MERIT Alternative Investments GmbH : Dorado (Proprietary)

archived programs
Year-to-Date
N / A
Oct Performance
2.70%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.71%
Sharpe (RFR=1%)
0.47
CAROR
6.40%
Assets
$ 870k
Worst DD
-12.23
S&P Correlation
-0.03

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2011
Dorado (Proprietary) 2.70 - - - - - - 15.57
S&P 500 4.46 - - - - - - 168.07
+/- S&P 500 -1.76 - - - - - - -152.50

Strategy Description

Summary

Dorado is a short-term, trend following, fully automized pattern trading system comprising more than 15 global futures markets. Dorado is able to adjust very flexible to changing market conditions and has a very low correlation to other asset classes and CTAs. ... 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 2100 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Energy
25.00%
Precious Metals
17.00%
Grains
17.00%
Stock Indices
17.00%
Livestock
16.00%
Softs
8.00%
Composition Pie Chart

Summary

Dorado is a short-term, trend following, fully automized pattern trading system comprising more than 15 global futures markets. Dorado is able to adjust very flexible to changing market conditions and has a very low correlation to other asset classes and CTAs.

Investment Strategy

Dorado is a short-term trend following multi pattern trading system, that currently trades on 12 international derivative markets. Investment decisions are made based on mathematical models without the influence of human emotions. Independent of the current market environment, the system targets annual returns of 20%. Positions are entered 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.

   

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
-12.23 8 12 8/1/2011 4/1/2012
-2.14 1 1 8/1/2013 9/1/2013
-1.40 1 1 5/1/2013 6/1/2013
-0.40 1 1 1/1/0001 7/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
16.84 6 12/1/2012 5/1/2013
13.84 4 5/1/2012 8/1/2012
6.68 2 7/1/2013 8/1/2013
4.02 1 8/1/2011 8/1/2011
3.30 1 12/1/2011 12/1/2011
2.70 1 10/1/2013 10/1/2013
2.18 1 2/1/2012 2/1/2012
0.79 1 10/1/2011 10/1/2011
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-9.61 3 9/1/2012 11/1/2012
-8.14 2 3/1/2012 4/1/2012
-5.62 1 9/1/2011 9/1/2011
-2.65 1 1/1/2012 1/1/2012
-2.25 1 11/1/2011 11/1/2011
-2.14 1 9/1/2013 9/1/2013
-1.40 1 6/1/2013 6/1/2013
-0.40 1 7/1/2011 7/1/2011
Show More

Time Windows Analysis

 3 Year4 Year5 Year1 Month3 Month6 Month12 Month18 Month
Number of Periods114.00102.0090.0066.0028.0026.0023.0017.0011.00
Percent Profitable100.00100.00100.00100.0060.7161.5460.8770.5972.73
Average Period Return73.03106.94141.76232.050.581.613.455.399.17
Average Gain73.03106.94141.76232.052.885.478.678.3013.99
Average Loss-2.97-4.57-4.66-1.60-3.66
Best Period175.85248.25272.38341.959.2212.9816.8418.2427.09
Worst Period16.9538.2654.75118.60-6.31-9.61-7.73-4.43-4.90
Standard Deviation42.6158.4765.6456.703.676.027.916.8910.63
Gain Standard Deviation42.6158.4765.6456.702.483.795.316.027.95
Loss Standard Deviation1.932.772.121.951.91
Sharpe Ratio (1%)1.641.762.083.970.140.230.370.640.72
Average Gain / Average Loss0.971.201.865.173.82
Profit / Loss Ratio1.501.912.8912.4210.19
Downside Deviation (10%)2.413.964.664.016.21
Downside Deviation (5%)2.233.413.461.702.82
Downside Deviation (0%)2.193.273.171.292.08
Sortino Ratio (10%)0.070.100.210.100.25
Sortino Ratio (5%)0.220.400.852.582.72
Sortino Ratio (0%)0.270.491.094.194.42

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.