Altradis Capital AG : AlphAlgo

archived programs
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

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
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

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... Read More

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%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
23.00%
Interest Rates
23.00%
Softs
18.00%
Stock Indices
13.00%
Grains
10.00%
Industrial Metals
7.00%
Precious Metals
3.00%
Energy
3.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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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 Profitable46.6750.0052.9444.3042.4744.7838.1841.8632.26
Average Period Return0.320.791.361.681.34-0.23-0.82-0.98-4.34
Average Gain4.907.379.3316.2620.9120.6928.9631.2831.48
Average Loss-3.69-5.79-7.61-9.91-13.10-17.20-19.21-24.21-21.40
Best Period20.3124.4638.0141.9961.4861.0558.8170.2059.60
Worst Period-13.87-24.36-20.46-30.98-37.09-40.57-36.93-37.04-29.38
Standard Deviation5.929.0611.2616.6422.4924.2127.7231.3028.44
Gain Standard Deviation5.027.448.7312.4819.9519.3119.5521.7720.90
Loss Standard Deviation3.014.715.578.269.6710.6610.635.978.33
Sharpe Ratio (1%)0.040.060.080.04-0.01-0.09-0.14-0.16-0.33
Average Gain / Average Loss1.331.271.231.641.601.201.511.291.47
Profit / Loss Ratio1.161.271.381.301.180.980.930.930.70
Downside Deviation (10%)3.705.967.9012.7317.4022.0128.9435.5341.43
Downside Deviation (5%)3.515.396.7210.1713.2416.2819.3322.0222.82
Downside Deviation (0%)3.465.256.449.5912.3014.9817.2018.9918.84
Sortino Ratio (10%)-0.02-0.07-0.14-0.26-0.36-0.48-0.57-0.63-0.77
Sortino Ratio (5%)0.070.100.130.07-0.01-0.14-0.20-0.23-0.41
Sortino Ratio (0%)0.090.150.210.180.11-0.02-0.05-0.05-0.23

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.