IFIT Advisory AG : Contrapuntal Fund SP

archived programs
Year-to-Date
N / A
Nov Performance
-0.13%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.45%
Sharpe (RFR=1%)
0.23
CAROR
3.74%
Assets
$ 4.4M
Worst DD
-30.84
S&P Correlation
0.05

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
3/2006
Contrapuntal Fund SP -0.13 - - - - - -14.08 23.54
S&P 500 -0.51 - - - - - 9.42 167.53
+/- S&P 500 0.38 - - - - - -23.50 -143.99

Strategy Description

Summary

The Fund pursues a rule based, directional, absolute return strategy. The Fund seeks above average long term growth, with low correlation to stocks and bonds but with a volatility and maximum drawdown potentially lower than traditional stand alone stock market investment. The Fund... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

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 800 RT/YR/$M
Avg. Margin-to-Equity 14%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 30.90%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 3.00%
4-12 Months 40.00%
1-3 Months 46.00%
1-30 Days 11.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
20.00%
Technical
20.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Interest Rates
20.00%
Stock Indices
20.00%
Grains
12.00%
Currency Futures
10.00%
Softs
10.00%
Energy
8.00%
Industrial Metals
7.00%
Precious Metals
5.00%
Other
5.00%
Livestock
2.00%
VIX
1.00%
Composition Pie Chart

Summary

The Fund pursues a rule based, directional, absolute return strategy. The Fund seeks above average long term growth, with low correlation to stocks and bonds but with a volatility and maximum drawdown potentially lower than traditional stand alone stock market investment. The Fund calls it strategy “Systematic Global Macro”.

The Global Macro hedge fund strategy can be defined as dynamic global asset allocation. Global Macro hedge fund managers have the ability to take positions in any instrument in any market throughout the world. Asset allocation is the most important determinant of profit in any portfolio and the ability to switch assets from one market to another means that the Fund should be well placed to reap profits from many different sectors as the potential arises. Generally, a Global Macro hedge fund will invest to take advantage of trends in broad economic sectors (such as currencies, bonds, or stock indices) and the Fund is no exception.

Diversification over many asset classes should enable the Fund to benefit from whatever sustained trends occur in each market segment. While it is undoubtedly true that correlation between asset classes (positive or negative) tends to strengthen in periods of crisis, in more normal times the benefit of wide diversification is that more opportunities will present themselves and profit can be sought in one or more upwardly trending asset classes at times when trends are not evident in other asset classes. In general, this can lead to a smoother and greater return on equity than investment in any single asset class such as stocks.

Investment Manager: Aspeqt Capital Management Ltd, George Town Grand Cayman.

Investment Advisor: IFIT Advisory AG, Voltastrasse 61, CH-8044, Zurich, Switzerland. IFIT Advisory AG is registered with VQF. This material is neither a solicitation nor an offer. The value of an investment may go down as well as up. Past performance is not necessarily indicative of future results.

Investment Strategy

The Fund invests almost wholly through futures or forward contracts traded on regulated world exchanges from North America and Europe to the Far East and the Southern Hemisphere. The Fund’s potential portfolio of over 100 instruments consists of stock indices, bonds, notes and interest rates, currencies, metals (precious and industrial), grains, energy, meats, soft commodities and various other instruments such as carbon emission futures and volatility and commodity indices. The Fund takes long only positions, except in currency pairs.

A mechanical, rule based approach recognizes that human emotions and subjective judgment may perhaps be better replaced by a rule based system which simply follows the flow of trending markets.

Risk Management

The Fund manages its leverage from a margin perspective. The average margin usage is expected to remain low. Initial individual position size is limited to risk no more than a small percentage of overall capital on each individual position. Overall portfolio risk is limited to around 31% of funds although this can increase somewhat in strongly trending markets.

Sector risk is limited to a fixed percentage of capital per sector. Again, sector risk can increase somewhat above this level in strongly trending markets. Risk is calculated in relation to a position’s pre-defined exit level although fast markets, gaps and unexpected slippage can result in an exit at a worse level than that reflected in the planned fixed exit point.

   

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
-30.84 7 - 4/1/2011 11/1/2011
-30.79 3 18 6/1/2008 9/1/2008
-14.78 3 2 5/1/2007 8/1/2007
-12.85 2 2 2/1/2008 4/1/2008
-11.84 3 2 6/1/2006 9/1/2006
-10.85 3 3 4/1/2010 7/1/2010
-3.07 1 1 10/1/2007 11/1/2007
-2.26 2 3 12/1/2006 2/1/2007
-1.64 1 1 10/1/2010 11/1/2010
-1.56 1 1 2/1/2011 3/1/2011
-0.94 1 1 4/1/2006 5/1/2006
-0.54 1 1 1/1/0001 3/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
31.19 3 12/1/2007 2/1/2008
30.64 6 10/1/2008 3/1/2009
24.10 2 9/1/2007 10/1/2007
17.72 2 5/1/2008 6/1/2008
16.15 3 10/1/2006 12/1/2006
15.04 3 7/1/2009 9/1/2009
13.06 3 12/1/2010 2/1/2011
12.70 3 8/1/2010 10/1/2010
10.96 3 2/1/2010 4/1/2010
6.37 3 3/1/2007 5/1/2007
4.27 1 7/1/2011 7/1/2011
3.76 1 4/1/2011 4/1/2011
3.35 1 4/1/2006 4/1/2006
2.99 1 11/1/2009 11/1/2009
1.86 1 6/1/2010 6/1/2010
1.56 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.79 3 7/1/2008 9/1/2008
-25.06 4 8/1/2011 11/1/2011
-14.78 3 6/1/2007 8/1/2007
-12.85 2 3/1/2008 4/1/2008
-11.84 3 7/1/2006 9/1/2006
-11.50 2 5/1/2011 6/1/2011
-10.49 1 5/1/2010 5/1/2010
-6.41 3 4/1/2009 6/1/2009
-5.29 2 12/1/2009 1/1/2010
-3.07 1 11/1/2007 11/1/2007
-2.26 2 1/1/2007 2/1/2007
-2.22 1 7/1/2010 7/1/2010
-2.22 1 10/1/2009 10/1/2009
-1.64 1 11/1/2010 11/1/2010
-1.56 1 3/1/2011 3/1/2011
-0.94 1 5/1/2006 5/1/2006
-0.54 1 3/1/2006 3/1/2006
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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 Profitable53.6256.7264.0686.2188.4689.1397.06100.00
Average Period Return0.531.684.3010.5116.5222.8134.1249.98
Average Gain5.069.4012.2013.8620.0626.8635.2349.98
Average Loss-4.70-8.44-9.79-10.40-10.66-10.44-2.48
Best Period19.4631.1957.8143.0660.5348.0762.2273.28
Worst Period-19.66-30.79-30.75-21.34-20.97-17.06-2.486.23
Standard Deviation6.7711.5814.6313.0816.0814.7513.4518.92
Gain Standard Deviation4.757.2010.7410.2913.309.2911.9818.92
Loss Standard Deviation4.657.788.898.506.605.86
Sharpe Ratio (1%)0.070.120.260.730.931.412.312.43
Average Gain / Average Loss1.081.111.251.331.882.5714.19
Profit / Loss Ratio1.241.462.228.3314.4221.10468.39
Downside Deviation (10%)4.678.119.026.526.647.064.094.18
Downside Deviation (5%)4.517.618.085.164.614.450.95
Downside Deviation (0%)4.477.497.854.864.163.850.43
Sortino Ratio (10%)0.030.060.200.841.341.784.496.79
Sortino Ratio (5%)0.100.190.471.843.264.6732.89
Sortino Ratio (0%)0.120.220.552.163.975.9280.16

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.