Mesirow Financial Investment Management, Inc. : Apollo Absolute Return Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance -5.10% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.59% Sharpe (RFR=1%) 0.04 CAROR 0.99% Assets $ 29.0M Worst DD -30.49 S&P Correlation 0.08 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since5/2009 Apollo Absolute Return Strategy -5.10 - - - - -18.50 -1.85 7.14 S&P 500 0.27 - - - - 51.43 57.56 252.21 +/- S&P 500 -5.37 - - - - -69.92 -59.41 -245.07 Strategy Description SummaryThe Apollo Absolute Return Strategy commenced trading in May 2009 as a managed account for an institutional client to provide a blended exposure to emerging market instruments as offered by The Cambridge Strategy. This managed account was transferred to a vehicle in 2010 that can be... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough Sector Focus Currency Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Composition SummaryThe Apollo Absolute Return Strategy commenced trading in May 2009 as a managed account for an institutional client to provide a blended exposure to emerging market instruments as offered by The Cambridge Strategy. This managed account was transferred to a vehicle in 2010 that can be accessed by additional investors.Investment StrategyThe process is anchored by the belief that by utilising a combination of both top-down and bottom-up approaches in currencies, equities and debt, investment opportunities can be clearly identified and exploited. The first element of the process is to identify the key cyclical and structural factors that we expect to emerge over the short to medium term (and whether these factors are best exploited through rates, equities, currencies, or a combination of them). Risk ManagementA risk management overlay is employed to ensure that the portfolio is not overly concentrated in any type of instrument and allows the portfolio to be calibrated to match a preset threshold of maximum acceptable downside risk. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -30.49 16 - 12/1/2014 4/1/2016 -10.90 7 11 3/1/2013 10/1/2013 -4.40 5 3 4/1/2010 9/1/2010 -4.03 2 2 7/1/2009 9/1/2009 -3.61 1 2 9/1/2014 10/1/2014 -2.07 2 1 2/1/2012 4/1/2012 -0.87 2 2 9/1/2012 11/1/2012 -0.69 1 1 7/1/2011 8/1/2011 -0.26 1 1 11/1/2009 12/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.47 10 10/1/2010 7/1/2011 10.62 5 5/1/2012 9/1/2012 9.75 6 9/1/2011 2/1/2012 8.16 3 7/1/2014 9/1/2014 7.57 4 1/1/2010 4/1/2010 5.91 2 11/1/2013 12/1/2013 5.74 2 11/1/2014 12/1/2014 4.60 4 12/1/2012 3/1/2013 4.32 2 10/1/2009 11/1/2009 4.26 1 1/1/2016 1/1/2016 4.05 3 5/1/2009 7/1/2009 2.32 2 7/1/2010 8/1/2010 1.62 2 4/1/2014 5/1/2014 1.12 1 2/1/2015 2/1/2015 0.83 1 6/1/2015 6/1/2015 0.38 1 8/1/2015 8/1/2015 0.31 1 11/1/2015 11/1/2015 0.16 1 2/1/2014 2/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.37 3 2/1/2016 4/1/2016 -11.24 3 3/1/2015 5/1/2015 -10.90 7 4/1/2013 10/1/2013 -6.37 1 12/1/2015 12/1/2015 -5.38 2 9/1/2015 10/1/2015 -4.11 2 5/1/2010 6/1/2010 -4.05 1 1/1/2015 1/1/2015 -4.03 2 8/1/2009 9/1/2009 -3.61 1 10/1/2014 10/1/2014 -2.56 1 9/1/2010 9/1/2010 -2.07 2 3/1/2012 4/1/2012 -1.79 1 7/1/2015 7/1/2015 -1.76 1 6/1/2014 6/1/2014 -1.56 1 1/1/2014 1/1/2014 -0.87 2 10/1/2012 11/1/2012 -0.69 1 8/1/2011 8/1/2011 -0.34 1 3/1/2014 3/1/2014 -0.26 1 12/1/2009 12/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00 Percent Profitable60.7157.3265.8265.7568.6670.4975.5181.0892.00 Average Period Return0.110.491.323.606.9210.3816.5921.8126.09 Average Gain1.673.545.6210.3814.0118.3826.5429.1528.97 Average Loss-2.29-3.60-6.94-9.43-8.62-8.75-14.10-9.66-7.05 Best Period5.938.1611.8318.0025.1936.3445.8949.1751.45 Worst Period-7.84-12.37-14.19-24.23-26.50-23.58-28.18-18.65-10.98 Standard Deviation2.484.446.9510.9112.8715.5220.4618.9317.35 Gain Standard Deviation1.372.042.734.087.3610.0910.9111.9114.78 Loss Standard Deviation1.793.354.747.497.467.008.796.265.56 Sharpe Ratio (1%)0.010.050.120.240.420.540.660.941.21 Average Gain / Average Loss0.730.980.811.101.632.101.883.024.11 Profit / Loss Ratio1.131.321.562.113.565.025.8012.9347.27 Downside Deviation (10%)2.023.836.159.4910.1111.2415.4814.8413.75 Downside Deviation (5%)1.853.315.137.466.986.929.446.483.67 Downside Deviation (0%)1.813.194.896.996.326.028.124.902.28 Sortino Ratio (10%)-0.15-0.19-0.19-0.15-0.070.010.050.02-0.11 Sortino Ratio (5%)0.020.070.160.350.781.211.442.745.72 Sortino Ratio (0%)0.060.150.270.511.101.722.044.4511.43 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 3 4.26 1/2016 Discretionary Trader Index Month 6 5.15 3/2010 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel