Anello Asset Management LLP : AAM Diversified Futures Program (Prop)

archived programs
Year-to-Date
N / A
Sep Performance
-7.00%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.62%
Sharpe (RFR=1%)
0.62
CAROR
18.23%
Assets
$ 24k
Worst DD
-34.40
S&P Correlation
-0.06

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
AAM Diversified Futures Program (Prop) -7.00 -8.21 - -11.48 19.84 67.95 - 209.75
S&P 500 2.42 5.76 - 27.32 36.27 -5.65 - 12.53
+/- S&P 500 -9.42 -13.97 - -38.80 -16.42 73.60 - 197.22

Strategy Description

Summary

In 2000 Stuart Barron embarked on a project to discover whether or not it was possible to design a model capable of successfully trading the US stock market, specifically the Dow Jones Industrial Average. To begin with he looked at the daily open, high, low and closing prices for the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 150k
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
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
59 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
26.40%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
2.00%
4-12 Months
12.00%
1-3 Months
18.00%
1-30 Days
66.00%
Intraday
2.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Softs
25.00%
Precious Metals
18.00%
Grains
12.00%
Interest Rates
12.00%
Stock Indices
8.00%
Currency Futures
8.00%
Energy
8.00%
Livestock
5.00%
Industrial Metals
4.00%
Composition Pie Chart

Summary

In 2000 Stuart Barron embarked on a project to discover whether or not it was possible to design a model capable of successfully trading the US stock market, specifically the Dow Jones Industrial Average. To begin with he looked at the daily open, high, low and closing prices for the Dow Jones Industrial Average from the year 2000 back to 1896. He then began an analysis of this data to determine if this market moved in the same fashion at the start of this century as it did over 100 years ago. It quickly became obvious that, indeed, it did.        This inevitably led to the following question: Do other markets – such as Crude Oil or Corn – behave in a similar fashion to a stock index? To answer this question Stuart decided to perform an intensive analysis into the way in which specific futures markets move. After collating the data – from the 1970’s onwards - on approximately nineteen different futures markets spanning Stock Indices, Bonds, Currencies and Commodities to see if there were any similarities in the way in which markets behave. The results clearly demonstrated that the price action in commodities was indeed similar to that of stock indices, and also to that of bonds and currencies. It was immediately apparent that due to these similarities it would be possible to devise a system that could be used to successfully trade any active and liquid futures market.   It is important to highlight that there is, however, one important difference. While all markets are traded in exactly the same fashion from the long side, the commodity markets prove an exception to the rule when trading the short side. Price history – by that we mean the 1970’s to 2004 – suggests that commodity markets tend to fall in price precipitously after an extended period of rising prices. This point has been confirmed by actual trading experience over the past five years. Because of this characteristic, the system has been designed to try to catch these sudden changes in trends.  

Investment Strategy

Once it was established how futures markets move, and the life expectancy of those moves (all trends eventually come to an end), it was necessary to determine the entry and exit points for long and short positions. The entry signal is designed to be purely price reactionary across all markets and a filter is used to increase the probability that the signal is successful. The exit signal is also price reactionary and is triggered after a market has moved by an amount that dramatically increases the probability that the trend is over. One must be aware that the exit signal strategy inevitably leads to a significant loss in open profits, but this is crucial to the system’s success in catching trends.

Risk Management

To satisfy the goal of rigorously controlling risk a stop-loss is applied to all positions without exception, and is calculated using an algorithm based upon the underlying volatility in a market. If the volatility is low, 1.75% of the portfolio is risked on a trade; if the volatility is high, 1.25%. As a guide to trading frequency and therefore the level of risk that can occur over a given period of time, the AAM Diversified Futures Strategy has generated, on average, 4.8 signals per month or 59 signals per annum. Once a position in a market has been initiated and starts to show a profit, the stop-loss is adjusted. Another algorithm is then used to determine the adjustment and a maximum of three adjustments per market is possible. This is not intended for the purpose of protecting profits but to reduce the risk of the position to the portfolio once a profit occurs. All positions are initiated the day following a signal. An order is left at a certain level above the market for a long position, and below the market for a short position. This is in order to keep slippage to a minimum, and to reduce the probability of a signal failing.

   

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:
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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
-34.40 11 - 4/1/2011 3/1/2012
-26.39 3 2 6/1/2006 9/1/2006
-21.47 6 2 2/1/2008 8/1/2008
-20.01 6 6 11/1/2008 5/1/2009
-16.75 2 8 11/1/2009 1/1/2010
-16.53 2 1 6/1/2007 8/1/2007
-11.41 1 3 2/1/2007 3/1/2007
-8.08 1 3 12/1/2010 1/1/2011
-7.33 1 1 1/1/2006 2/1/2006
-5.31 1 1 4/1/2006 5/1/2006
-3.37 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
52.52 5 8/1/2010 12/1/2010
51.83 5 10/1/2006 2/1/2007
50.13 3 12/1/2007 2/1/2008
37.23 2 9/1/2007 10/1/2007
34.25 3 9/1/2008 11/1/2008
34.18 6 6/1/2009 11/1/2009
33.07 2 3/1/2006 4/1/2006
18.07 3 2/1/2011 4/1/2011
17.82 1 1/1/2006 1/1/2006
15.83 1 6/1/2008 6/1/2008
15.37 2 4/1/2012 5/1/2012
12.40 3 2/1/2010 4/1/2010
12.35 1 4/1/2007 4/1/2007
9.26 2 7/1/2011 8/1/2011
7.41 1 6/1/2006 6/1/2006
4.25 1 8/1/2006 8/1/2006
3.10 1 6/1/2010 6/1/2010
2.52 1 1/1/2012 1/1/2012
2.04 1 7/1/2012 7/1/2012
1.66 1 6/1/2007 6/1/2007
0.47 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.92 4 9/1/2011 12/1/2011
-22.80 1 7/1/2006 7/1/2006
-18.28 2 7/1/2008 8/1/2008
-17.04 3 3/1/2008 5/1/2008
-16.75 2 12/1/2009 1/1/2010
-16.53 2 7/1/2007 8/1/2007
-16.43 2 5/1/2011 6/1/2011
-15.09 3 3/1/2009 5/1/2009
-11.41 1 3/1/2007 3/1/2007
-10.04 2 8/1/2012 9/1/2012
-8.54 1 9/1/2006 9/1/2006
-8.08 1 1/1/2011 1/1/2011
-7.33 1 2/1/2006 2/1/2006
-6.23 2 12/1/2008 1/1/2009
-5.31 1 5/1/2006 5/1/2006
-5.06 1 6/1/2012 6/1/2012
-4.20 1 5/1/2010 5/1/2010
-4.11 2 2/1/2012 3/1/2012
-3.37 1 11/1/2007 11/1/2007
-1.42 1 7/1/2010 7/1/2010
-0.88 1 5/1/2007 5/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable56.7954.4371.0572.8685.9496.55100.00100.00
Average Period Return1.885.5210.3221.1935.1950.8573.66112.57
Average Gain8.3717.4420.5534.1643.1152.8773.66112.57
Average Loss-6.65-8.72-14.79-13.60-13.22-5.67
Best Period33.4150.1399.0773.55133.44152.06172.29210.18
Worst Period-22.80-26.39-30.27-32.07-24.66-7.4910.6014.91
Standard Deviation9.9916.3922.3127.9435.5834.7938.8659.86
Gain Standard Deviation7.7411.7217.7520.3331.8633.6838.8659.86
Loss Standard Deviation4.867.137.329.547.242.57
Sharpe Ratio (1%)0.180.320.440.720.951.401.821.81
Average Gain / Average Loss1.262.001.392.513.269.32
Profit / Loss Ratio1.652.393.416.7419.93260.97
Downside Deviation (10%)5.618.2210.0510.858.303.170.791.14
Downside Deviation (5%)5.437.699.089.026.091.47
Downside Deviation (0%)5.397.568.848.585.581.11
Sortino Ratio (10%)0.260.520.781.493.3312.8173.6279.89
Sortino Ratio (5%)0.330.691.082.245.5333.32
Sortino Ratio (0%)0.350.731.172.476.3145.98

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.