Archetype Risk Advisors, Inc. : Archon1

archived programs
Year-to-Date
N / A
Sep Performance
-0.51%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.57%
Sharpe (RFR=1%)
0.40
CAROR
3.47%
Assets
$ 13.7M
Worst DD
-9.64
S&P Correlation
-0.25

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
2/2015
Archon1 -0.51 0.78 - 0.55 - - - 9.52
S&P 500 1.93 3.96 - 16.01 - - - 17.27
+/- S&P 500 -2.44 -3.18 - -15.46 - - - -7.74

Strategy Description

Summary

The ARA Archon Program (“ARA Archon”) is a short-term U.S. equity index futures trading strategy. ARA Archon comprises eleven distinct sub-models, each designed to profit from its own unique proven trading methodology and trading time-frame. The strategy is intra-day and is 100% back... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-6.00%
Worst Peak-to-Trough
-2.12%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Momentum
20.00%
Trend-following
40.00%
Other
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The ARA Archon Program (“ARA Archon”) is a short-term U.S. equity index futures trading strategy. ARA Archon comprises eleven distinct sub-models, each designed to profit from its own unique proven trading methodology and trading time-frame. The strategy is intra-day and is 100% back in cash at the close of each day, with no overnight risk.

Investment Strategy

The ARA Archon Program employs trend-following, counter-trend, volatility & momentum, behavioral and inter-market sub-models to identify profitable trading opportunities across time-frames ranging from daily to the one-minute scale. This allows ARA Archon to benefit from wide strategy and time-frame diversification, resulting in very robust (>75% winning months) trading results, regardless of the market environment. It performs comparably well in bull or bear markets, in high or moderate volatility environments, producing high returns with very low draw downs.

Risk Management

ARA Archon employs moderate leverage and selectively trades only when the best trading opportunities arise. In fact, it is in the market just 23% of the time, remaining flat the rest of the time. All trades carry initial stop-loss protection that is dynamically adjusted throughout the trade. Importantly, it exits all trades at the end of each day, so clients bear absolutely no overnight risk exposure.

   

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:
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
-9.64 8 - 4/1/2016 12/1/2016
-2.12 1 1 9/1/2015 10/1/2015
-1.16 1 1 7/1/2015 8/1/2015
-1.09 1 1 4/1/2015 5/1/2015
-0.02 1 1 11/1/2015 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
10.02 4 1/1/2016 4/1/2016
4.71 1 9/1/2015 9/1/2015
3.64 5 1/1/2017 5/1/2017
2.99 3 2/1/2015 4/1/2015
2.43 1 11/1/2015 11/1/2015
1.63 2 6/1/2015 7/1/2015
1.37 1 11/1/2016 11/1/2016
1.29 2 7/1/2017 8/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.06 6 5/1/2016 10/1/2016
-2.12 1 10/1/2015 10/1/2015
-1.99 1 12/1/2016 12/1/2016
-1.79 1 6/1/2017 6/1/2017
-1.16 1 8/1/2015 8/1/2015
-1.09 1 5/1/2015 5/1/2015
-0.51 1 9/1/2017 9/1/2017
-0.02 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable59.3860.0066.6757.1480.00
Average Period Return0.300.911.863.203.49
Average Gain1.463.065.078.985.50
Average Loss-1.39-2.30-4.54-4.51-4.55
Best Period5.928.4712.6715.7513.06
Worst Period-2.74-5.83-9.06-6.99-5.93
Standard Deviation1.903.565.888.275.25
Gain Standard Deviation1.522.563.905.933.58
Loss Standard Deviation0.792.133.252.371.23
Sharpe Ratio (1%)0.120.190.230.270.38
Average Gain / Average Loss1.051.331.121.991.21
Profit / Loss Ratio1.531.992.232.654.83
Downside Deviation (10%)1.252.594.456.586.32
Downside Deviation (5%)1.062.063.413.902.75
Downside Deviation (0%)1.011.943.173.302.09
Sortino Ratio (10%)-0.08-0.12-0.14-0.27-0.65
Sortino Ratio (5%)0.210.320.400.560.72
Sortino Ratio (0%)0.300.470.590.971.67

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 4 1.66 2/2017

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