Carlo Scevola & Partners : Leader Fund - Accelerated Alpha

archived programs
Year-to-Date
N / A
Sep Performance
-0.30%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
33.13%
Sharpe (RFR=1%)
1.42
CAROR
52.66%
Assets
$ 60.0M
Worst DD
-25.26
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2004
Leader Fund - Accelerated Alpha -0.30 - - - - - - 1,038.93
S&P 500 3.57 - - - - - - 186.10
+/- S&P 500 -3.87 - - - - - - 852.83

Strategy Description

Summary

We specialize in the design and operation of advanced automated programs that trade 24 hours a day, running from multiple servers world-wide. Individual trading decisions and the level of risk taken for each trade are automated within each system; however the capital allocation between... Read More

Account & Fees

Type Mutual Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 25.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
20.00%
Counter-trend
20.00%
Seasonal/cyclical
20.00%
Spreading/hedging
20.00%
Trend-following
20.00%
Strategy Pie Chart

Summary

We specialize in the design and operation of advanced automated programs that trade 24 hours a day, running from multiple servers world-wide. Individual trading decisions and the level of risk taken for each trade are automated within each system; however the capital allocation between each particular system is determined discretionarily on a periodic basis. Leader Fund?s trading approach utilizes specific skills of the principals in the: • Analysis of virtually all tradable currency pairs and synthetics • Development and implementation of world class mechanical trading systems in a highly secure manner • Management of trading risk, such that returns are accelerated during profitable periods, while losses are contained during unprofitable times

Investment Strategy

The fund trades on G-10 currencies, using OTC spot contracts, with fully automated, quantitative strategies.

Risk Management

We have three main views that drive our risk management philosophy: 1. We wish to attain the highest probability of a profitable month without limiting our overall upside every month 2. We believe drawdowns that eat into large monthly profits to be less important than drawdowns at the start of a month that eat into capital. 3. We prefer to have shallow, slightly longer drawdowns than deep shorter drawdowns. This approach also protects our capital well in the event of system breakdown.

   

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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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
-25.26 3 2 7/1/2004 10/1/2004
-15.63 3 3 11/1/2005 2/1/2006
-12.96 2 2 2/1/2004 4/1/2004
-6.77 2 2 7/1/2006 9/1/2006
-6.28 8 1 12/1/2006 8/1/2007
-3.44 6 1 2/1/2008 8/1/2008
-2.92 8 - 1/1/2009 9/1/2009
-0.98 1 1 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
393.66 13 11/1/2004 11/1/2005
70.99 3 5/1/2004 7/1/2004
65.39 5 3/1/2006 7/1/2006
22.65 5 9/1/2008 1/1/2009
21.53 3 9/1/2007 11/1/2007
10.71 3 10/1/2006 12/1/2006
8.36 2 1/1/2004 2/1/2004
4.70 1 1/1/2006 1/1/2006
2.46 2 1/1/2008 2/1/2008
1.60 2 5/1/2009 6/1/2009
0.89 2 5/1/2007 6/1/2007
0.69 1 3/1/2009 3/1/2009
0.09 1 6/1/2008 6/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.26 3 8/1/2004 10/1/2004
-13.79 1 12/1/2005 12/1/2005
-12.96 2 3/1/2004 4/1/2004
-6.77 2 8/1/2006 9/1/2006
-6.53 1 2/1/2006 2/1/2006
-4.90 2 7/1/2007 8/1/2007
-2.39 3 7/1/2009 9/1/2009
-2.32 4 1/1/2007 4/1/2007
-1.79 2 7/1/2008 8/1/2008
-1.76 3 3/1/2008 5/1/2008
-1.60 1 2/1/2009 2/1/2009
-1.20 1 4/1/2009 4/1/2009
-0.98 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable62.3273.1384.3898.28100.00100.00100.00100.00
Average Period Return3.9912.9029.2275.01138.50206.16352.80597.03
Average Gain8.3819.5134.9276.33138.50206.16352.80597.03
Average Loss-3.39-5.07-1.58-0.42
Best Period42.0770.99134.83366.64519.82587.19787.66942.96
Worst Period-15.74-25.26-4.08-0.4213.6416.3940.38160.20
Standard Deviation9.5619.8633.2280.02141.08196.01260.65242.61
Gain Standard Deviation9.2319.0033.1680.09141.08196.01260.65242.61
Loss Standard Deviation4.266.691.30
Sharpe Ratio (1%)0.410.640.860.920.971.041.342.44
Average Gain / Average Loss2.473.8522.16182.24
Profit / Loss Ratio4.2510.47119.6710387.76
Downside Deviation (10%)3.404.691.700.91
Downside Deviation (5%)3.274.350.950.19
Downside Deviation (0%)3.244.270.790.05
Sortino Ratio (10%)1.052.4915.7777.01
Sortino Ratio (5%)1.202.9130.08388.10
Sortino Ratio (0%)1.233.0236.891363.85

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.