Capital Alternative Investment Mgmt GmbH : Premium Alpha II

archived programs
Year-to-Date
N / A
Oct Performance
-2.55%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
21.27%
Sharpe (RFR=1%)
0.78
CAROR
-
Assets
$ 300k
Worst DD
-20.60
S&P Correlation
-0.36

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
1/2009
Premium Alpha II -2.55 - - - - - -5.59 31.92
S&P 500 3.69 - - - - - -17.22 319.45
+/- S&P 500 -6.24 - - - - - 11.63 -287.52

Strategy Description

Summary

CAIM Premium AlphaII is a predominantly discretionary, intraday, highfrequency managed futures trading program that invests into financial futures through three different timezones (Europe, US and Asia) managed by Capital Alternative Investment... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $16.00
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 80000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 18.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 0%
Intraday 90.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Summary

CAIM Premium AlphaII is a predominantly discretionary, intraday, highfrequency managed futures trading program that invests into financial futures through three different timezones (Europe, US and Asia) managed by Capital Alternative Investment Management(CAIM).

Investment Strategy

The goal of the Advisor’s Trading Program is to trade financial futures in order to achieve an above average absolute return compared to classic asset classes like stock and bond investments. The methodology employed is under constant revision and refinement, and the Advisor has discretion and reserves the right to selectively use the methodology from time to time. Trading methodology is based on a proprietary array of different fundamental and technical indicators, which give insight into market price action, trends and market sentiment, as well as important support and resistance levels. In addition mathematically calculated buy and sell resistance points are used to guide trade entry. These methods are applied to multiple time frames to determine the direction and degree of trend at all levels. Through market research, specific rules have been developed and applied to determine levels of entry for each position. Together, the results of the technical and quantitative analysis and application of rules from a discretionary and / or mechanical trading model.

Risk Management

We believe that an investment strategy can only be as successful as the discipline of the manager to adhere to its requirements in the face of market adversity. Positive management of risk is at the heart of CAIM´s approach. Strong emphasis is placed on market analysis and trading, alongside fundamental analysis. Often the first indication of a change in circumstances can be seen in financial market prices and the market can often guide the efforts of CAIM´s analysis. Furthermore, where fundamental views are strongly held, technical analysis can provide a useful catalyst for a change in stance. The risk management process means funds may increase and reduce holdings in a market many times before finally relinquishing a position. A system of stop losses, combined with market analysis, enables CAIM to limit losses on specific positions.

   

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:
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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-20.60 3 7 6/1/2009 9/1/2009
-5.59 4 - 6/1/2010 10/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
27.77 6 1/1/2009 6/1/2009
27.34 5 2/1/2010 6/1/2010
15.58 3 10/1/2009 12/1/2009
3.65 1 8/1/2009 8/1/2009
2.87 1 8/1/2010 8/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.65 1 7/1/2009 7/1/2009
-6.41 1 1/1/2010 1/1/2010
-5.84 1 9/1/2009 9/1/2009
-5.59 2 9/1/2010 10/1/2010
-2.79 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable72.7375.0064.7190.91
Average Period Return1.464.066.9714.31
Average Gain4.479.0716.0315.82
Average Loss-6.56-10.96-9.64-0.78
Best Period9.4420.9627.7733.45
Worst Period-18.65-20.60-16.13-0.78
Standard Deviation6.1410.9714.2713.22
Gain Standard Deviation2.206.217.8112.90
Loss Standard Deviation6.157.764.25
Sharpe Ratio (1%)0.220.350.451.01
Average Gain / Average Loss0.680.831.6620.33
Profit / Loss Ratio1.822.483.05203.32
Downside Deviation (10%)4.677.017.562.50
Downside Deviation (5%)4.546.596.450.58
Downside Deviation (0%)4.516.496.180.23
Sortino Ratio (10%)0.230.400.603.73
Sortino Ratio (5%)0.300.581.0022.95
Sortino Ratio (0%)0.320.631.1361.00

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.