Amati Global Investors Ltd : Systematic Trend Fund

archived programs
Year-to-Date
N / A
Sep Performance
-2.06%
Min Investment
$ 75k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
12.01%
Sharpe (RFR=1%)
-1.32
CAROR
-14.46%
Assets
$ 3.7M
Worst DD
-30.55
S&P Correlation
-0.23

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
6/2011
Systematic Trend Fund -2.06 - - - - - - -30.55
S&P 500 2.97 - - - - - - 162.31
+/- S&P 500 -5.03 - - - - - - -192.85

Strategy Description

Summary

Systematic trading, the following of trading rules across a broad selection of tradeable futures markets, has brought consistent success over the last 25 years. At the core of the trading style is trend following. The underlying philosophy of the investment approach is that the... Read More

Account & Fees

Type Fund
Minimum Investment $ 75k
Trading Level Incremental Increase $ 75k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $5.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 25.00%
4-12 Months 25.00%
1-3 Months 25.00%
1-30 Days 25.00%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
17.00%
Precious Metals
17.00%
Energy
17.00%
Softs
17.00%
Grains
16.00%
Stock Indices
16.00%
Composition Pie Chart

Summary

Systematic trading, the following of trading rules across a broad selection of tradeable futures markets, has brought consistent success over the last 25 years. At the core of the trading style is trend following. The underlying philosophy of the investment approach is that the nature of markets, and the flow of money in those markets, leads to trends. The investment manager does not predict which markets will trend, or in which direction a trend may occur. However, historical analysis suggests that with good trend identification and sound money management techniques in place, these trends can be profitably followed over the long term by a well constructed portfolio. In normal circumstances trading model signals are 100% adhered to. However experience has led the investment managers to allow themselves some discretion, always motivated by the need to preserve investors‟ capital. This means that the investment managers will never take a risk that exceeds that signalled by the model, but may choose to reduce portfolio risk, if they believe circumstances justify such action. Ordinarily all positions are held on regulated futures exchanges. In the exceptional circumstances where risk reduction is deemed necessary the fund managers might choose to use regulated options markets, or, in the absence of liquid futures markets (such as Sep 11 2001), over –the-counter markets. Any such action would be clearly accounted for. The model follows proprietary trading rules, with signals generated at specific points during the 24-hour trading cycle. Positions in each futures contract can be long, short, or flat. The fund trades futures markets from every sector, on regulated global exchanges. Futures contracts are generally low cost and highly liquid, and minimise counterparty risk, as well as providing transparency in pricing and valuation. Those chosen for inclusion in the portfolio will have satisfied trading criteria with regard to performance and correlation, as well as met requirements with respect to liquidity and operational risk. No contract is ever taken to physical delivery.

Investment Strategy

To produce long-term capital growth from investing in global futures markets, following a systematic trading process. The aim of the investment approach is the delivery of attractive returns that importantly do not correlate to long term returns from traditional asset classes such as stocks, bonds and property. The principals have had 12 years experience of what it takes to operate a systematic trading approach to markets. They have learned that any strategy must be clearly understood by fund managers and investors alike, in order to endure the hard times and prosper in the periods where markets trend.

Risk Management

Positions are trend following. Trend reversal leads to position reversal. Positions are traded in units of risk, so as markets increase in volatility, absolute position sizes are reduced, and vice versa. Money management techniques are used in preference to stop-losses. Position/risk limits are always systematically adhered to. 2008 was probably the period that provided the most extreme stress-test. Profits are reinvested in the fund. Position sizes are a function of funds under management. Losses thus lead to reduced positions, across the board.

   

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
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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
-30.55 -1 - 1/1/0001 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
10.01 3 7/1/2011 9/1/2011
4.12 2 1/1/2012 2/1/2012
3.05 2 3/1/2013 4/1/2013
2.48 1 12/1/2012 12/1/2012
0.90 1 5/1/2012 5/1/2012
0.41 1 11/1/2011 11/1/2011
0.07 1 7/1/2013 7/1/2013
0.03 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.17 4 8/1/2012 11/1/2012
-9.19 1 6/1/2011 6/1/2011
-8.14 2 1/1/2013 2/1/2013
-7.66 2 5/1/2013 6/1/2013
-5.15 1 10/1/2011 10/1/2011
-5.06 1 6/1/2012 6/1/2012
-3.44 2 8/1/2013 9/1/2013
-1.43 2 3/1/2012 4/1/2012
-0.10 1 12/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable42.8615.3817.395.880.00
Average Period Return-1.24-3.37-7.02-15.68-22.24
Average Gain1.745.382.802.91
Average Loss-3.47-4.96-9.08-16.84-22.24
Best Period8.2810.014.672.91-9.46
Worst Period-9.19-12.61-18.49-24.00-29.45
Standard Deviation3.475.016.788.095.60
Gain Standard Deviation2.303.091.92
Loss Standard Deviation2.313.365.446.735.60
Sharpe Ratio (1%)-0.38-0.72-1.11-2.06-4.24
Average Gain / Average Loss0.501.080.310.17
Profit / Loss Ratio0.380.200.060.01
Downside Deviation (10%)3.386.4411.5622.1230.30
Downside Deviation (5%)3.175.679.9518.4324.33
Downside Deviation (0%)3.125.479.5617.5222.87
Sortino Ratio (10%)-0.49-0.71-0.82-0.93-0.98
Sortino Ratio (5%)-0.42-0.64-0.76-0.91-0.98
Sortino Ratio (0%)-0.40-0.62-0.73-0.89-0.97

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.