American Optimal Advisors : AORDA Portfolio 2

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

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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	Nov	Qtr	2020	1yr	3yr	5yr	10yr	Since 1/2005
AORDA Portfolio 2	0.68	-	-	-	-	-	7.93	317.02
S&P 500	2.80	-	-	-	-	-	70.62	214.68
+/- S&P 500	-2.12	-	-	-	-	-	-62.69	102.34

Strategy Description

Summary

AORDA 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%

Summary

Investment Strategy

Portfolio 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 Management

Risk 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:

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Index: Chart Type:

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:

Monthly Annual

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	107.00	105.00	102.00	96.00	90.00	84.00	72.00	60.00	48.00
Percent Profitable	57.94	61.90	69.61	79.17	94.44	97.62	100.00	100.00	100.00
Average Period Return	1.48	4.46	9.43	21.62	34.95	48.63	87.49	124.22	167.03
Average Gain	4.57	9.79	16.45	29.89	37.59	49.92	87.49	124.22	167.03
Average Loss	-2.84	-4.19	-6.64	-9.84	-9.93	-4.13
Best Period	28.21	42.02	54.70	98.20	132.91	146.29	232.39	241.29	268.12
Worst Period	-9.65	-19.00	-25.41	-25.87	-20.12	-6.90	7.48	13.10	24.94
Standard Deviation	5.34	10.53	16.55	28.06	33.28	36.90	59.54	64.35	63.23
Gain Standard Deviation	4.77	9.63	14.41	25.41	32.32	36.39	59.54	64.35	63.23
Loss Standard Deviation	2.26	4.41	7.40	8.63	6.30	3.92
Sharpe Ratio (1%)	0.26	0.40	0.54	0.73	1.01	1.26	1.42	1.87	2.56
Average Gain / Average Loss	1.61	2.34	2.48	3.04	3.79	12.09
Profit / Loss Ratio	2.26	3.80	5.68	11.54	64.35	495.56
Downside Deviation (10%)	2.53	4.30	6.44	7.86	4.84	2.95	1.48	1.47	0.53
Downside Deviation (5%)	2.36	3.84	5.62	6.27	3.02	1.06
Downside Deviation (0%)	2.32	3.73	5.43	5.91	2.69	0.77
Sortino Ratio (10%)	0.42	0.75	1.08	2.11	5.65	13.00	48.32	69.77	265.39
Sortino Ratio (5%)	0.59	1.10	1.59	3.29	11.09	44.08
Sortino Ratio (0%)	0.64	1.20	1.74	3.66	12.98	63.35

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.

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American Optimal Advisors : AORDA Portfolio 2

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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American Optimal Advisors : AORDA Portfolio 2

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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