Altradis Capital AG : AlphAlgo Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2007 AlphAlgo 0.21 - - - - - -27.05 14.58 S&P 500 2.32 - - - - - 78.53 180.65 +/- S&P 500 -2.11 - - - - - -105.58 -166.07 Strategy Description SummaryAlphAlgo 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% 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% SummaryAlphAlgo 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 StrategyAlphAlgo 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel