Altradis Capital AG : AlphAlgo

Year-to-Date: N / A
Oct Performance: 0.21%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 20.50%
Sharpe (RFR=1%): 0.14
CAROR: 1.83%

Assets: $ 5.2M
Worst DD: -42.85
S&P Correlation: -0.26

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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	2019	1yr	3yr	5yr	10yr	Since 5/2007
AlphAlgo	0.21	-2.66	-	-10.16	-27.47	-25.18	-	14.58
S&P 500	2.32	4.53	-	14.89	61.01	94.72	-	31.82
+/- S&P 500	-2.11	-7.18	-	-25.05	-88.48	-119.90	-	-17.25

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 10k
CTA Max Funding Factor: 4.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $2.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 1300 RT/YR/$M
Avg. Margin-to-Equity: 11%
Targeted Worst DD: -11.00%
Worst Peak-to-Trough: 6.45%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 5.00%
1-3 Months: 95.00%
1-30 Days: 0%
Intraday: 0%

Summary

AlphAlgo is an algorithmic trend following managed futures program, exploiting extended price moves both on the upside and on the downside of financial and commodity markets worldwide. The returns generated have no correlation to equities or bonds, hence the strategy is an excellent diversifier and alpha generator for any portfolio. Instruments traded are liquid Futures.

Investment Strategy

AlphAlgo is an algorithmic trend following program, exploiting extended price moves both on the upside and on the downside of financial and commodity markets worldwide. The returns generated have no correlation to equities or bonds, hence the strategy is an excellent diversifier and alpha generator for any portfolio. Instruments traded are liquid Futures.

Risk Management

Risk management: risk is controlled by two opposing forces and two distinct exit strategies: Risk is measured on two levels. First, risk for each market is measured as historical volatility. The higher the volatility the smaller the position size. Secondly, the more models confirm a trade, the lower the risk measure and the larger the position. Consequently, a low volatility market (=many positions) only gets an allocation of 1/3 of the “many positions” if the signal is only confirmed by one single model. Or a strongly trending market (=high volatility) will normally get few positions but if all three models confirm the trade, the position size will grow. The exit levels are always pre-determined for the trend following system and the breakout system. They are mostly different and therefore the final exit mostly occurs in several steps. Exits for the momentum strategy occur continuously with falling momentum of the market.

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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.

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Index:

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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
-42.85	23	-	9/1/2011	8/1/2013
-13.84	2	2	4/1/2011	6/1/2011
-9.84	9	6	7/1/2009	4/1/2010
-8.14	5	1	10/1/2010	3/1/2011
-6.71	3	1	1/1/2009	4/1/2009
-6.22	1	2	10/1/2007	11/1/2007
-4.88	5	3	2/1/2008	7/1/2008
-3.58	1	2	6/1/2007	7/1/2007
-2.41	1	1	5/1/2009	6/1/2009
-1.12	2	1	10/1/2008	12/1/2008

Consecutive Gains

Run-up	Length (Mos.)	Start	End
25.58	2	9/1/2013	10/1/2013
24.46	3	12/1/2007	2/1/2008
21.18	3	7/1/2011	9/1/2011
19.82	1	10/1/2008	10/1/2008
18.99	3	8/1/2007	10/1/2007
11.93	1	5/1/2013	5/1/2013
10.88	1	5/1/2010	5/1/2010
10.72	1	4/1/2011	4/1/2011
9.64	2	4/1/2012	5/1/2012
7.25	1	5/1/2009	5/1/2009
7.20	1	12/1/2010	12/1/2010
5.17	1	10/1/2010	10/1/2010
5.12	2	5/1/2007	6/1/2007
5.04	4	4/1/2014	7/1/2014
4.78	2	11/1/2012	12/1/2012
2.66	1	8/1/2008	8/1/2008
2.61	1	7/1/2009	7/1/2009
2.59	2	1/1/2010	2/1/2010
2.54	1	2/1/2012	2/1/2012
2.45	1	6/1/2008	6/1/2008
2.25	1	8/1/2010	8/1/2010
2.05	2	11/1/2011	12/1/2011
2.03	1	1/1/2009	1/1/2009
1.62	1	11/1/2009	11/1/2009
1.23	1	2/1/2011	2/1/2011
0.67	1	7/1/2012	7/1/2012
0.21	1	10/1/2014	10/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-24.36	3	6/1/2013	8/1/2013
-15.76	3	8/1/2012	10/1/2012
-13.84	2	5/1/2011	6/1/2011
-12.14	5	11/1/2013	3/1/2014
-11.10	1	10/1/2011	10/1/2011
-10.21	4	1/1/2013	4/1/2013
-8.32	1	6/1/2012	6/1/2012
-7.91	1	11/1/2010	11/1/2010
-7.33	1	3/1/2012	3/1/2012
-6.71	3	2/1/2009	4/1/2009
-6.22	1	11/1/2007	11/1/2007
-6.19	3	8/1/2009	10/1/2009
-5.58	2	3/1/2010	4/1/2010
-5.17	1	3/1/2011	3/1/2011
-3.97	3	3/1/2008	5/1/2008
-3.58	1	7/1/2007	7/1/2007
-3.50	2	6/1/2010	7/1/2010
-3.31	1	7/1/2008	7/1/2008
-3.07	1	1/1/2011	1/1/2011
-2.86	2	8/1/2014	9/1/2014
-2.41	1	6/1/2009	6/1/2009
-2.36	1	12/1/2009	12/1/2009
-2.35	1	1/1/2012	1/1/2012
-1.96	1	9/1/2008	9/1/2008
-1.18	1	9/1/2010	9/1/2010
-1.12	2	11/1/2008	12/1/2008

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	90.00	88.00	85.00	79.00	73.00	67.00	55.00	43.00	31.00
Percent Profitable	46.67	50.00	52.94	44.30	42.47	44.78	38.18	41.86	32.26
Average Period Return	0.32	0.79	1.36	1.68	1.34	-0.23	-0.82	-0.98	-4.34
Average Gain	4.90	7.37	9.33	16.26	20.91	20.69	28.96	31.28	31.48
Average Loss	-3.69	-5.79	-7.61	-9.91	-13.10	-17.20	-19.21	-24.21	-21.40
Best Period	20.31	24.46	38.01	41.99	61.48	61.05	58.81	70.20	59.60
Worst Period	-13.87	-24.36	-20.46	-30.98	-37.09	-40.57	-36.93	-37.04	-29.38
Standard Deviation	5.92	9.06	11.26	16.64	22.49	24.21	27.72	31.30	28.44
Gain Standard Deviation	5.02	7.44	8.73	12.48	19.95	19.31	19.55	21.77	20.90
Loss Standard Deviation	3.01	4.71	5.57	8.26	9.67	10.66	10.63	5.97	8.33
Sharpe Ratio (1%)	0.04	0.06	0.08	0.04	-0.01	-0.09	-0.14	-0.16	-0.33
Average Gain / Average Loss	1.33	1.27	1.23	1.64	1.60	1.20	1.51	1.29	1.47
Profit / Loss Ratio	1.16	1.27	1.38	1.30	1.18	0.98	0.93	0.93	0.70
Downside Deviation (10%)	3.70	5.96	7.90	12.73	17.40	22.01	28.94	35.53	41.43
Downside Deviation (5%)	3.51	5.39	6.72	10.17	13.24	16.28	19.33	22.02	22.82
Downside Deviation (0%)	3.46	5.25	6.44	9.59	12.30	14.98	17.20	18.99	18.84
Sortino Ratio (10%)	-0.02	-0.07	-0.14	-0.26	-0.36	-0.48	-0.57	-0.63	-0.77
Sortino Ratio (5%)	0.07	0.10	0.13	0.07	-0.01	-0.14	-0.20	-0.23	-0.41
Sortino Ratio (0%)	0.09	0.15	0.21	0.18	0.11	-0.02	-0.05	-0.05	-0.23

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	1	20.31	10/2013
Trend Following Strategy Index	Month	1	20.31	10/2013
Systematic Trader Index	Month	1	20.31	10/2013
Diversified Trader Index	Month	1	20.31	10/2013
Trend Following Strategy Index	Month	4	4.38	9/2013
Diversified Trader Index	Month	7	4.38	9/2013
IASG CTA Index	Month	2	11.93	5/2013
Diversified Trader Index	Month	2	11.93	5/2013
Systematic Trader Index	Month	1	11.93	5/2013
Trend Following Strategy Index	Month	1	11.93	5/2013
Trend Following Strategy Index	Month	5	3.76	11/2012
Trend Following Strategy Index	Month	10	3.46	4/2012
Diversified Trader Index	Month	9	10.88	5/2010

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

^#1

Top Performer

IASG CTA INDEX

OCTOBER
2013

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Altradis Capital AG : AlphAlgo

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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