Mesirow Financial Investment Management, Inc. : Apollo Absolute Return Strategy

archived programs
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

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 Since
5/2009
Apollo Absolute Return Strategy -5.10 -12.37 - -21.98 -28.18 -10.98 - 7.14
S&P 500 0.27 6.45 - -0.97 29.28 51.43 - 124.66
+/- S&P 500 -5.37 -18.81 - -21.01 -57.45 -62.40 - -117.52

Strategy Description

Summary

The 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

Summary

The 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 Strategy

The 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 Management

A 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.

   

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
-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
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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
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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
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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.