Aurapoint Asset Management LLC : Spencer

archived programs
Year-to-Date
N / A
Nov Performance
0.55%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
15.19%
Sharpe (RFR=1%)
2.48
CAROR
-
Assets
$ 250k
Worst DD
-4.20
S&P Correlation
0.10

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Spencer 0.55 - - - - - - 40.37
S&P 500 -0.51 - - - - - - 169.36
+/- S&P 500 1.06 - - - - - - -128.99

Strategy Description

Summary

The SPENCER PROGRAM employs two trading strategies: (1) Breakout strategy in the EUR/USD. Looks for entries long above an identified range through resistance and short below range through support. This strategy usually gets trades during the London session when we see breakouts. Uses... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 4.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
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 2000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
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 10.00%
Systematic 90.00%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The SPENCER PROGRAM employs two trading strategies: (1) Breakout strategy in the EUR/USD. Looks for entries long above an identified range through resistance and short below range through support. This strategy usually gets trades during the London session when we see breakouts. Uses a very tight stop loss of between 20-60 pips depending on the daily range. Look to let profits run on this strategy and add new positions if the breakout continues. This allows for easing into the position in case a false breakout occurs and reverses immediately so we don't get hurt badly. This strategy has about a 1:2.5 risk/reward ratio. 2) Trades the GBP/USD and EUR/USD and looks for entries on pullbacks always trading with the overall trend. This is a short term scalping strategy. Profit targets are from 20-30 pips. The trade is closed early if it doesn't develop to reduce exposure to the market. The hard stop loss is 100-120 pips but is rarely hit as trades can be closed at a much smaller loss depending on time exposure.

Risk Management

Stops are entered as soon as trades are filled.

   

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
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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
-4.20 1 1 2/1/2011 3/1/2011
-3.18 1 - 8/1/2011 9/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
35.88 5 4/1/2011 8/1/2011
9.42 2 1/1/2011 2/1/2011
1.79 2 10/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.20 1 3/1/2011 3/1/2011
-3.18 1 9/1/2011 9/1/2011
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable81.8288.89
Average Period Return3.2210.51
Average Gain4.7512.00
Average Loss-3.69-1.45
Best Period10.8124.61
Worst Period-4.20-1.45
Standard Deviation4.389.96
Gain Standard Deviation3.069.50
Loss Standard Deviation0.72
Sharpe Ratio (1%)0.711.03
Average Gain / Average Loss1.298.28
Profit / Loss Ratio5.7966.22
Downside Deviation (10%)1.760.89
Downside Deviation (5%)1.620.57
Downside Deviation (0%)1.590.48
Sortino Ratio (10%)1.6010.39
Sortino Ratio (5%)1.9318.11
Sortino Ratio (0%)2.0221.74

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.