Anello Asset Management LLP : AAM Diversified Futures Program (Prop) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since1/2006 AAM Diversified Futures Program (Prop) -7.00 - - - - - -28.42 209.75 S&P 500 2.42 - - - - - 76.68 190.39 +/- S&P 500 -9.42 - - - - - -105.10 19.35 Strategy Description SummaryIn 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% Composition Softs 25.00% Precious Metals 18.00% Grains 12.00% Interest Rates 12.00% Currency Futures 8.00% Energy 8.00% Stock Indices 8.00% Livestock 5.00% Industrial Metals 4.00% SummaryIn 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 StrategyOnce 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 ManagementTo 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel