MERIT Alternative Investments GmbH : CRISTL

archived programs
Year-to-Date
N / A
Jan Performance
-4.31%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.63%
Sharpe (RFR=1%)
0.87
CAROR
7.57%
Assets
$ 4.0M
Worst DD
-8.47
S&P Correlation
0.14

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
5/2005
CRISTL -4.31 - - - - - - 41.44
S&P 500 -3.70 - - - - - - 190.74
+/- S&P 500 -0.61 - - - - - - -149.29

Strategy Description

Summary

-&CRISTL &operates on intraday data and places trades with an average holding period of about 8 hours. The system as such is trend following by nature, but the higher frequency of trading enables it to trade at more robustness, which is reflected in higher return/risk figures than... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-&CRISTL &operates on intraday data and places trades with an average holding period of about 8 hours. The system as such is trend following by nature, but the higher frequency of trading enables it to trade at more robustness, which is reflected in higher return/risk figures than usually achievable on daily data. Execution and slippage are crucial on this short-term trading level and are monitored at high accuracy. Trading is still done by human traders in order to control slippage in a better way than purely mechanical systems can usually achieve. Since the time horizon of trades is several hours we allow entering the market within five minutes. This enables the trader to trade at better prices than he would, if the system wanted to get into the market with the whole amount of contracts immediately. Intraday trading requires liquid markets. Positions are only kept overnight if they performed positively until the close of the session. The approach is completely systematic using price data only. &CRISTL& uses the same trading program for all 13 markets.

   

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
-8.47 9 3 9/1/2006 6/1/2007
-4.79 3 - 10/1/2009 1/1/2010
-2.87 3 1 5/1/2009 8/1/2009
-2.67 4 3 9/1/2008 1/1/2009
-2.49 1 2 9/1/2007 10/1/2007
-1.44 2 1 7/1/2005 9/1/2005
-0.87 2 2 12/1/2007 2/1/2008
-0.76 1 1 10/1/2005 11/1/2005
-0.62 1 1 4/1/2008 5/1/2008
-0.53 1 1 1/1/2006 2/1/2006
-0.38 1 1 1/1/0001 5/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
16.83 7 3/1/2006 9/1/2006
12.42 4 2/1/2009 5/1/2009
9.76 3 7/1/2007 9/1/2007
5.24 2 9/1/2009 10/1/2009
4.92 4 6/1/2008 9/1/2008
3.53 2 11/1/2007 12/1/2007
3.51 2 6/1/2005 7/1/2005
3.27 1 10/1/2005 10/1/2005
2.46 2 3/1/2008 4/1/2008
2.17 2 12/1/2005 1/1/2006
2.15 2 1/1/2007 2/1/2007
1.22 1 11/1/2006 11/1/2006
0.60 1 7/1/2009 7/1/2009
0.47 1 12/1/2009 12/1/2009
0.31 1 12/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.47 4 3/1/2007 6/1/2007
-4.31 1 1/1/2010 1/1/2010
-2.49 1 10/1/2007 10/1/2007
-2.47 2 10/1/2008 11/1/2008
-2.35 1 12/1/2006 12/1/2006
-2.03 1 10/1/2006 10/1/2006
-1.90 1 6/1/2009 6/1/2009
-1.58 1 8/1/2009 8/1/2009
-1.44 2 8/1/2005 9/1/2005
-0.97 1 11/1/2009 11/1/2009
-0.87 2 1/1/2008 2/1/2008
-0.76 1 11/1/2005 11/1/2005
-0.62 1 5/1/2008 5/1/2008
-0.53 1 2/1/2006 2/1/2006
-0.51 1 1/1/2009 1/1/2009
-0.38 1 5/1/2005 5/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable61.4076.3682.6995.65100.00100.00100.00
Average Period Return0.632.144.398.7012.1315.4324.41
Average Gain1.913.575.839.1312.1315.4324.41
Average Loss-1.40-2.50-2.51-0.84
Best Period7.1112.0615.1721.6923.1127.0531.88
Worst Period-4.31-6.49-6.72-1.681.025.6317.14
Standard Deviation2.203.724.855.405.245.374.07
Gain Standard Deviation1.692.813.925.105.245.374.07
Loss Standard Deviation1.122.162.201.18
Sharpe Ratio (1%)0.250.510.801.432.032.505.25
Average Gain / Average Loss1.361.432.3210.81
Profit / Loss Ratio2.174.6111.10237.71
Downside Deviation (10%)1.312.092.321.701.441.42
Downside Deviation (5%)1.151.671.520.430.08
Downside Deviation (0%)1.101.581.350.25
Sortino Ratio (10%)0.170.430.832.183.153.65
Sortino Ratio (5%)0.481.132.5617.91139.98
Sortino Ratio (0%)0.571.353.2435.12

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.