MERIT Alternative Investments GmbH : Futures Portfolio

archived programs
Year-to-Date
N / A
Sep Performance
0.74%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.16%
Sharpe (RFR=1%)
0.57
CAROR
5.42%
Assets
$ 25.0M
Worst DD
-10.89
S&P Correlation
-0.17

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
6/1998
Futures Portfolio 0.74 1.26 - 4.67 3.33 2.73 40.15 149.45
S&P 500 -2.64 -6.94 - -2.65 33.27 68.22 56.23 69.31
+/- S&P 500 3.38 8.20 - 7.32 -29.95 -65.49 -16.08 80.14

Strategy Description

Summary

The Trading Advisors' trading approach is based on the investment philosophy that superior risk/reward ratios can be achieved through diversification and risk management. A variety of independently acting trading systems are used to make investment decisions including technical and... 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
$0
Available to US Investors
No

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Composition

Summary

The Trading Advisors' trading approach is based on the investment philosophy that superior risk/reward ratios can be achieved through diversification and risk management. A variety of independently acting trading systems are used to make investment decisions including technical and fundamental analysis. The systems vary from short term through intermediate to long-term in time-frame focus. Each system generates its own entry and exit signals and trades both sides of the market (long and short).The percentage allocated to each system is determined by its volatility. The Program strives to achieve a 15-20% absolute rate of return with less than 15% annual volatility and is uncorrelated with widely used portfolio benchmarks. The trading manager reserves the right to make adjustments in the exact entry or exit price a model uses for any program, in order to reduce the impact of slippage from large block orders being executed at the same price.

   

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
-10.89 38 7 4/1/2011 6/1/2014
-9.11 20 3 3/1/2001 11/1/2002
-8.82 14 7 2/1/2004 4/1/2005
-7.71 6 2 9/1/1999 3/1/2000
-6.93 2 4 8/1/1998 10/1/1998
-4.33 10 3 5/1/2006 3/1/2007
-4.28 3 - 1/1/2015 4/1/2015
-3.99 1 3 10/1/2010 11/1/2010
-3.68 3 2 5/1/2003 8/1/2003
-3.37 3 2 11/1/2005 2/1/2006
-3.28 3 4 12/1/2008 3/1/2009
-2.86 2 4 11/1/2009 1/1/2010
-2.83 1 1 8/1/2000 9/1/2000
-2.61 1 1 4/1/1999 5/1/1999
-2.55 1 2 6/1/2008 7/1/2008
-2.51 1 1 2/1/2003 3/1/2003
-2.02 2 1 3/1/2008 5/1/2008
-1.97 1 1 7/1/2007 8/1/2007
-1.60 1 1 6/1/2010 7/1/2010
-1.12 1 1 2/1/2011 3/1/2011
-1.00 1 1 9/1/2009 10/1/2009
-0.68 1 2 10/1/2003 11/1/2003
-0.36 1 1 11/1/2007 12/1/2007
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
20.03 6 10/1/2000 3/1/2001
16.94 3 6/1/1998 8/1/1998
15.98 5 4/1/2000 8/1/2000
12.51 3 12/1/2002 2/1/2003
9.42 3 2/1/1999 4/1/1999
9.15 4 6/1/1999 9/1/1999
8.86 2 4/1/2003 5/1/2003
8.75 3 1/1/2008 3/1/2008
8.51 2 5/1/2005 6/1/2005
7.97 3 11/1/2014 1/1/2015
7.75 3 3/1/2006 5/1/2006
6.31 3 9/1/2007 11/1/2007
6.25 5 8/1/2008 12/1/2008
6.22 4 4/1/2007 7/1/2007
5.92 3 7/1/2014 9/1/2014
5.48 1 11/1/2005 11/1/2005
5.02 2 11/1/1998 12/1/1998
4.69 3 3/1/2012 5/1/2012
4.49 3 12/1/2010 2/1/2011
4.21 3 12/1/2003 2/1/2004
4.18 2 9/1/2003 10/1/2003
3.93 1 4/1/2011 4/1/2011
3.92 2 9/1/2001 10/1/2001
3.72 3 7/1/2009 9/1/2009
3.60 3 8/1/2010 10/1/2010
3.31 5 2/1/2010 6/1/2010
3.19 1 11/1/2009 11/1/2009
3.17 2 4/1/2009 5/1/2009
2.75 3 4/1/2002 6/1/2002
2.64 1 7/1/2011 7/1/2011
2.49 2 11/1/1999 12/1/1999
2.43 1 9/1/2011 9/1/2011
2.16 1 6/1/2008 6/1/2008
2.15 2 11/1/2011 12/1/2011
2.14 1 8/1/2005 8/1/2005
2.09 2 3/1/2013 4/1/2013
1.87 1 11/1/2004 11/1/2004
1.76 1 1/1/2007 1/1/2007
1.70 2 12/1/2012 1/1/2013
1.52 1 2/1/2005 2/1/2005
1.38 1 2/1/2014 2/1/2014
1.35 1 7/1/2015 7/1/2015
1.15 1 5/1/2015 5/1/2015
0.95 1 12/1/2013 12/1/2013
0.92 2 9/1/2013 10/1/2013
0.91 1 11/1/2006 11/1/2006
0.83 1 12/1/2001 12/1/2001
0.77 1 1/1/2006 1/1/2006
0.74 1 9/1/2015 9/1/2015
0.68 1 2/1/2000 2/1/2000
0.65 1 9/1/2002 9/1/2002
0.54 1 7/1/2004 7/1/2004
0.38 1 5/1/2001 5/1/2001
0.37 1 8/1/2006 8/1/2006
0.34 1 5/1/2004 5/1/2004
0.29 1 3/1/2015 3/1/2015
0.24 1 7/1/2012 7/1/2012
0.10 1 6/1/2013 6/1/2013
0.08 1 9/1/2004 9/1/2004
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-6.93 2 9/1/1998 10/1/1998
-5.93 2 5/1/2011 6/1/2011
-5.65 4 3/1/2014 6/1/2014
-5.55 3 1/1/2002 3/1/2002
-5.43 1 3/1/2000 3/1/2000
-4.78 1 10/1/1999 10/1/1999
-4.48 2 3/1/2005 4/1/2005
-4.47 1 10/1/2011 10/1/2011
-4.34 4 8/1/2012 11/1/2012
-3.99 1 11/1/2010 11/1/2010
-3.68 3 6/1/2003 8/1/2003
-3.47 3 6/1/2001 8/1/2001
-3.28 3 1/1/2009 3/1/2009
-3.21 2 10/1/2002 11/1/2002
-3.19 1 2/1/2006 2/1/2006
-3.19 2 9/1/2005 10/1/2005
-3.17 1 6/1/2004 6/1/2004
-3.01 1 1/1/1999 1/1/1999
-2.94 1 11/1/2001 11/1/2001
-2.86 2 12/1/2009 1/1/2010
-2.83 1 9/1/2000 9/1/2000
-2.63 1 2/1/2015 2/1/2015
-2.61 1 5/1/1999 5/1/1999
-2.55 1 7/1/2008 7/1/2008
-2.51 1 3/1/2003 3/1/2003
-2.50 2 2/1/2007 3/1/2007
-2.47 2 12/1/2004 1/1/2005
-2.35 1 6/1/2012 6/1/2012
-2.25 2 6/1/2006 7/1/2006
-2.02 2 4/1/2008 5/1/2008
-1.98 1 4/1/2015 4/1/2015
-1.97 1 8/1/2007 8/1/2007
-1.79 2 7/1/2013 8/1/2013
-1.76 1 7/1/2005 7/1/2005
-1.63 1 1/1/2014 1/1/2014
-1.60 1 7/1/2010 7/1/2010
-1.58 2 9/1/2006 10/1/2006
-1.57 2 1/1/2012 2/1/2012
-1.36 1 4/1/2001 4/1/2001
-1.35 1 8/1/2004 8/1/2004
-1.27 2 3/1/2004 4/1/2004
-1.12 1 3/1/2011 3/1/2011
-1.09 2 7/1/2002 8/1/2002
-1.04 1 12/1/2006 12/1/2006
-1.03 1 2/1/2013 2/1/2013
-1.02 1 6/1/2015 6/1/2015
-1.00 1 10/1/2009 10/1/2009
-0.95 1 12/1/2005 12/1/2005
-0.82 1 8/1/2015 8/1/2015
-0.68 1 11/1/2003 11/1/2003
-0.68 1 1/1/2000 1/1/2000
-0.63 1 6/1/2009 6/1/2009
-0.62 1 10/1/2004 10/1/2004
-0.46 1 11/1/2013 11/1/2013
-0.44 1 5/1/2013 5/1/2013
-0.36 1 12/1/2007 12/1/2007
-0.30 1 8/1/2011 8/1/2011
-0.10 1 10/1/2014 10/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods208.00206.00203.00197.00191.00185.00173.00161.00149.00
Percent Profitable58.1760.1967.4976.6579.0684.8689.6093.7996.64
Average Period Return0.471.322.575.197.4710.0815.0720.2726.62
Average Gain1.953.504.967.7610.1312.3817.2121.8527.57
Average Loss-1.60-1.97-2.39-3.23-2.57-2.83-3.35-3.46-0.69
Best Period8.9416.9420.0335.2832.4937.2159.4151.4474.73
Worst Period-5.43-5.55-7.71-8.20-8.21-9.76-8.49-6.34-1.47
Standard Deviation2.363.624.897.178.309.3112.2313.5014.86
Gain Standard Deviation1.812.934.036.117.228.1111.0612.4114.20
Loss Standard Deviation1.161.361.782.112.062.572.511.830.53
Sharpe Ratio (1%)0.160.300.420.580.720.870.981.201.45
Average Gain / Average Loss1.221.782.082.403.944.375.146.3240.03
Profit / Loss Ratio1.702.684.317.8714.8624.4944.2795.361152.74
Downside Deviation (10%)1.502.203.034.425.326.198.6010.4711.10
Downside Deviation (5%)1.321.641.932.292.092.142.272.031.20
Downside Deviation (0%)1.271.511.701.861.501.481.340.960.15
Sortino Ratio (10%)0.040.040.030.04-0.02-0.03-0.08-0.12-0.09
Sortino Ratio (5%)0.290.651.071.832.853.775.307.9717.99
Sortino Ratio (0%)0.370.881.522.794.986.8311.2821.02173.57

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 -0.58 4/2004
Systematic Trader Index Month 10 8.46 5/2000
Diversified Trader Index Month 10 8.46 5/2000
Systematic Trader Index Month 10 4.30 6/1999
IASG CTA Index Sharpe 8 1.54 1997 - 1998
Diversified Trader Index Month 8 2.29 7/1998
IASG CTA Index Month 10 2.29 7/1998
Systematic Trader Index Month 7 2.29 7/1998

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.