Aurapoint Asset Management LLC : Calypso1

archived programs
Year-to-Date
N / A
Aug Performance
2.98%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
12.99%
Sharpe (RFR=1%)
1.97
CAROR
29.03%
Assets
$ 40k
Worst DD
-6.21
S&P Correlation
-0.03

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2009
Calypso1 2.98 - - - - - 12.40 70.05
S&P 500 -5.68 - - - - - 7.52 217.08
+/- S&P 500 8.66 - - - - - 4.88 -147.02

Strategy Description

Summary

The Calypso1 Managed Account Program uses a very selective trading strategy that seeks to find and take advantage of only short-term opportunities in certain liquid currency crosses: EUR/CHF EUR/USD and EUR/GBP.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $3.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 4.00%
Sector Focus Currency 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
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Calypso1 Managed Account Program uses a very selective trading strategy that seeks to find and take advantage of only short-term opportunities in certain liquid currency crosses: EUR/CHF EUR/USD and EUR/GBP.

Investment Strategy

The methodology utilized is fully automated and is run live under the full supervision of it's creator: an experienced money manager with many years of experience trading and programming. The system is designed to execute multiple quick entry and exit trades hourly and daily if the optimum opportunities arise. Due to the nature of the strategy behind this program, trading during important news events and scheduled economic releases is strictly avoided for greater risk control. The system trades from Sunday afternoons until Friday evenings. Stops and take profit exits are predetermined before each trade and so are risk/reward ratios.

Risk Management

The Calypso1 program aims to achieve an objective monthly return with a maximum drawdown of less than 10%. Aim is To keep daily drawdowns under one percent.

   

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
-6.21 5 1 11/1/2010 4/1/2011
-3.87 2 2 7/1/2010 9/1/2010
-3.57 2 2 3/1/2010 5/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
53.87 8 8/1/2009 3/1/2010
16.80 4 5/1/2011 8/1/2011
4.47 2 6/1/2010 7/1/2010
4.17 2 10/1/2010 11/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.21 5 12/1/2010 4/1/2011
-3.87 2 8/1/2010 9/1/2010
-3.57 2 4/1/2010 5/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable64.0069.5770.0078.57100.00
Average Period Return2.216.109.6814.9525.84
Average Gain4.3210.0214.4519.7425.84
Average Loss-1.54-2.88-1.45-2.63
Best Period10.8827.2042.6155.0154.01
Worst Period-2.83-5.46-3.77-4.1112.75
Standard Deviation3.758.8313.9817.0014.76
Gain Standard Deviation2.997.6914.2516.0214.76
Loss Standard Deviation0.821.671.612.28
Sharpe Ratio (1%)0.570.660.660.821.65
Average Gain / Average Loss2.813.489.987.52
Profit / Loss Ratio4.997.9523.2927.56
Downside Deviation (10%)1.262.422.373.63
Downside Deviation (5%)1.081.931.341.89
Downside Deviation (0%)1.031.801.131.49
Sortino Ratio (10%)1.442.013.052.74
Sortino Ratio (5%)1.973.046.867.39
Sortino Ratio (0%)2.143.388.5710.03

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.