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/ Amplitude Capital International Limited / Klassik Strategy

Amplitude Capital International Limited : Klassik Strategy

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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
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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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
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

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... 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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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

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
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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
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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.

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