Commonwealth Avenue Asset Management Private Limited : CAAMCO Absolute Return Strategy

archived programs
Year-to-Date
1.90%
Jan Performance
1.90%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
18.00%
Annualized Vol
54.65%
Sharpe (RFR=1%)
1.25
CAROR
-
Assets
$ 1.6M
Worst DD
-17.55
S&P Correlation
-0.24

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
12/2019
CAAMCO Absolute Return Strategy 1.90 - 1.90 24.87 - - - 93.77
S&P 500 -1.11 - -1.11 15.15 - - - 34.35
+/- S&P 500 3.01 - 3.01 9.71 - - - 59.42

Strategy Description

Summary

The CAAMCO ABSOLUTE RETURN STRATEGY (CARS) is a managed account strategy driven by a combination of higher frequency trades and longer holding position trades typically in the opposite direction. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 18.00%
Average Commission $2.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 12.70%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The CAAMCO ABSOLUTE RETURN STRATEGY (CARS) is a managed account strategy driven by a combination of higher frequency trades and longer holding position trades typically in the opposite direction.

Investment Strategy

The strategy make investments in exchange-listed instruments globally and its objective is to achieve absolute returns over various market conditions through highly active management. Investment decision making are based on pattern recognition research.

Risk Management

Key risk management metric is the use of Margin / Equity Ratio to control intraday market exposure. The strategy aims to achieve an average net return between 10% and 30% per annum, with worst drawdown capped under 30%. Reference Indexes include: EMB, Macro & CTA indexes, and SPY.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-17.55 1 1 1/1/2020 2/1/2020
-8.00 2 - 9/1/2020 11/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
141.62 7 3/1/2020 9/1/2020
5.06 2 12/1/2020 1/1/2021
0.63 2 12/1/2019 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.55 1 2/1/2020 2/1/2020
-8.00 2 10/1/2020 11/1/2020
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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.