MERIT Alternative Investments GmbH : AWA

archived programs
Year-to-Date
N / A
Mar Performance
0.29%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.83%
Sharpe (RFR=1%)
0.76
CAROR
10.53%
Assets
$ 25.0M
Worst DD
-42.51
S&P Correlation
-0.22

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/1999
AWA 0.29 - - - -33.06 -36.89 97.51 345.11
S&P 500 -1.74 - - - 46.82 76.80 75.13 50.62
+/- S&P 500 2.03 - - - -79.88 -113.69 22.38 294.49

Strategy Description

Summary

AWA is a medium- to long-term, systematic, trend-following strategy that trades more than 30 international exchange listed futures contracts, both long and short.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
350 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
20.00%
4-12 Months
40.00%
1-3 Months
40.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
35.00%
Energy
15.00%
Industrial Metals
10.00%
Currency Futures
10.00%
Stock Indices
10.00%
Grains
10.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

AWA is a medium- to long-term, systematic, trend-following strategy that trades more than 30 international exchange listed futures contracts, both long and short.

Investment Strategy

Investment decisions are based on mathematical models without any influence of human emotions. Independent of the current market environment, the system targets annual returns in excess of 20%, while attempting to keep dreawdowns to 20% or less. Open market risks are adjusted on a daily basis using an elaborate algorithm. Positions are adjusted based on volatility and strength of underlying trends.

Risk Management

Market Risk: The system trades a defined set of widely uncorrelated futures markets with pre-defined position limits (number of contracts traded) based on volatility and proprietary risk measurement and management systems. Risk is controlled to target a stipulated level of daily variance. Proprietary methods are used to estimate risk for individual markets and market sectors to determine gearing and downside volatility. Position Risk: The system only trades in liquid, exchange traded commodity markets. Open Interest and market spreads are monitored constantly. If slippage increased and volume or open interest decreased, the effect would be to down weigh the importance of such a market or to eliminate the market from the portfolio. Performance is based on the results of a managed account since June 2009 including 2% Management Fee und 20% Performance Fee.

   

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
-42.51 46 - 4/1/2011 2/1/2015
-19.12 14 11 2/1/2004 4/1/2005
-16.20 6 5 10/1/2001 4/1/2002
-9.19 2 2 9/1/2002 11/1/2002
-7.61 2 1 6/1/2008 8/1/2008
-7.46 2 2 6/1/2007 8/1/2007
-7.25 3 5 4/1/2006 7/1/2006
-7.06 3 3 4/1/2010 7/1/2010
-6.99 1 1 10/1/2010 11/1/2010
-6.96 1 7 2/1/2003 3/1/2003
-5.73 1 3 3/1/2001 4/1/2001
-5.07 2 2 11/1/2009 1/1/2010
-4.71 2 1 1/1/2007 3/1/2007
-4.20 2 1 2/1/2009 4/1/2009
-4.19 2 2 2/1/2008 4/1/2008
-2.41 2 4 2/1/2000 4/1/2000
-1.91 1 1 2/1/2011 3/1/2011
-1.15 2 1 8/1/1999 10/1/1999
-0.68 1 2 10/1/2007 11/1/2007
-0.64 1 1 10/1/2003 11/1/2003
-0.42 1 1 8/1/2000 9/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
48.39 6 9/1/2008 2/1/2009
31.14 7 5/1/2009 11/1/2009
29.06 6 5/1/2001 10/1/2001
27.96 5 5/1/2002 9/1/2002
25.53 6 10/1/2000 3/1/2001
20.02 3 12/1/2002 2/1/2003
19.84 3 12/1/2003 2/1/2004
19.17 4 11/1/1999 2/1/2000
18.73 3 12/1/2007 2/1/2008
14.08 3 4/1/2007 6/1/2007
12.98 2 3/1/2006 4/1/2006
11.68 1 10/1/2003 10/1/2003
11.64 3 8/1/2010 10/1/2010
10.31 6 8/1/2006 1/1/2007
10.20 1 1/1/2006 1/1/2006
9.59 3 12/1/2010 2/1/2011
8.85 2 9/1/2007 10/1/2007
8.30 3 2/1/2010 4/1/2010
7.54 1 11/1/2005 11/1/2005
6.51 1 9/1/2011 9/1/2011
6.46 2 5/1/2008 6/1/2008
5.24 5 5/1/2005 9/1/2005
4.69 2 4/1/2003 5/1/2003
4.51 2 12/1/2012 1/1/2013
4.02 2 11/1/2011 12/1/2011
3.95 2 3/1/2013 4/1/2013
3.74 1 7/1/2012 7/1/2012
3.46 3 10/1/2013 12/1/2013
2.82 1 4/1/2011 4/1/2011
2.72 4 9/1/2004 12/1/2004
2.42 2 7/1/2000 8/1/2000
2.36 1 1/1/2015 1/1/2015
2.34 1 5/1/2000 5/1/2000
1.95 2 7/1/1999 8/1/1999
1.81 1 7/1/2011 7/1/2011
0.62 2 3/1/2012 4/1/2012
0.41 1 2/1/2005 2/1/2005
0.29 1 3/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.90 12 1/1/2014 12/1/2014
-16.20 6 11/1/2001 4/1/2002
-14.35 6 3/1/2004 8/1/2004
-13.27 2 5/1/2011 6/1/2011
-12.78 5 5/1/2013 9/1/2013
-9.64 4 8/1/2012 11/1/2012
-9.19 2 10/1/2002 11/1/2002
-7.73 1 10/1/2011 10/1/2011
-7.61 2 7/1/2008 8/1/2008
-7.46 2 7/1/2007 8/1/2007
-7.25 3 5/1/2006 7/1/2006
-7.06 3 5/1/2010 7/1/2010
-6.99 1 11/1/2010 11/1/2010
-6.96 1 3/1/2003 3/1/2003
-6.39 2 5/1/2012 6/1/2012
-5.73 1 4/1/2001 4/1/2001
-5.63 1 2/1/2013 2/1/2013
-5.07 2 12/1/2009 1/1/2010
-4.71 2 2/1/2007 3/1/2007
-4.61 2 3/1/2005 4/1/2005
-4.20 2 3/1/2009 4/1/2009
-4.19 2 3/1/2008 4/1/2008
-4.02 1 1/1/2005 1/1/2005
-3.33 4 6/1/2003 9/1/2003
-2.78 1 8/1/2011 8/1/2011
-2.63 1 2/1/2015 2/1/2015
-2.41 2 3/1/2000 4/1/2000
-1.99 2 1/1/2012 2/1/2012
-1.91 1 3/1/2011 3/1/2011
-1.15 2 9/1/1999 10/1/1999
-0.89 1 6/1/2000 6/1/2000
-0.87 1 2/1/2006 2/1/2006
-0.68 1 11/1/2007 11/1/2007
-0.64 1 11/1/2003 11/1/2003
-0.51 1 10/1/2005 10/1/2005
-0.42 1 9/1/2000 9/1/2000
-0.41 1 12/1/2005 12/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods179.00188.00185.00179.00173.00167.00155.00143.00131.00
Percent Profitable58.1059.5765.4168.7269.9475.4580.0084.6287.79
Average Period Return1.037.279.1611.7815.5624.0843.7067.0791.06
Average Gain3.6716.8320.7427.7933.8242.9065.5189.11112.64
Average Loss-2.67-7.63-13.81-23.37-26.95-33.76-43.56-54.17-64.04
Best Period19.78355.81355.81345.1181.08108.61138.52185.29230.26
Worst Period-9.75-81.56-81.56-83.36-84.19-85.03-87.05-86.71-85.80
Standard Deviation4.2845.5247.7545.8235.6542.6455.6067.8974.22
Gain Standard Deviation3.3855.6753.2642.9317.9125.3034.8445.4948.05
Loss Standard Deviation2.1916.2423.2329.5629.9631.6432.5233.7731.12
Sharpe Ratio (1%)0.220.150.180.240.390.520.730.931.16
Average Gain / Average Loss1.372.211.501.191.261.271.501.651.76
Profit / Loss Ratio1.933.633.082.612.923.916.029.0512.64
Downside Deviation (10%)2.4211.0615.9422.8224.9826.8030.1832.5433.84
Downside Deviation (5%)2.2510.7915.3121.3222.5423.5325.2826.2526.36
Downside Deviation (0%)2.2110.7215.1620.9621.9722.7924.1724.8824.74
Sortino Ratio (10%)0.260.550.420.300.320.520.931.401.87
Sortino Ratio (5%)0.420.650.570.510.620.941.612.403.26
Sortino Ratio (0%)0.460.680.600.560.711.061.812.703.68

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.