Estlander & Partners : Alpha Trend II - Class P

Year-to-Date
10.97%
Apr Performance
-5.81%
Min Investment
$ 100k
Mgmt. Fee
4.50%
Perf. Fee
20.00%
Annualized Vol
36.28%
Sharpe (RFR=1%)
-0.13
CAROR
-9.81%
Assets
$ 2.8M
Worst DD
-78.62
S&P Correlation
0.02

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/2008
Alpha Trend II - Class P -5.81 -1.34 -10.97 -19.86 -59.12 -31.89 -55.85 -65.58
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 222.79
+/- S&P 500 -9.74 -10.28 -28.48 -31.10 -100.31 -86.67 -289.90 -288.37

Strategy Description

Summary

Estlander & Partners Alpha Trend is a diversified short- to mid term trend programme which is active on more than 70 liquid futures markets. It is a fully systematic programme with a highly selective trading process. Positions are held on average for 20-30 days. The historical track... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
4.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
35%
Targeted Worst DD
-48.00%
Worst Peak-to-Trough
36.07%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
8.00%
1-3 Months
46.00%
1-30 Days
45.00%
Intraday
1.00%

Decision-Making

Discretionary
Systematic
100.00%

Strategy

Pattern Recognition
25.00%
Technical
25.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
17.00%
Stock Indices
12.00%
Industrial Metals
10.00%
Energy
10.00%
Softs
9.00%
Grains
8.00%
Precious Metals
7.00%
Other
5.00%
Composition Pie Chart

Summary

Estlander & Partners Alpha Trend is a diversified short- to mid term trend programme which is active on more than 70 liquid futures markets. It is a fully systematic programme with a highly selective trading process. Positions are held on average for 20-30 days. The historical track record goes back to 1991. Estlander & Partners Alpha Trend II - Class P invests in a high leverage version of the Alpha Trend programme.

Investment Strategy

Alpha Trend’s investment philosophy is based on the following theses: • All relevant information is reflected in historic price movements. • Quantitative analysis is the most effective way of accessing information about future market price movements. • Historic price movements repeat and provide investment opportunities. • Diversification across a broad range of markets maximises the investment opportunity. • Alpha Trend capitalizes on market moves driven by investor behaviour in a systematic and disciplined way. The system tries to exploit profit opportunities based on market participant’s behaviours. There are psychological reasons behind the existence of trends and there are also economical reasons for some participants to reduce volatility. The philosophy of the system is to trade with the trend and take on volatility. That is achieved by selective shortterm trading in line with the longer-term trend and having the risk management focused on drawdowns instead of volatility reduction. The programme takes selective breakouts in the direction of the trend by a unique combination of level identification and identification of market structure. The methodology leads to trades in varying holding periods with the average trade lasting 28 days but some positions can be held for 6 months and longer. The strategy is applied on a diversified futures portfolio of 74 markets but being selective in position taking holds full positions only in 29 markets on average. The model and its parameters are the same for all markets in the portfolio. Our risk management is focused on drawdown control and worst case scenarios. The risk management is an integral part of the model and takes a bottom-up approach when evaluating portfolio risk. The sizing of new positions is dynamic and based on the volatility of the markets and the total risk in the portfolio at the time of entry. All position risks are accumulated to achieve a better estimate of a worst case scenario and to avoid an over-reliance on low or negative correlations.

Risk Management

The 73 exchange traded futures markets within the portfolio are traded both on the long and short side and the program also applies a prudent risk management that ensures optimal portfolio balance at all times.

   

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
-78.62 96 - 4/1/2011 4/1/2019
-36.07 5 8 9/1/2009 2/1/2010
-23.10 4 1 12/1/2008 4/1/2009
-10.69 1 2 5/1/2009 6/1/2009
-5.24 1 1 10/1/2010 11/1/2010
-2.32 1 1 12/1/2010 1/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
59.99 4 11/1/2014 2/1/2015
51.77 6 12/1/2012 5/1/2013
36.81 1 5/1/2009 5/1/2009
34.19 2 1/1/2016 2/1/2016
30.10 2 5/1/2010 6/1/2010
25.40 2 4/1/2012 5/1/2012
21.37 3 7/1/2009 9/1/2009
19.59 3 7/1/2014 9/1/2014
18.42 1 10/1/2010 10/1/2010
16.85 3 2/1/2011 4/1/2011
16.82 1 12/1/2010 12/1/2010
15.88 2 8/1/2011 9/1/2011
13.93 2 6/1/2016 7/1/2016
12.77 2 11/1/2016 12/1/2016
12.39 1 7/1/2012 7/1/2012
12.17 1 1/1/2018 1/1/2018
10.36 1 11/1/2009 11/1/2009
10.35 1 7/1/2015 7/1/2015
9.18 1 3/1/2010 3/1/2010
9.14 1 10/1/2017 10/1/2017
9.04 1 11/1/2015 11/1/2015
8.88 2 7/1/2018 8/1/2018
8.47 1 8/1/2010 8/1/2010
8.00 1 9/1/2015 9/1/2015
7.90 1 5/1/2014 5/1/2014
7.74 1 12/1/2013 12/1/2013
7.72 1 2/1/2014 2/1/2014
7.31 1 7/1/2017 7/1/2017
6.81 1 2/1/2019 2/1/2019
6.51 2 1/1/2012 2/1/2012
5.62 2 11/1/2018 12/1/2018
1.96 1 10/1/2013 10/1/2013
1.37 1 12/1/2008 12/1/2008
0.59 1 4/1/2018 4/1/2018
0.25 1 4/1/2017 4/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-37.78 4 6/1/2013 9/1/2013
-35.19 4 8/1/2012 11/1/2012
-35.18 3 12/1/2009 2/1/2010
-34.75 3 10/1/2011 12/1/2011
-30.72 3 5/1/2011 7/1/2011
-28.35 3 3/1/2016 5/1/2016
-27.41 3 8/1/2016 10/1/2016
-23.10 4 1/1/2009 4/1/2009
-20.76 4 3/1/2015 6/1/2015
-19.38 3 1/1/2017 3/1/2017
-18.31 1 10/1/2015 10/1/2015
-16.41 1 6/1/2012 6/1/2012
-16.02 2 5/1/2017 6/1/2017
-15.03 2 2/1/2018 3/1/2018
-14.76 2 9/1/2018 10/1/2018
-13.15 2 3/1/2014 4/1/2014
-12.65 1 3/1/2012 3/1/2012
-12.05 2 8/1/2017 9/1/2017
-10.69 1 6/1/2009 6/1/2009
-10.63 1 10/1/2009 10/1/2009
-9.76 1 1/1/2019 1/1/2019
-9.58 1 1/1/2014 1/1/2014
-8.17 2 5/1/2018 6/1/2018
-7.63 2 3/1/2019 4/1/2019
-7.14 1 12/1/2015 12/1/2015
-6.86 1 10/1/2014 10/1/2014
-5.24 1 11/1/2010 11/1/2010
-4.39 2 11/1/2017 12/1/2017
-3.88 1 11/1/2013 11/1/2013
-3.04 1 4/1/2010 4/1/2010
-2.32 1 1/1/2011 1/1/2011
-2.27 1 7/1/2010 7/1/2010
-1.26 1 8/1/2015 8/1/2015
-0.30 1 9/1/2010 9/1/2010
-0.26 1 6/1/2014 6/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods124.00123.00120.00114.00108.00102.0090.0078.0066.00
Percent Profitable46.7745.5337.5033.3334.2635.2930.0010.267.58
Average Period Return-0.30-0.25-0.96-4.37-6.45-10.01-20.78-26.79-31.89
Average Gain8.6316.6126.7132.7836.7634.4311.9216.1329.17
Average Loss-8.14-14.35-17.55-22.95-28.96-34.25-34.79-31.69-36.89
Best Period36.81132.96119.87105.7572.37106.5034.3467.4165.46
Worst Period-24.70-57.31-60.56-61.35-59.50-57.15-68.61-63.83-53.09
Standard Deviation10.4721.9027.5633.3435.0538.1328.1521.4020.72
Gain Standard Deviation6.9219.7023.9030.2320.7025.408.8121.0521.59
Loss Standard Deviation5.6510.9611.7313.2312.5514.8920.9715.109.89
Sharpe Ratio (1%)-0.04-0.02-0.05-0.16-0.23-0.32-0.85-1.44-1.79
Average Gain / Average Loss1.061.161.521.431.271.010.340.510.79
Profit / Loss Ratio0.930.970.910.710.660.550.150.060.06
Downside Deviation (10%)7.4614.0218.3225.2331.3337.7445.9552.5562.79
Downside Deviation (5%)7.2613.4416.9922.3126.6931.5036.1236.7341.46
Downside Deviation (0%)7.2113.2916.6621.6025.5630.0133.9233.2236.70
Sortino Ratio (10%)-0.09-0.11-0.19-0.37-0.45-0.54-0.80-0.92-0.95
Sortino Ratio (5%)-0.05-0.04-0.09-0.24-0.30-0.38-0.66-0.84-0.89
Sortino Ratio (0%)-0.04-0.02-0.06-0.20-0.25-0.33-0.61-0.81-0.87

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 4 6.81 2/2019
Trend Following Strategy Index Month 4 6.81 2/2019
Systematic Trader Index Month 4 6.81 2/2019
Diversified Trader Index Month 4 6.81 2/2019
Trend Following Strategy Index Month 6 8.52 8/2018
IASG CTA Index Month 7 8.52 8/2018
Systematic Trader Index Month 7 8.52 8/2018
Diversified Trader Index Month 7 8.52 8/2018
Diversified Trader Index Month 9 9.14 10/2017
Trend Following Strategy Index Month 7 9.14 10/2017
Diversified Trader Index Month 4 7.31 7/2017
Systematic Trader Index Month 4 7.31 7/2017
Trend Following Strategy Index Month 4 7.31 7/2017
IASG CTA Index Month 4 7.31 7/2017
Trend Following Strategy Index Month 5 4.30 12/2016
Diversified Trader Index Month 8 4.30 12/2016
Systematic Trader Index Month 9 4.30 12/2016
IASG CTA Index Month 8 8.12 11/2016
Trend Following Strategy Index Month 6 8.12 11/2016
Systematic Trader Index Month 6 8.12 11/2016
Diversified Trader Index Month 7 8.12 11/2016
Systematic Trader Index Month 4 13.09 6/2016
Diversified Trader Index Month 4 13.09 6/2016
IASG CTA Index Month 4 13.09 6/2016
Trend Following Strategy Index Month 3 13.09 6/2016
Systematic Trader Index Month 2 13.94 2/2016
Diversified Trader Index Month 2 13.94 2/2016
IASG CTA Index Month 1 13.94 2/2016
Trend Following Strategy Index Month 1 13.94 2/2016
Trend Following Strategy Index Month 1 17.77 1/2016
IASG CTA Index Month 1 17.77 1/2016
Systematic Trader Index Month 1 17.77 1/2016
Diversified Trader Index Month 1 17.77 1/2016
IASG CTA Index Month 9 9.04 11/2015
Diversified Trader Index Month 9 8.00 9/2015
IASG CTA Index Month 10 8.00 9/2015
Systematic Trader Index Month 7 8.00 9/2015
Trend Following Strategy Index Month 6 8.00 9/2015
IASG CTA Index Month 10 10.35 7/2015
Trend Following Strategy Index Month 9 10.35 7/2015
Diversified Trader Index Month 7 10.35 7/2015
Systematic Trader Index Month 8 10.35 7/2015
IASG CTA Index Month 5 22.92 1/2015
Diversified Trader Index Month 4 22.92 1/2015
Systematic Trader Index Month 4 22.92 1/2015
Trend Following Strategy Index Month 3 22.92 1/2015
Trend Following Strategy Index Month 10 9.23 12/2014
Trend Following Strategy Index Month 4 18.59 11/2014
Systematic Trader Index Month 5 18.59 11/2014
Diversified Trader Index Month 4 18.59 11/2014
IASG CTA Index Month 5 18.59 11/2014
Trend Following Strategy Index Month 8 10.47 8/2014
Systematic Trader Index Month 9 10.47 8/2014
Diversified Trader Index Month 8 10.47 8/2014
Diversified Trader Index Month 3 7.90 5/2014
IASG CTA Index Month 4 7.90 5/2014
Trend Following Strategy Index Month 2 7.90 5/2014
Systematic Trader Index Month 2 7.90 5/2014
Trend Following Strategy Index Month 3 7.74 12/2013
Systematic Trader Index Month 7 7.74 12/2013
Diversified Trader Index Month 6 7.74 12/2013
IASG CTA Index Month 9 7.74 12/2013
Diversified Trader Index Month 8 5.37 3/2013
Trend Following Strategy Index Month 10 5.37 3/2013
Diversified Trader Index Month 4 8.30 2/2013
IASG CTA Index Month 5 8.30 2/2013
Trend Following Strategy Index Month 4 8.30 2/2013
Systematic Trader Index Month 2 8.30 2/2013
Diversified Trader Index Month 1 20.98 1/2013
Systematic Trader Index Month 1 20.98 1/2013
IASG CTA Index Month 1 20.98 1/2013
Trend Following Strategy Index Month 1 20.98 1/2013
Trend Following Strategy Index Month 5 12.39 7/2012
Diversified Trader Index Month 10 12.39 7/2012
Systematic Trader Index Month 9 12.39 7/2012
IASG CTA Index Month 10 7.72 4/2012
Diversified Trader Index Month 3 7.72 4/2012
Systematic Trader Index Month 4 7.72 4/2012
Trend Following Strategy Index Month 1 7.72 4/2012
Trend Following Strategy Index Month 7 16.82 12/2010
Diversified Trader Index Month 10 16.82 12/2010
Systematic Trader Index Month 8 16.82 12/2010
IASG CTA Index Month 9 18.42 10/2010
Systematic Trader Index Month 4 18.42 10/2010
Diversified Trader Index Month 4 18.42 10/2010
Trend Following Strategy Index Month 3 18.42 10/2010
Trend Following Strategy Index Month 4 8.14 6/2010
Diversified Trader Index Month 7 8.14 6/2010
Systematic Trader Index Month 8 8.14 6/2010
IASG CTA Index Month 10 8.14 6/2010
Trend Following Strategy Index Month 3 20.31 5/2010
IASG CTA Index Month 3 20.31 5/2010
Diversified Trader Index Month 3 20.31 5/2010
Systematic Trader Index Month 3 20.31 5/2010
IASG CTA Index Month 4 14.08 8/2009
Diversified Trader Index Month 2 14.08 8/2009
Systematic Trader Index Month 1 14.08 8/2009
Trend Following Strategy Index Month 2 14.08 8/2009
Trend Following Strategy Index Month 2 36.81 5/2009
Systematic Trader Index Month 2 36.81 5/2009

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.