Amplitude Capital International Limited : Klassik Strategy

Year-to-Date: N / A
Mar Performance: 3.02%

Min Investment: $ 1,000k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 14.16%
Sharpe (RFR=1%): 0.24
CAROR: 3.45%

Assets: $ 606.4M
Worst DD: -23.51
S&P Correlation: 0.06

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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 9/2009
Klassik Strategy	3.02	-	-	-	-3.61	11.10	37.97	38.44
S&P 500	1.79	-	-	-	36.22	49.85	251.60	206.14
+/- S&P 500	1.23	-	-	-	-39.83	-38.75	-213.63	-167.70

Strategy Description

Summary

Account & Fees

Type	Fund
Minimum Investment	$ 1,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
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	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	2000 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: 20.00%
Trend-following: 80.00%

Composition

Stock Indices: 56.00%
Interest Rates: 28.00%
Currency Futures: 7.00%
Energy: 5.00%
Industrial Metals: 1.00%
Precious Metals: 1.00%
Softs: 1.00%
VIX: 1.00%

Summary

The Klassik Strategy trades via managed accounts and the Amplitude Trading Strategies Fund Limited (the ''Fund''). Instruments include liquid exchange traded futures across all asset classes: equities, FX, fixed income and commodities. This strategy utilizes a systematic and fully automated directional program which uses extensive quantitative analysis of real time price data and sophisticated portfolio methodology to detect short term market trends on multiple time frames. The strategy incorporates a small mean reversion component and some pattern recognition. Execution is entirely electronic. Execution costs and slippage are closely monitored. The risk management function is also monitored real-time and is fully automated. Currently, 73 markets are traded, with each instrument independently analyzed. The average holding period is 5 days.

Compare to:

{{result.name}} {{result.description}}

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:
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
-23.51	8	-	8/1/2017	4/1/2018
-21.48	9	6	3/1/2015	12/1/2015
-14.03	9	14	9/1/2012	6/1/2013
-12.30	3	14	11/1/2009	2/1/2010
-9.72	4	2	8/1/2011	12/1/2011
-7.28	2	2	4/1/2011	6/1/2011
-6.24	3	5	7/1/2016	10/1/2016
-4.57	1	2	5/1/2012	6/1/2012
-3.57	1	1	9/1/2009	10/1/2009
-3.05	1	1	8/1/2014	9/1/2014
-2.22	2	1	5/1/2017	7/1/2017
-1.72	1	2	2/1/2012	3/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
31.40	7	1/1/2016	7/1/2016
19.44	6	10/1/2014	3/1/2015
13.34	3	11/1/2018	1/1/2019
12.95	2	7/1/2011	8/1/2011
12.88	2	1/1/2012	2/1/2012
11.04	2	3/1/2010	4/1/2010
8.96	3	7/1/2012	9/1/2012
8.54	3	8/1/2010	10/1/2010
7.20	2	1/1/2014	2/1/2014
6.96	1	8/1/2014	8/1/2014
6.81	2	5/1/2014	6/1/2014
6.75	2	4/1/2012	5/1/2012
6.42	4	2/1/2017	5/1/2017
6.34	3	7/1/2015	9/1/2015
5.06	2	7/1/2018	8/1/2018
5.04	2	11/1/2016	12/1/2016
4.95	3	9/1/2013	11/1/2013
4.54	1	11/1/2009	11/1/2009
4.51	1	5/1/2018	5/1/2018
4.10	1	7/1/2013	7/1/2013
3.86	1	12/1/2010	12/1/2010
3.75	1	4/1/2011	4/1/2011
3.02	1	3/1/2019	3/1/2019
2.81	1	1/1/2013	1/1/2013
2.34	1	8/1/2017	8/1/2017
2.12	1	6/1/2010	6/1/2010
1.57	1	11/1/2012	11/1/2012
1.32	1	3/1/2013	3/1/2013
1.07	1	2/1/2011	2/1/2011
0.71	1	11/1/2017	11/1/2017
0.55	1	9/1/2009	9/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-20.58	5	12/1/2017	4/1/2018
-14.49	3	4/1/2015	6/1/2015
-13.65	3	10/1/2015	12/1/2015
-12.30	3	12/1/2009	2/1/2010
-10.63	3	4/1/2013	6/1/2013
-9.72	4	9/1/2011	12/1/2011
-8.24	1	7/1/2010	7/1/2010
-7.28	2	5/1/2011	6/1/2011
-6.60	1	10/1/2012	10/1/2012
-6.24	3	8/1/2016	10/1/2016
-5.62	2	3/1/2014	4/1/2014
-4.57	1	6/1/2012	6/1/2012
-4.54	2	9/1/2018	10/1/2018
-4.36	2	9/1/2017	10/1/2017
-3.57	1	10/1/2009	10/1/2009
-3.44	1	12/1/2013	12/1/2013
-3.35	1	11/1/2010	11/1/2010
-3.05	1	9/1/2014	9/1/2014
-2.66	1	2/1/2013	2/1/2013
-2.59	1	3/1/2011	3/1/2011
-2.37	1	7/1/2014	7/1/2014
-2.22	2	6/1/2017	7/1/2017
-1.72	1	3/1/2012	3/1/2012
-1.11	1	2/1/2019	2/1/2019
-0.96	1	1/1/2017	1/1/2017
-0.80	1	8/1/2013	8/1/2013
-0.50	1	1/1/2011	1/1/2011
-0.43	1	6/1/2018	6/1/2018
-0.05	1	5/1/2010	5/1/2010

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	115.00	113.00	110.00	104.00	98.00	92.00	80.00	68.00	56.00
Percent Profitable	54.78	58.41	60.91	63.46	65.31	79.35	85.00	91.18	100.00
Average Period Return	0.37	1.07	1.93	3.70	5.86	8.85	14.88	19.67	27.28
Average Gain	3.24	5.44	7.31	11.15	12.87	12.91	18.51	21.94	27.28
Average Loss	-3.17	-5.07	-6.46	-9.23	-7.33	-6.74	-5.68	-3.74
Best Period	10.99	15.60	27.65	29.41	36.12	27.79	40.12	46.17	56.27
Worst Period	-11.26	-15.86	-20.02	-22.54	-19.25	-17.15	-15.78	-9.96	1.09
Standard Deviation	4.09	6.67	8.87	11.98	12.41	10.45	12.88	13.13	11.96
Gain Standard Deviation	2.65	4.08	5.98	7.12	8.66	7.13	10.04	11.36	11.96
Loss Standard Deviation	2.50	4.34	5.43	6.30	5.94	5.05	5.93	3.80
Sharpe Ratio (1%)	0.07	0.12	0.16	0.23	0.35	0.65	0.92	1.19	1.85
Average Gain / Average Loss	1.02	1.07	1.13	1.21	1.76	1.92	3.26	5.87
Profit / Loss Ratio	1.26	1.51	1.76	2.10	3.31	7.36	18.47	60.68
Downside Deviation (10%)	2.90	4.92	6.53	9.43	9.66	8.61	9.63	10.50	8.68
Downside Deviation (5%)	2.72	4.41	5.50	7.23	6.24	4.57	4.03	2.54	0.61
Downside Deviation (0%)	2.68	4.28	5.25	6.72	5.52	3.79	3.11	1.51
Sortino Ratio (10%)	-0.01	-0.03	-0.08	-0.14	-0.18	-0.16	-0.09	-0.18	-0.04
Sortino Ratio (5%)	0.10	0.19	0.26	0.37	0.70	1.50	2.94	6.15	36.44
Sortino Ratio (0%)	0.14	0.25	0.37	0.55	1.06	2.34	4.78	13.00

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	1	11.33	10/2014
IASG CTA Index	Month	3	11.33	10/2014
Trend Following Strategy Index	Month	3	11.33	10/2014
Systematic Trader Index	Month	3	11.33	10/2014
Trend Following Strategy Index	Month	5	3.89	8/2012
Trend Following Strategy Index	Month	8	8.54	1/2012

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

^#1

Top Performer

DIVERSIFIED TRADER INDEX

OCTOBER
2014

Get Free Research Report on This CTA

Get additional information on Amplitude Capital International Limited, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Amplitude Capital International Limited

Program Name	CAROR

IASG Activity

Blends 45
Portfolios 26
Watchlists 50

Find the right managed futures programs for you with our comprehensive free CTA database.

Amplitude Capital International Limited : Klassik Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

Connect With Us for Latest CTA News & Rankings

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Amplitude Capital International Limited : Klassik Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: