Aurapoint Asset Management LLC : Calypso1 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since8/2009 Calypso1 2.98 - - - - - 12.90 70.05 S&P 500 -5.68 - - - - - 7.52 239.41 +/- S&P 500 8.66 - - - - - 5.37 -169.36 Strategy Description SummaryThe 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% Composition Currency FX 100.00% SummaryThe 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 StrategyThe 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 ManagementThe 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. 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 -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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel