American Optimal Advisors : AORDA Portfolio 3

archived programs
Year-to-Date
N / A
Nov Performance
0.83%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.38%
Sharpe (RFR=0.50%)
0.79
CAROR
9.96%
Assets
$ 793k
Worst DD
-14.74
S&P Correlation
0.11

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 Since
12/2008
AORDA Portfolio 3 0.83 2.67 - 2.36 13.38 60.74 - 60.74
S&P 500 2.80 10.58 - 27.51 52.94 101.45 - 99.89
+/- S&P 500 -1.97 -7.91 - -25.15 -39.56 -40.71 - -39.15

Strategy Description

Summary

AORDA Portfolio 3 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 3 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
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
N/A
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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

AORDA Portfolio 3 is a managed futures investment strategy offered by American Optimal Advisors (AOA), a US-based corporation (Florida-registered investment advisor). AORDA Portfolio 3 is offered in the form of managed accounts for accredited investors. Accounts can be opened at Interactive Brokers.

Investment Strategy

Portfolio composition: up to 66.5% of capital in Futures on index S&P500 with leverage 2, 33% of capital is always fully invested in Futures on S&P500; up to 33.5% of capital in Futures on index NASDAQ100 with leverage 2; no investments are made in individual stocks or any other instruments. Portfolio positions are rebalanced twice per day. Portfolio is constructed to have slightly positive correlation with S&P500. Most favorable outcomes are achieved in bull 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 (NASDAQ 100) and S&P500; both long and short positions are allowed.

   

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=0.50%)
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=0.50%)
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
-14.74 11 3 5/1/2009 4/1/2010
-6.35 1 3 4/1/2012 5/1/2012
-5.42 4 3 8/1/2011 12/1/2011
-5.22 2 1 5/1/2011 7/1/2011
-3.56 1 1 3/1/2009 4/1/2009
-3.11 12 - 8/1/2012 8/1/2013
-2.74 1 2 2/1/2011 3/1/2011
-0.39 1 1 12/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
40.10 10 5/1/2010 2/1/2011
16.33 2 2/1/2009 3/1/2009
9.45 1 8/1/2011 8/1/2011
7.59 4 1/1/2012 4/1/2012
7.13 1 5/1/2009 5/1/2009
5.95 1 12/1/2008 12/1/2008
5.36 1 6/1/2012 6/1/2012
4.97 2 7/1/2009 8/1/2009
3.42 2 4/1/2011 5/1/2011
2.67 3 9/1/2013 11/1/2013
2.34 1 3/1/2013 3/1/2013
1.79 1 8/1/2012 8/1/2012
1.72 1 1/1/2013 1/1/2013
1.36 2 2/1/2010 3/1/2010
1.04 1 11/1/2011 11/1/2011
0.58 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.18 5 9/1/2009 1/1/2010
-9.22 1 6/1/2009 6/1/2009
-6.35 1 5/1/2012 5/1/2012
-5.22 2 6/1/2011 7/1/2011
-4.52 2 9/1/2011 10/1/2011
-3.56 1 4/1/2009 4/1/2009
-2.87 3 6/1/2013 8/1/2013
-2.82 4 9/1/2012 12/1/2012
-2.74 1 3/1/2011 3/1/2011
-1.96 1 12/1/2011 12/1/2011
-1.73 1 4/1/2010 4/1/2010
-1.42 1 2/1/2013 2/1/2013
-0.55 1 4/1/2013 4/1/2013
-0.39 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable56.6760.3465.4581.6393.0297.30100.00100.00
Average Period Return0.862.414.419.1916.3022.9935.3740.09
Average Gain3.105.688.7112.1717.5623.6635.3740.09
Average Loss-2.16-2.58-3.73-4.08-0.52-0.98
Best Period10.0817.8526.8739.0645.1048.7652.5257.03
Worst Period-9.22-8.64-12.94-10.36-0.91-0.9813.3827.07
Standard Deviation3.575.869.0812.5612.4814.2811.208.84
Gain Standard Deviation2.645.198.1311.8712.0113.8811.208.84
Loss Standard Deviation2.272.103.444.150.35
Sharpe Ratio (1%)0.220.370.430.651.191.472.894.08
Average Gain / Average Loss1.442.202.332.9933.7624.22
Profit / Loss Ratio1.953.354.4213.27450.12871.99
Downside Deviation (10%)2.192.744.194.512.532.790.48
Downside Deviation (5%)2.042.203.172.750.540.49
Downside Deviation (0%)2.002.072.952.420.160.16
Sortino Ratio (10%)0.200.430.460.933.444.5641.11
Sortino Ratio (5%)0.380.981.232.9827.4142.73
Sortino Ratio (0%)0.431.161.503.79104.17143.19

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.