Estlander & Partners : Alpha Trend II - Class P Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 0.64% Min Investment $ 100k Mgmt. Fee 4.50% Perf. Fee 20.00% Annualized Vol 36.56% Sharpe (RFR=1%) -0.10 CAROR -9.05% Assets $ 1.0M Worst DD -78.62 S&P Correlation -0.01 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since12/2008 Alpha Trend II - Class P 0.64 - - - -29.89 -59.98 -74.43 -64.77 S&P 500 2.86 - - - 42.84 55.32 186.74 306.96 +/- S&P 500 -2.22 - - - -72.73 -115.30 -261.17 -371.73 Strategy Description SummaryEstlander & 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% 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% SummaryEstlander & 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 StrategyAlpha 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 50.82 4 5/1/2019 8/1/2019 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 0.64 1 12/1/2019 12/1/2019 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 -32.57 3 9/1/2019 11/1/2019 -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 Periods132.00131.00128.00122.00116.00110.0098.0086.0074.00 Percent Profitable47.7346.5639.8435.2533.6233.6427.559.306.76 Average Period Return-0.22-0.09-0.28-3.90-6.92-10.51-22.48-28.87-31.99 Average Gain8.6516.5925.6330.0935.3933.7711.9216.1329.17 Average Loss-8.32-14.64-17.44-22.40-28.34-32.96-35.56-33.49-36.42 Best Period36.81132.96119.87105.7572.37106.5034.3467.4165.46 Worst Period-24.70-57.31-60.56-61.35-59.50-64.77-68.61-63.83-55.10 Standard Deviation10.5521.8727.1432.3734.2837.1927.6421.4620.07 Gain Standard Deviation6.8819.2122.9929.4321.1325.368.8121.0521.59 Loss Standard Deviation5.6510.9511.6113.2713.0915.9120.0015.3610.49 Sharpe Ratio (1%)-0.03-0.02-0.03-0.15-0.25-0.34-0.92-1.53-1.85 Average Gain / Average Loss1.041.131.471.341.251.020.340.480.80 Profit / Loss Ratio0.950.990.970.730.630.520.130.050.06 Downside Deviation (10%)7.5014.0617.8524.4831.1637.5047.0254.5262.71 Downside Deviation (5%)7.3013.4716.5421.6226.5331.2636.9438.6041.34 Downside Deviation (0%)7.2513.3316.2220.9225.4129.7834.6635.0536.58 Sortino Ratio (10%)-0.08-0.09-0.15-0.36-0.47-0.55-0.81-0.92-0.95 Sortino Ratio (5%)-0.04-0.03-0.05-0.23-0.32-0.40-0.69-0.85-0.90 Sortino Ratio (0%)-0.03-0.01-0.02-0.19-0.27-0.35-0.65-0.82-0.87 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Month 3 18.68 8/2019 Trend Following Strategy Index Month 4 18.68 8/2019 Systematic Trader Index Month 4 18.68 8/2019 Diversified Trader Index Month 4 18.68 8/2019 Trend Following Strategy Index Month 4 9.10 6/2019 IASG CTA Index Month 5 9.10 6/2019 Diversified Trader Index Month 7 9.10 6/2019 Systematic Trader Index Month 9 9.10 6/2019 Trend Following Strategy Index Month 1 12.60 5/2019 Systematic Trader Index Month 1 12.60 5/2019 Diversified Trader Index Month 1 12.60 5/2019 IASG CTA Index Month 2 12.60 5/2019 Trend Following Strategy Index Month 3 6.81 2/2019 IASG CTA Index Month 3 6.81 2/2019 Systematic Trader Index Month 3 6.81 2/2019 Diversified Trader Index Month 3 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 Systematic Trader Index Month 4 7.31 7/2017 Diversified Trader Index Month 4 7.31 7/2017 IASG CTA Index Month 4 7.31 7/2017 Trend Following Strategy Index Month 4 7.31 7/2017 Trend Following Strategy Index Month 5 4.30 12/2016 Systematic Trader Index Month 9 4.30 12/2016 Diversified Trader Index Month 8 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 Diversified Trader Index Month 4 13.09 6/2016 Systematic 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 Trend Following Strategy Index Month 1 13.94 2/2016 IASG CTA Index Month 1 13.94 2/2016 IASG CTA Index Month 1 17.77 1/2016 Trend Following Strategy Index Month 1 17.77 1/2016 Diversified Trader Index Month 1 17.77 1/2016 Systematic 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 Systematic Trader Index Month 4 22.92 1/2015 Diversified 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 Diversified Trader Index Month 4 18.59 11/2014 Trend Following Strategy Index Month 4 18.59 11/2014 Systematic Trader Index Month 5 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 Trend Following Strategy Index Month 4 8.30 2/2013 IASG CTA Index Month 5 8.30 2/2013 Diversified Trader Index Month 4 8.30 2/2013 Systematic Trader Index Month 2 8.30 2/2013 Systematic Trader Index Month 1 20.98 1/2013 Diversified Trader Index Month 1 20.98 1/2013 Trend Following Strategy Index Month 1 20.98 1/2013 IASG CTA 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 Systematic Trader Index Month 4 7.72 4/2012 Trend Following Strategy Index Month 1 7.72 4/2012 Diversified Trader Index Month 3 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 Systematic Trader Index Month 8 8.14 6/2010 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel