Amplitude Capital International Limited : Dynamic Strategy

Closed to new investments
Year-to-Date
7.19%
Mar Performance
7.01%
Min Investment
Mgmt. Fee
1.00%
Perf. Fee
30.00%
Annualized Vol
14.59%
Sharpe (RFR=1%)
0.30
CAROR
4.42%
Assets
$ 107.6M
Worst DD
-26.52
S&P Correlation
0.04

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/2005
Dynamic Strategy 7.01 7.19 7.19 2.23 -4.12 -19.00 -2.60 81.88
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 251.60 135.48
+/- S&P 500 5.22 -5.87 -5.87 -5.09 -40.34 -68.85 -254.20 -53.59

Strategy Description

Summary

The Dynamic strategy trades highly liquid exchange-traded futures via both managed accounts and the Amplitude Trading Strategies Fund Limited (the ''Fund''). Instruments include equity indices, FX, fixed income and commodities. This is a systematic and fully automated directional program... Read More

Account & Fees

Type
Fund
Minimum Investment
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
Yes

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
4200 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified 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

Counter-trend
50.00%
Momentum
50.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
20.00%
Currency FX
17.00%
Energy
2.00%
Precious Metals
1.00%
Composition Pie Chart

Summary

The Dynamic strategy trades highly liquid exchange-traded futures via both managed accounts and the Amplitude Trading Strategies Fund Limited (the ''Fund''). Instruments include equity indices, FX, fixed income and commodities. This is a systematic and fully automated directional program which uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology to detect ultra short to short term market trends and reversions. Execution is entirely electronic and utilizes in-house proprietary software to facilitate ultra-fast execution. Execution costs and slippage are closely monitored to ensure that adverse market impact is kept to a minimum. The risk management function is monitored real-time and is fully automated. Currently, 39 markets are traded and each instrument is independently analyzed and has an average holding period of 1-2 days. The strategy is hard closed.

   

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=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
-26.52 9 - 12/1/2014 9/1/2015
-18.02 15 16 9/1/2008 12/1/2009
-11.51 8 22 4/1/2011 12/1/2011
-9.18 4 2 4/1/2006 8/1/2006
-4.67 1 4 11/1/2005 12/1/2005
-3.98 2 1 6/1/2008 8/1/2008
-3.56 5 5 2/1/2014 7/1/2014
-3.23 1 1 5/1/2007 6/1/2007
-2.56 1 2 11/1/2006 12/1/2006
-1.14 1 2 11/1/2013 12/1/2013
-0.56 1 1 2/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
60.04 12 7/1/2007 6/1/2008
17.89 2 10/1/2015 11/1/2015
17.05 4 3/1/2010 6/1/2010
16.70 6 6/1/2005 11/1/2005
14.85 3 9/1/2006 11/1/2006
13.23 1 9/1/2008 9/1/2008
12.37 1 5/1/2009 5/1/2009
11.00 2 6/1/2016 7/1/2016
9.18 3 1/1/2012 3/1/2012
8.82 1 5/1/2012 5/1/2012
8.80 4 7/1/2009 10/1/2009
7.94 3 2/1/2011 4/1/2011
7.81 3 2/1/2016 4/1/2016
7.80 3 9/1/2013 11/1/2013
7.40 3 7/1/2011 9/1/2011
7.36 5 7/1/2017 11/1/2017
7.01 1 3/1/2019 3/1/2019
6.23 2 4/1/2007 5/1/2007
5.51 2 3/1/2006 4/1/2006
5.34 3 11/1/2012 1/1/2013
4.99 3 3/1/2017 5/1/2017
4.88 3 11/1/2016 1/1/2017
4.58 1 5/1/2018 5/1/2018
4.55 1 7/1/2013 7/1/2013
4.37 1 1/1/2006 1/1/2006
4.03 2 1/1/2009 2/1/2009
3.96 2 2/1/2015 3/1/2015
3.67 1 8/1/2014 8/1/2014
3.58 1 7/1/2012 7/1/2012
3.37 1 1/1/2010 1/1/2010
3.28 2 1/1/2014 2/1/2014
3.25 2 11/1/2014 12/1/2014
3.18 1 8/1/2018 8/1/2018
3.11 2 8/1/2010 9/1/2010
2.94 2 3/1/2013 4/1/2013
2.76 2 1/1/2007 2/1/2007
2.05 2 6/1/2006 7/1/2006
1.80 1 4/1/2014 4/1/2014
0.78 1 12/1/2010 12/1/2010
0.70 2 12/1/2018 1/1/2019
0.52 1 9/1/2012 9/1/2012
0.30 1 11/1/2008 11/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.23 6 4/1/2015 9/1/2015
-18.82 5 12/1/2017 4/1/2018
-11.43 1 12/1/2008 12/1/2008
-11.27 2 12/1/2015 1/1/2016
-11.23 3 10/1/2011 12/1/2011
-11.14 1 6/1/2009 6/1/2009
-10.20 3 8/1/2016 10/1/2016
-10.05 2 11/1/2009 12/1/2009
-7.89 2 3/1/2009 4/1/2009
-7.19 2 5/1/2011 6/1/2011
-6.83 1 8/1/2006 8/1/2006
-6.71 1 1/1/2015 1/1/2015
-5.73 1 6/1/2012 6/1/2012
-5.44 1 10/1/2012 10/1/2012
-5.36 3 9/1/2018 11/1/2018
-5.32 1 4/1/2012 4/1/2012
-4.94 2 10/1/2010 11/1/2010
-4.67 1 12/1/2005 12/1/2005
-4.66 2 6/1/2018 7/1/2018
-4.48 1 5/1/2006 5/1/2006
-4.16 1 2/1/2006 2/1/2006
-3.98 2 7/1/2008 8/1/2008
-3.50 3 5/1/2014 7/1/2014
-3.23 1 6/1/2007 6/1/2007
-3.19 2 5/1/2013 6/1/2013
-3.02 2 9/1/2014 10/1/2014
-2.61 1 8/1/2012 8/1/2012
-2.58 1 6/1/2017 6/1/2017
-2.56 1 12/1/2006 12/1/2006
-2.44 1 8/1/2013 8/1/2013
-1.97 1 7/1/2010 7/1/2010
-1.94 1 2/1/2010 2/1/2010
-1.83 1 3/1/2014 3/1/2014
-1.81 1 2/1/2013 2/1/2013
-1.44 1 10/1/2008 10/1/2008
-1.14 1 12/1/2013 12/1/2013
-1.13 1 2/1/2017 2/1/2017
-0.93 1 1/1/2011 1/1/2011
-0.73 1 5/1/2016 5/1/2016
-0.56 1 3/1/2007 3/1/2007
-0.10 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods166.00164.00161.00155.00149.00143.00131.00119.00107.00
Percent Profitable59.6460.3753.4260.0061.0760.8459.5459.6663.55
Average Period Return0.451.192.264.748.0211.1715.5017.0021.68
Average Gain3.055.298.9913.7619.3424.1031.6335.9840.98
Average Loss-3.40-5.06-5.45-8.80-9.73-8.92-8.23-11.08-11.97
Best Period13.2317.5435.5060.0478.8798.0499.55105.64106.02
Worst Period-13.28-16.11-24.23-24.42-25.07-20.67-20.50-25.89-25.69
Standard Deviation4.216.669.9216.2721.4325.1730.8834.0038.08
Gain Standard Deviation2.664.317.6914.3519.8724.3030.6331.5435.08
Loss Standard Deviation2.954.355.676.886.656.125.558.406.90
Sharpe Ratio (1%)0.090.140.180.230.300.360.400.380.44
Average Gain / Average Loss0.901.041.651.561.992.703.843.253.42
Profit / Loss Ratio1.331.591.892.353.124.205.654.805.97
Downside Deviation (10%)3.054.816.659.8211.6812.8416.4522.6826.35
Downside Deviation (5%)2.894.315.597.558.137.827.9810.9811.14
Downside Deviation (0%)2.854.195.357.047.336.756.308.808.31
Sortino Ratio (10%)0.01-0.01-0.03-0.030.040.07-0.02-0.20-0.23
Sortino Ratio (5%)0.130.220.320.500.801.171.561.181.49
Sortino Ratio (0%)0.160.280.420.671.091.652.461.932.61

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 9 3.77 10/2009
IASG CTA Index Month 5 14.48 9/2008
Systematic Trader Index Month 5 14.48 9/2008
Diversified Trader Index Month 5 14.48 9/2008
Diversified Trader Index Month 9 3.94 4/2008
Diversified Trader Index Month 7 6.16 3/2008
IASG CTA Index Year Rolling 10 46.79 2006 - 2007
Diversified Trader Index Month 9 7.01 11/2007
Diversified Trader Index Month 8 4.13 8/2007
Systematic Trader Index Month 2 6.91 10/2005
Diversified Trader Index Month 2 6.91 10/2005
IASG CTA Index Month 3 6.91 10/2005

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.