Availeth Capital : Optimum (Proprietary)

archived programs
Year-to-Date
N / A
Oct Performance
-3.92%
Min Investment
$ 100k
Mgmt. Fee
0.50%
Perf. Fee
20.00%
Annualized Vol
24.10%
Sharpe (RFR=1%)
0.36
CAROR
7.25%
Assets
$ 150k
Worst DD
-34.73
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
8/2013
Optimum (Proprietary) -3.92 - - - - -20.77 - 25.55
S&P 500 -1.94 - - - - 69.63 - 119.53
+/- S&P 500 -1.98 - - - - -90.40 - -93.97

Strategy Description

Summary

"Optimum" is a 100% systematic trend following program. The program trades in a diverse set of futures markets across commodities and financials.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1400 RT/YR/$M
Avg. Margin-to-Equity 17%
Targeted Worst DD -35.00%
Worst Peak-to-Trough 11.33%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
27.00%
Interest Rates
18.00%
Energy
10.00%
Precious Metals
9.00%
Grains
9.00%
Livestock
9.00%
Softs
9.00%
Stock Indices
9.00%
Composition Pie Chart

Summary

"Optimum" is a 100% systematic trend following program. The program trades in a diverse set of futures markets across commodities and financials.

   

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
-34.73 19 - 3/1/2015 10/1/2016
-11.33 7 2 1/1/0001 2/1/2014
-5.29 1 1 9/1/2014 10/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
77.78 7 3/1/2014 9/1/2014
28.84 5 11/1/2014 3/1/2015
6.39 1 11/1/2015 11/1/2015
6.33 1 4/1/2016 4/1/2016
5.98 1 6/1/2016 6/1/2016
4.37 1 2/1/2016 2/1/2016
4.10 1 7/1/2015 7/1/2015
1.69 1 5/1/2015 5/1/2015
1.24 1 9/1/2015 9/1/2015
0.16 1 9/1/2013 9/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.46 4 7/1/2016 10/1/2016
-12.20 1 4/1/2015 4/1/2015
-11.06 1 6/1/2015 6/1/2015
-9.66 2 12/1/2015 1/1/2016
-8.79 5 10/1/2013 2/1/2014
-6.48 1 8/1/2015 8/1/2015
-5.40 1 3/1/2016 3/1/2016
-5.29 1 10/1/2014 10/1/2014
-2.93 1 8/1/2013 8/1/2013
-1.07 1 10/1/2015 10/1/2015
-0.90 1 5/1/2016 5/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable51.2843.2452.9453.5768.1887.50
Average Period Return0.813.209.4024.9733.1040.17
Average Gain5.9016.7427.2157.5057.6948.26
Average Loss-4.55-7.12-10.64-12.56-19.59-16.51
Best Period24.9536.5073.53114.7897.8568.54
Worst Period-12.20-20.59-21.92-26.52-32.07-17.11
Standard Deviation6.9614.0425.4343.8544.6628.03
Gain Standard Deviation5.429.6122.6534.8130.1618.48
Loss Standard Deviation3.485.225.697.9510.420.85
Sharpe Ratio (1%)0.100.210.350.550.711.36
Average Gain / Average Loss1.302.352.564.582.942.92
Profit / Loss Ratio1.371.792.885.286.3120.47
Downside Deviation (10%)4.197.379.7713.0616.349.53
Downside Deviation (5%)4.006.758.5210.6113.096.55
Downside Deviation (0%)3.966.598.2210.0212.325.84
Sortino Ratio (10%)0.100.270.711.531.563.14
Sortino Ratio (5%)0.180.441.042.262.415.83
Sortino Ratio (0%)0.210.481.142.492.696.88

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.