ATP CAPITAL MANAGEMENT, LLC : Granularity Alpha

Year-to-Date
2.77%
Sep Performance
2.05%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.38%
Sharpe (RFR=1%)
0.39
CAROR
4.92%
Assets
$ 1.4M
Worst DD
-13.72
S&P Correlation
0.09

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
4/2014
Granularity Alpha 2.05 -3.88 -2.77 -4.82 10.05 32.21 - 30.26
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 56.40
+/- S&P 500 0.33 -5.06 -21.51 -6.96 -25.84 -17.18 - -26.14

Strategy Description

Summary

Granularity Alpha is a quantitative Trading Portfolio comprised of non correlated “Sub-portfolios”. Each of these is made up of several strategies with different trading approaches and proprietary Money Management. The Investment Philosophy is based on the premise that high amount... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
12000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-18.00%
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
20.00%
Intraday
80.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
40.00%
Momentum
60.00%
Strategy Pie Chart

Composition

Stock Indices
75.00%
Interest Rates
25.00%
Composition Pie Chart

Summary

Granularity Alpha is a quantitative Trading Portfolio comprised of non correlated “Sub-portfolios”. Each of these is made up of several strategies with different trading approaches and proprietary Money Management. The Investment Philosophy is based on the premise that high amount of profitable low risk trades, while controlling global market exposure, delivers high risk-adjusted returns. Another assumption is that market prices tend to alternate between periods of range expansion and range contraction that can be forecasted and therefore different styles of trading strategies could be used to exploit this behavior

Investment Strategy

These strategies work on different time frames, from minutes to daily bars. Although the strategies have a broad scope, specific markets have been selected according to liquidity constraints, nature and particularities of markets and correlation analysis. Currently the program trades US and UE Index Futures and Eurex Interest rate futures.

Risk Management

Proprietary money management techniques are involved in position sizing and as entry signal filters that are designed to control risk. Entry signals that could be regarded as high risk entries would be avoided by the system. This is done automatically without human involvement. The program main purpose is to capture market inefficiencies as often as possible so it can do several round turns each day while money management keeps overall exposure low. Granularity Alpha could use up to 20% of total assets to margin positions although this percentage would be much lower most of the time.

   

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
-13.72 11 11 6/1/2016 5/1/2017
-11.77 2 - 11/1/2018 1/1/2019
-4.95 4 1 5/1/2014 9/1/2014
-4.57 1 5 3/1/2015 4/1/2015
-4.37 1 3 6/1/2018 7/1/2018
-2.61 1 1 10/1/2015 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
20.93 5 2/1/2018 6/1/2018
14.78 6 10/1/2014 3/1/2015
13.93 3 8/1/2015 10/1/2015
10.29 3 2/1/2019 4/1/2019
8.77 4 6/1/2017 9/1/2017
8.75 7 12/1/2015 6/1/2016
7.02 4 8/1/2018 11/1/2018
4.98 1 12/1/2017 12/1/2017
4.08 2 6/1/2019 7/1/2019
3.65 2 4/1/2014 5/1/2014
2.25 2 11/1/2016 12/1/2016
2.05 1 9/1/2019 9/1/2019
1.70 2 5/1/2015 6/1/2015
0.50 1 3/1/2017 3/1/2017
0.40 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.77 2 12/1/2018 1/1/2019
-10.99 4 7/1/2016 10/1/2016
-7.48 2 10/1/2017 11/1/2017
-6.21 1 8/1/2019 8/1/2019
-5.59 1 5/1/2019 5/1/2019
-4.85 1 6/1/2014 6/1/2014
-4.57 1 4/1/2015 4/1/2015
-4.37 1 7/1/2018 7/1/2018
-3.50 2 4/1/2017 5/1/2017
-3.19 1 1/1/2018 1/1/2018
-2.61 1 11/1/2015 11/1/2015
-2.25 2 1/1/2017 2/1/2017
-1.59 1 7/1/2015 7/1/2015
-0.50 2 8/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00
Percent Profitable66.6754.6957.3867.2775.5186.05100.00100.00
Average Period Return0.451.333.076.169.7210.3812.3026.12
Average Gain2.285.218.2211.8515.0112.8612.3026.12
Average Loss-3.20-3.36-3.88-5.55-6.61-4.92
Best Period9.6015.7318.1925.7929.6732.1426.7341.02
Worst Period-6.26-9.91-10.11-13.14-12.59-8.590.9511.69
Standard Deviation3.285.647.549.8511.2110.047.728.49
Gain Standard Deviation2.044.295.406.076.848.447.728.49
Loss Standard Deviation1.962.733.073.833.122.88
Sharpe Ratio (1%)0.110.190.340.520.730.831.202.60
Average Gain / Average Loss0.711.552.122.142.272.61
Profit / Loss Ratio1.431.872.854.397.0016.11
Downside Deviation (10%)2.363.594.606.477.236.627.503.39
Downside Deviation (5%)2.203.033.474.314.282.770.53
Downside Deviation (0%)2.152.903.213.823.592.08
Sortino Ratio (10%)0.020.030.130.180.290.02-0.461.35
Sortino Ratio (5%)0.170.360.741.201.923.0217.56
Sortino Ratio (0%)0.210.460.961.612.714.98

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 2.05 9/2019
Stock Index Trader Index Month 6 3.63 6/2019
Stock Index Trader Index Month 6 2.49 4/2019
Stock Index Trader Index Month 5 2.49 4/2019
Stock Index Trader Index Month 2 2.81 3/2019
Stock Index Trader Index Month 1 4.67 2/2019
Stock Index Trader Index Month 1 4.67 2/2019
Stock Index Trader Index Month 1 4.67 2/2019
IASG CTA Index Month 10 4.67 2/2019
IASG CTA Index Month 10 4.67 2/2019
IASG CTA Index Month 10 4.67 2/2019
IASG CTA Index Month 10 4.67 2/2019
Stock Index Trader Index Month 1 4.67 2/2019
Stock Index Trader Index Month 8 2.11 11/2018
Stock Index Trader Index Month 10 1.85 10/2018
Stock Index Trader Index Month 1 2.63 9/2018
Stock Index Trader Index Month 1 2.63 9/2018
Stock Index Trader Index Month 2 3.99 6/2018
Systematic Trader Index Month 9 3.99 6/2018
Stock Index Trader Index Month 6 1.89 5/2018
IASG CTA Index Month 7 3.63 4/2018
Systematic Trader Index Month 6 3.63 4/2018
Stock Index Trader Index Month 4 3.63 4/2018
Systematic Trader Index Month 5 3.63 4/2018
Stock Index Trader Index Month 4 3.63 4/2018
IASG CTA Index Month 7 3.63 4/2018
Stock Index Trader Index Month 2 9.60 3/2018
IASG CTA Index Month 3 9.60 3/2018
Systematic Trader Index Month 1 9.60 3/2018
Stock Index Trader Index Month 1 4.98 12/2017
IASG CTA Index Month 8 4.98 12/2017
Systematic Trader Index Month 8 4.98 12/2017
Systematic Trader Index Month 4 2.20 9/2017
Stock Index Trader Index Month 3 2.20 9/2017
Stock Index Trader Index Month 3 3.00 8/2017
Systematic Trader Index Month 8 2.98 6/2017
Stock Index Trader Index Month 2 2.98 6/2017
Stock Index Trader Index Month 9 2.07 11/2016
Stock Index Trader Index Month 4 1.01 4/2016
Stock Index Trader Index Month 9 1.05 3/2016
Stock Index Trader Index Month 9 1.63 2/2016
Stock Index Trader Index Month 4 1.05 1/2016
Stock Index Trader Index Month 3 2.73 12/2015
Stock Index Trader Index Month 2 5.50 10/2015
Systematic Trader Index Month 6 5.50 10/2015

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