MERIT Alternative Investments GmbH : Erste Bank Trading - UpTrend

archived programs
Year-to-Date
N / A
Sep Performance
-0.99%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.71%
Sharpe (RFR=1%)
-0.13
CAROR
-0.06%
Assets
$ 10.6M
Worst DD
-6.57
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Erste Bank Trading - UpTrend -0.99 - - - - - - -0.17
S&P 500 2.97 - - - - - - 169.36
+/- S&P 500 -3.96 - - - - - - -169.53

Strategy Description

Summary

Fully systematic fund: Managed futures fund, positions are based on objective, high-quality data and a consistent, well-defined set of processes, implementing a blend of model-based, quantitative trend-following, mean-reversion and volatility strategies Return streams from uncorrelated... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 1k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.50
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1700 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 7.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 20.00%
1-3 Months 30.00%
1-30 Days 30.00%
Intraday 20.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
13.00%
Technical
13.00%
Trend-following
60.00%
Other
14.00%
Strategy Pie Chart

Composition

VIX
25.00%
Interest Rates
22.00%
Stock Indices
15.00%
Energy
10.00%
Currency Futures
9.00%
Precious Metals
9.00%
Grains
5.00%
Industrial Metals
3.00%
Softs
2.00%
Composition Pie Chart

Summary

Fully systematic fund: Managed futures fund, positions are based on objective, high-quality data and a consistent, well-defined set of processes, implementing a blend of model-based, quantitative trend-following, mean-reversion and volatility strategies Return streams from uncorrelated sub-strategies result in reduced risk, lower drawdowns and improved risk-adjusted portfolio returns

Investment Strategy

The overall strategy consists of four uncorrelated sources of alpha with a clear overall focus on trend-following and with a fixed base-weight per sub-strategy The trend-following component is positively correlated to the Newedge CTA index, while the other three components are completely uncorrelated The overall aim of UpTrend is to deliver CTA-typical returns, but at the same time to outperform the benchmark and the peers due to uncorrelated sub-components.

Risk Management

Risk management is an integral part of the overall investment process and is managed on multiple levels, both quantitatively and qualitatively. Market and portfolio risk: Target is to maintain a stable risk level across all markets and over different volatility regimes, both on the single position, and on the portfolio level. Position level risk management: Adapt to current market volatility by adjusting exposure. Portfolio level risk management: Monitoring of concentration and correlation risk, detect and adjust exposure accordingly Execution risk: Position limits, in-house and with broker. Real time position monitoring by in-house trading desk and automated portfolio and risk management system Liquidity risk: Trade only highly liquid exchange-traded futures Performance degradation: Constant research & development Currency Risk: Base currency is EUR, all other currency risks are hedged Operational Risk: Use blue-chip counterparties, service providers and broker.

   

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
-6.57 13 - 8/1/2012 9/1/2013
-4.41 2 1 4/1/2012 6/1/2012
-1.47 1 1 2/1/2012 3/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
6.66 2 7/1/2012 8/1/2012
3.83 1 4/1/2012 4/1/2012
3.29 1 4/1/2013 4/1/2013
2.44 3 12/1/2011 2/1/2012
0.97 1 11/1/2012 11/1/2012
0.65 1 7/1/2013 7/1/2013
0.08 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.62 2 5/1/2013 6/1/2013
-4.41 2 5/1/2012 6/1/2012
-2.33 2 12/1/2012 1/1/2013
-1.47 1 3/1/2012 3/1/2012
-1.44 1 3/1/2013 3/1/2013
-1.12 2 9/1/2012 10/1/2012
-1.01 2 8/1/2013 9/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable30.3029.0346.4381.8275.00
Average Period Return0.010.070.361.793.36
Average Gain1.792.633.023.204.76
Average Loss-1.46-1.65-3.25-4.54-0.86
Best Period6.656.395.946.856.85
Worst Period-4.98-5.00-5.59-6.34-1.57
Standard Deviation1.942.303.273.953.23
Gain Standard Deviation2.142.082.212.552.35
Loss Standard Deviation1.391.491.582.670.58
Sharpe Ratio (1%)-0.04-0.08-0.040.200.57
Average Gain / Average Loss1.231.600.930.715.53
Profit / Loss Ratio1.021.111.343.1716.59
Downside Deviation (10%)1.402.193.624.965.27
Downside Deviation (5%)1.231.552.302.571.26
Downside Deviation (0%)1.191.412.032.170.50
Sortino Ratio (10%)-0.28-0.53-0.58-0.65-0.80
Sortino Ratio (5%)-0.06-0.11-0.060.311.47
Sortino Ratio (0%)0.010.050.180.836.73

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.