Deep Field Capital AG : Active Intraday Momentum (AIM) Program

Year-to-Date
1.94%
Jun Performance
-2.43%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
6.80%
Sharpe (RFR=1%)
0.54
CAROR
-
Assets
$ 20.0M
Worst DD
-2.43
S&P Correlation
-0.01

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
12/2020
Active Intraday Momentum (AIM) Program -2.43 -0.83 1.94 - - - - 2.65
S&P 500 2.22 8.17 18.13 - - - - 18.13
+/- S&P 500 -4.65 -9.00 -16.19 - - - - -15.47

Strategy Description

Summary

AIM is a pure intraday momentum program, trading global equity indices. Trading starts with HSI 50 futures in the Asian session in Hong Kong, and continuous with the DAX 30 in the European session before the S&P 500 covers the American time zone. AIM is designed to benefit from increases... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
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 3000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -20.00%
Worst Peak-to-Trough -3.68%
Sector Focus Stock Index 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
Systematic 100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

AIM is a pure intraday momentum program, trading global equity indices. Trading starts with HSI 50 futures in the Asian session in Hong Kong, and continuous with the DAX 30 in the European session before the S&P 500 covers the American time zone. AIM is designed to benefit from increases in intraday volatility, providing a pronounced long volatility, positively skewed return profile. It generates pure alpha with strong hedging capabilities in times of crisis without the usual cost of an insurance premium. AIM is extremely capital efficient by trading only intraday and closing out all positions by the end of the trading day. It can be implemented on top of any portfolio without additional capital requirements.

Investment Strategy

AIM is a pure intraday momentum program, trading global equity indices. Trading starts with HSI 50 futures in the Asian session in Hong Kong, and continuous with the DAX 30 in the European session before the S&P 500 covers the American time zone. AIM is designed to benefit from increases in intraday volatility, providing a pronounced long volatility, positively skewed return profile. It generates pure alpha with strong hedging capabilities in times of crisis without the usual cost of an insurance premium. AIM is extremely capital efficient by trading only intraday and closing out all positions by the end of the trading day. It can be implemented on top of any portfolio without additional capital requirements.

Risk Management

AIM is a pure intraday momentum program, trading global equity indices. Trading starts with HSI 50 futures in the Asian session in Hong Kong, and continuous with the DAX 30 in the European session before the S&P 500 covers the American time zone. AIM is designed to benefit from increases in intraday volatility, providing a pronounced long volatility, positively skewed return profile. It generates pure alpha with strong hedging capabilities in times of crisis without the usual cost of an insurance premium. AIM is extremely capital efficient by trading only intraday and closing out all positions by the end of the trading day. It can be implemented on top of any portfolio without additional capital requirements.

   

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
-2.43 1 - 5/1/2021 6/1/2021
-1.74 2 1 2/1/2021 4/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
4.41 3 12/1/2020 2/1/2021
2.55 1 5/1/2021 5/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.43 1 6/1/2021 6/1/2021
-1.74 2 3/1/2021 4/1/2021
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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.