American Optimal Advisors : AORDA Portfolio 2 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance 0.68% Min Investment $ 200k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.49% Sharpe (RFR=1%) 0.90 CAROR 17.37% Assets $ 94k Worst DD -28.17 S&P Correlation -0.34 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since1/2005 AORDA Portfolio 2 0.68 - - - - - 7.61 317.02 S&P 500 2.80 - - - - - 70.62 243.65 +/- S&P 500 -2.12 - - - - - -63.01 73.37 Strategy Description SummaryAORDA Portfolio 2 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 2 is offered in the form of managed accounts for accredited... Read More Account & Fees Type Managed Account Minimum Investment $ 200k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 100.00% Composition Stock Indices 100.00% SummaryAORDA Portfolio 2 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 2 is offered in the form of managed accounts for accredited investors. Accounts can be opened at Interactive Brokers.Investment StrategyPortfolio composition: up to 50% in Futures on index S&P500 with leverage 2 and up to 50% in Futures on index NASDAQ100 with leverage 2; remaining capital is invested in cash. Investments are only in indices S&P500 and NASDAQ100; no investments are made in individual stocks or any other instruments. Portfolio positions are rebalanced twice per day. Portfolio is constructed to have negative correlation with S&P500. Most favorable outcomes are achieved in bear market.Risk ManagementRisk control of the portfolio is achieved by using formal state-of-the-art risk management/optimization techniques. AOA portfolios incorporate mathematical information about various U.S. indices and designed scenario outcomes that reflect up-to-date statistics of future states. Worldwide financial and macroeconomic data are used to build the scenarios. Portfolio weights are obtained as the result of an optimization problem: the portfolio expected return is maximized with a constraint on Conditional Value-at-Risk (CVaR) and back-tested on historical data in various market conditions. The CVaR risk measure evaluates the average of worst-case 10% scenario losses. Solution of the optimization problem gives the weights to assign to Money Market account and Futures on two US Indices: NDX (NASDAQ100) and S&P500; both long and short positions are allowed. 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 -28.17 11 5 5/1/2009 4/1/2010 -11.39 4 9 4/1/2005 8/1/2005 -11.35 2 2 8/1/2006 10/1/2006 -10.27 9 - 8/1/2011 5/1/2012 -6.72 2 1 7/1/2007 9/1/2007 -4.47 3 4 1/1/2011 4/1/2011 -3.25 1 1 3/1/2009 4/1/2009 -3.04 2 1 11/1/2008 1/1/2009 -2.86 1 1 7/1/2008 8/1/2008 -2.66 1 2 4/1/2007 5/1/2007 -2.52 1 1 2/1/2005 3/1/2005 -0.92 1 1 10/1/2007 11/1/2007 -0.64 1 1 12/1/2006 1/1/2007 -0.42 1 1 11/1/2010 12/1/2010 -0.11 1 1 5/1/2008 6/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 46.51 7 5/1/2010 11/1/2010 42.02 3 9/1/2008 11/1/2008 38.96 7 2/1/2006 8/1/2006 31.62 6 12/1/2007 5/1/2008 16.37 2 7/1/2011 8/1/2011 13.23 2 2/1/2009 3/1/2009 13.15 2 11/1/2006 12/1/2006 11.80 2 1/1/2005 2/1/2005 10.72 2 11/1/2005 12/1/2005 9.27 1 7/1/2008 7/1/2008 8.27 3 2/1/2007 4/1/2007 8.03 1 10/1/2007 10/1/2007 6.84 1 6/1/2012 6/1/2012 5.66 4 1/1/2012 4/1/2012 5.55 2 6/1/2007 7/1/2007 4.83 1 4/1/2005 4/1/2005 4.19 1 5/1/2009 5/1/2009 4.10 1 1/1/2011 1/1/2011 3.73 1 5/1/2011 5/1/2011 3.56 1 9/1/2005 9/1/2005 3.31 1 6/1/2005 6/1/2005 2.54 1 8/1/2012 8/1/2012 1.74 1 3/1/2013 3/1/2013 1.68 2 5/1/2013 6/1/2013 1.25 1 10/1/2012 10/1/2012 1.20 1 1/1/2010 1/1/2010 0.84 1 3/1/2010 3/1/2010 0.68 1 11/1/2013 11/1/2013 0.63 1 9/1/2013 9/1/2013 0.11 1 11/1/2011 11/1/2011 0.02 1 12/1/2012 12/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -26.29 7 6/1/2009 12/1/2009 -11.35 2 9/1/2006 10/1/2006 -9.29 2 7/1/2005 8/1/2005 -7.83 2 9/1/2011 10/1/2011 -6.72 2 8/1/2007 9/1/2007 -6.34 1 5/1/2012 5/1/2012 -5.44 1 5/1/2005 5/1/2005 -4.47 3 2/1/2011 4/1/2011 -3.76 1 1/1/2006 1/1/2006 -3.59 1 6/1/2011 6/1/2011 -3.25 1 4/1/2009 4/1/2009 -3.24 1 9/1/2012 9/1/2012 -3.06 1 4/1/2013 4/1/2013 -3.04 2 12/1/2008 1/1/2009 -2.86 1 8/1/2008 8/1/2008 -2.66 1 5/1/2007 5/1/2007 -2.52 1 3/1/2005 3/1/2005 -2.33 1 4/1/2010 4/1/2010 -2.26 2 1/1/2013 2/1/2013 -2.24 1 2/1/2010 2/1/2010 -2.19 1 10/1/2005 10/1/2005 -1.73 1 12/1/2011 12/1/2011 -1.13 1 10/1/2013 10/1/2013 -0.92 1 11/1/2007 11/1/2007 -0.74 1 11/1/2012 11/1/2012 -0.66 2 7/1/2013 8/1/2013 -0.64 1 1/1/2007 1/1/2007 -0.42 1 12/1/2010 12/1/2010 -0.11 1 6/1/2008 6/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods107.00105.00102.0096.0090.0084.0072.0060.0048.00 Percent Profitable57.9461.9069.6179.1794.4497.62100.00100.00100.00 Average Period Return1.484.469.4321.6234.9548.6387.49124.22167.03 Average Gain4.579.7916.4529.8937.5949.9287.49124.22167.03 Average Loss-2.84-4.19-6.64-9.84-9.93-4.13 Best Period28.2142.0254.7098.20132.91146.29232.39241.29268.12 Worst Period-9.65-19.00-25.41-25.87-20.12-6.907.4813.1024.94 Standard Deviation5.3410.5316.5528.0633.2836.9059.5464.3563.23 Gain Standard Deviation4.779.6314.4125.4132.3236.3959.5464.3563.23 Loss Standard Deviation2.264.417.408.636.303.92 Sharpe Ratio (1%)0.260.400.540.731.011.261.421.872.56 Average Gain / Average Loss1.612.342.483.043.7912.09 Profit / Loss Ratio2.263.805.6811.5464.35495.56 Downside Deviation (10%)2.534.306.447.864.842.951.481.470.53 Downside Deviation (5%)2.363.845.626.273.021.06 Downside Deviation (0%)2.323.735.435.912.690.77 Sortino Ratio (10%)0.420.751.082.115.6513.0048.3269.77265.39 Sortino Ratio (5%)0.591.101.593.2911.0944.08 Sortino Ratio (0%)0.641.201.743.6612.9863.35 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. x {{title}} x {{title}} Add Cancel