Aurapoint Asset Management LLC : Sagent FX

archived programs
Year-to-Date
N / A
Jul Performance
0.51%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.19%
Sharpe (RFR=1%)
1.59
CAROR
-
Assets
$ 6.8M
Worst DD
-7.28
S&P Correlation
0.19

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Sagent FX 0.51 - - - - - - 36.17
S&P 500 1.26 - - - - - - 178.70
+/- S&P 500 -0.75 - - - - - - -142.52

Strategy Description

Summary

Fully automated from hosted server in SAS70/SSAE16 compliant Tier III+ Chicago data center. Potential to perform in trending, range-bound and volatile markets. Short-term directional strategy with average holding period of 32 hours, minimum 30 minutes, maximum six days. Averages... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
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 Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2200 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.42%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 70.00%
Intraday 30.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Fully automated from hosted server in SAS70/SSAE16 compliant Tier III+ Chicago data center. Potential to perform in trending, range-bound and volatile markets. Short-term directional strategy with average holding period of 32 hours, minimum 30 minutes, maximum six days. Averages one trade per day. Trade level risk management with dynamic, volatility-based stop-losses. Strategy is not optimized and does not require periodic recalibration, though R&D is ongoing. Trades EUR, GBP, CHF (Traded CAD through Feb 2012). Note Trade Selection Algorithm (TSA) implemented June 2011 to target lower volatility and risk.

Risk Management

Trade level risk management with dynamic, volatility based stops.

   

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
-7.28 2 2 1/1/0001 2/1/2011
-3.26 1 2 4/1/2011 5/1/2011
-1.83 2 1 3/1/2012 5/1/2012
-0.27 1 1 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
16.71 2 3/1/2011 4/1/2011
16.46 7 6/1/2011 12/1/2011
9.40 2 2/1/2012 3/1/2012
4.28 2 6/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.28 2 1/1/2011 2/1/2011
-3.26 1 5/1/2011 5/1/2011
-1.83 2 4/1/2012 5/1/2012
-0.27 1 1/1/2012 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable68.4294.12100.00100.00
Average Period Return1.706.0812.6226.77
Average Gain3.466.4812.6226.77
Average Loss-2.13-0.31
Best Period8.5512.9120.7534.92
Worst Period-3.76-0.318.1721.92
Standard Deviation3.523.893.374.86
Gain Standard Deviation2.613.633.374.86
Loss Standard Deviation1.59
Sharpe Ratio (1%)0.461.503.605.30
Average Gain / Average Loss1.6220.91
Profit / Loss Ratio3.52334.61
Downside Deviation (10%)1.640.44
Downside Deviation (5%)1.490.14
Downside Deviation (0%)1.450.08
Sortino Ratio (10%)0.7810.93
Sortino Ratio (5%)1.0843.01
Sortino Ratio (0%)1.1780.91

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.