Aurapoint Asset Management LLC : Sagent FX Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since1/2011 Sagent FX 0.51 - - - - - 36.60 36.17 S&P 500 1.26 - - - - - 51.28 215.65 +/- S&P 500 -0.75 - - - - - -14.68 -179.47 Strategy Description SummaryFully 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% Composition Currency FX 100.00% SummaryFully 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 ManagementTrade level risk management with dynamic, volatility based stops. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel