Amplitude Capital International Limited : Klassik Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Since9/2009 Klassik Strategy 3.02 - - - 17.31 10.73 40.31 38.44 S&P 500 1.79 - - - 36.22 49.85 251.60 284.02 +/- S&P 500 1.23 - - - -18.91 -39.12 -211.29 -245.58 Strategy Description SummaryThe 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... Read More 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% SummaryThe 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: 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00 Percent Profitable54.7858.4160.9163.4665.3179.3585.0091.18100.00 Average Period Return0.371.071.933.705.868.8514.8819.6727.28 Average Gain3.245.447.3111.1512.8712.9118.5121.9427.28 Average Loss-3.17-5.07-6.46-9.23-7.33-6.74-5.68-3.74 Best Period10.9915.6027.6529.4136.1227.7940.1246.1756.27 Worst Period-11.26-15.86-20.02-22.54-19.25-17.15-15.78-9.961.09 Standard Deviation4.096.678.8711.9812.4110.4512.8813.1311.96 Gain Standard Deviation2.654.085.987.128.667.1310.0411.3611.96 Loss Standard Deviation2.504.345.436.305.945.055.933.80 Sharpe Ratio (1%)0.070.120.160.230.350.650.921.191.85 Average Gain / Average Loss1.021.071.131.211.761.923.265.87 Profit / Loss Ratio1.261.511.762.103.317.3618.4760.68 Downside Deviation (10%)2.904.926.539.439.668.619.6310.508.68 Downside Deviation (5%)2.724.415.507.236.244.574.032.540.61 Downside Deviation (0%)2.684.285.256.725.523.793.111.51 Sortino Ratio (10%)-0.01-0.03-0.08-0.14-0.18-0.16-0.09-0.18-0.04 Sortino Ratio (5%)0.100.190.260.370.701.502.946.1536.44 Sortino Ratio (0%)0.140.250.370.551.062.344.7813.00 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. x {{title}} x {{title}} Add Cancel