%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Momentum
28.00%
Option-writing
44.00%
Trend-following
28.00%
Strategy Pie Chart

Composition

Stock Indices
49.00%
Currency Futures
13.00%
Interest Rates
13.00%
Precious Metals
6.00%
Other
5.00%
Energy
4.00%
Grains
4.00%
Softs
4.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

Allvega is a systematic trading program exploiting any kind of return distribution. It combines a long volatility strategy - which captures 'tail risk' distribution with high probability - with a short volatility strategy - which captures 'normal' market distribution with high probability. The aim is to offer constant positive returns and enhanced performance in tail risk environments. Instruments traded are liquid Futures and Options. Altradis is the advisor of the strategy which can be accessed via a fund or managed accounts.

Investment Strategy

In normal market conditions (short volatility) writing options earn premiums but produce a negatively skewed return distribution. In extreme market conditions (long volatility) trend-following strategies capture tail events with high probability but may produce many small losses (positive skew). The worst scenario of one strategy is the best scenario of the other and vice versa. Thus, by combining both strategies and applying sophisticated asset allocation of the funds it is possible to achieve a very favourable return distribution irrespective of future market behaviour. In addition, the correlation to other investments is generally very low.

Risk Management

Risk Management and position sizing are crucial to the success of the strategy. The dimensions of controlling risks are 1.combining strategies wich capture tail events and have positive carry; 2.diversifying into uncorrelated financial and commodity markets worldwide; 3.keeping maximum margin for both strategies below 35%; 4.daily position adjustment relative to option delta and trend strength of each individual market; 5.exiting positions at pre-determined stop loss levels. There is no guarantee that both strategies complement each other at all times.

   

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
-27.87 12 - 7/1/2012 7/1/2013
-12.52 3 10 7/1/2009 10/1/2009
-9.75 4 2 6/1/2008 10/1/2008
-7.54 2 3 4/1/2011 6/1/2011
-6.42 2 1 6/1/2007 8/1/2007
-6.15 1 1 10/1/2010 11/1/2010
-5.73 1 2 9/1/2011 10/1/2011
-3.37 1 1 8/1/2010 9/1/2010
-3.18 1 1 2/1/2011 3/1/2011
-2.15 1 1 2/1/2012 3/1/2012
-1.72 2 1 4/1/2012 6/1/2012
-0.87 1 1 12/1/2011 1/1/2012
-0.74 2 1 2/1/2009 4/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
57.32 10 9/1/2007 6/1/2008
37.75 4 11/1/2008 2/1/2009
12.83 4 11/1/2009 2/1/2010
10.58 3 12/1/2010 2/1/2011
10.50 2 11/1/2011 12/1/2011
9.56 4 8/1/2013 11/1/2013
9.14 1 4/1/2011 4/1/2011
9.08 2 7/1/2010 8/1/2010
8.73 3 5/1/2009 7/1/2009
8.09 1 9/1/2011 9/1/2011
6.89 1 5/1/2010 5/1/2010
6.41 1 4/1/2012 4/1/2012
6.12 2 5/1/2007 6/1/2007
5.59 1 10/1/2010 10/1/2010
5.40 1 7/1/2011 7/1/2011
3.92 2 2/1/2014 3/1/2014
3.68 1 11/1/2012 11/1/2012
3.37 1 7/1/2012 7/1/2012
2.80 1 8/1/2008 8/1/2008
2.65 1 5/1/2013 5/1/2013
2.54 1 6/1/2014 6/1/2014
2.42 1 2/1/2012 2/1/2012
2.28 2 9/1/2014 10/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.96 2 6/1/2013 7/1/2013
-13.78 5 12/1/2012 4/1/2013
-12.52 3 8/1/2009 10/1/2009
-8.93 2 3/1/2010 4/1/2010
-8.64 3 8/1/2012 10/1/2012
-8.10 2 9/1/2008 10/1/2008
-7.54 2 5/1/2011 6/1/2011
-6.42 2 7/1/2007 8/1/2007
-6.15 1 11/1/2010 11/1/2010
-5.73 1 10/1/2011 10/1/2011
-4.64 2 4/1/2014 5/1/2014
-4.47 1 7/1/2008 7/1/2008
-3.37 1 9/1/2010 9/1/2010
-3.18 1 3/1/2011 3/1/2011
-2.15 1 3/1/2012 3/1/2012
-1.72 2 5/1/2012 6/1/2012
-1.47 1 8/1/2011 8/1/2011
-1.43 2 12/1/2013 1/1/2014
-0.87 1 1/1/2012 1/1/2012
-0.76 1 6/1/2010 6/1/2010
-0.74 2 3/1/2009 4/1/2009
-0.33 2 7/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable55.5662.5070.5972.1572.6073.1376.3697.67100.00
Average Period Return1.023.066.4012.2017.8624.1137.8355.2269.05
Average Gain4.237.6312.1921.0929.8838.1750.7556.5969.05
Average Loss-2.99-4.56-7.47-10.83-13.99-14.16-3.91-2.51
Best Period12.2933.1848.9154.4995.58106.53119.56143.98179.48
Worst Period-10.02-12.52-18.59-27.87-22.57-21.28-11.07-2.516.89
Standard Deviation4.548.5713.3418.9427.2532.2934.6247.6459.53
Gain Standard Deviation3.147.2911.3113.6421.7425.9729.1947.3559.53
Loss Standard Deviation2.243.794.908.157.014.883.29
Sharpe Ratio (1%)0.210.330.440.590.600.681.011.071.07
Average Gain / Average Loss1.421.671.631.952.142.7012.9722.54
Profit / Loss Ratio1.772.793.915.055.667.3441.91946.52
Downside Deviation (10%)2.704.226.009.3611.8812.9610.178.388.00
Downside Deviation (5%)2.523.735.057.538.868.743.721.07
Downside Deviation (0%)2.483.614.827.098.157.742.450.38
Sortino Ratio (10%)0.230.430.660.770.861.072.174.025.18
Sortino Ratio (5%)0.370.751.171.491.852.539.3647.93
Sortino Ratio (0%)0.410.851.331.722.193.1215.47144.19

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.