Mesirow Financial Investment Management, Inc. : Asian Markets Alpha Program

Year-to-Date
3.13%
Jun Performance
-3.46%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.74%
Sharpe (RFR=1%)
0.20
CAROR
2.42%
Assets
$ 5.5M
Worst DD
-25.46
S&P Correlation
-0.15

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
Asian Markets Alpha Program -3.46 -8.26 -3.13 -11.33 -23.25 -22.77 -1.72 41.22
S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 197.68 152.78
+/- S&P 500 -5.30 -28.21 0.91 -16.72 -50.07 -71.51 -199.41 -111.57

Strategy Description

Investment Strategy

ASIAN MARKETS CURRENCY ALPHA Strategy commenced trading in February 2006 and aims to profit from short and medium term moves in the Asian markets' currency pairs. Depending on market conditions and volatility, the strategy combines two systematic components, based on technical... 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

Investment Strategy

ASIAN MARKETS CURRENCY ALPHA Strategy commenced trading in February 2006 and aims to profit from short and medium term moves in the Asian markets' currency pairs. Depending on market conditions and volatility, the strategy combines two systematic components, based on technical and fundamental models, with a discretionary component. These comprise our Systematic Technical Strategy, Systematic Fundamental Strategy and our Market Information Strategy, respectively. During periods of increasing or high volatility, our Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple time frames. The algorithms combine trend continuation and trend reversal signals. During periods of declining or low volatility, our Systematic Fundamental Strategy reflects a predetermined set of positions designed to reflect 'market' views on the relative attractiveness of currencies versus the US dollar. Our proprietary Global Volatility Indicator2 serves as the regime shifting mechanism within the two systematic strategies. Our Market Information Strategy leverages the experience and global network of our portfolio managers and seeks to capture and exploit the behaviour of market participants that cannot be modeled. It has characteristics often associated with discretionary managers. Mesirow Financial Currency Management believes that long run success is achieved through successful mitigation of downside risk at the portfolio, strategy, and individual trade levels. Daily CVaR limits are enforced at the aggregate portfolio and sub-strategy level. Left hand tail risk is monitored using a proprietary methodology grounded in Extreme Value Theory.

   

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
-25.46 58 - 8/1/2015 6/1/2020
-6.88 11 5 5/1/2013 4/1/2014
-6.41 7 8 1/1/2012 8/1/2012
-4.48 4 1 4/1/2011 8/1/2011
-4.17 3 1 12/1/2010 3/1/2011
-3.13 2 1 9/1/2010 11/1/2010
-2.98 6 7 2/1/2009 8/1/2009
-2.49 1 4 4/1/2008 5/1/2008
-2.47 3 1 5/1/2010 8/1/2010
-2.01 1 2 9/1/2014 10/1/2014
-2.01 1 5 4/1/2006 5/1/2006
-1.76 2 2 9/1/2011 11/1/2011
-1.76 1 1 1/1/2015 2/1/2015
-1.57 2 1 4/1/2015 6/1/2015
-1.14 1 1 11/1/2007 12/1/2007
-0.62 1 1 1/1/2007 2/1/2007
-0.58 1 1 2/1/2008 3/1/2008
-0.15 1 1 3/1/2010 4/1/2010
-0.09 1 1 10/1/2006 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
25.33 9 3/1/2007 11/1/2007
14.99 2 1/1/2020 2/1/2020
10.44 3 5/1/2018 7/1/2018
9.90 1 9/1/2011 9/1/2011
9.06 1 4/1/2011 4/1/2011
8.49 9 6/1/2008 2/1/2009
7.30 3 12/1/2017 2/1/2018
6.98 1 9/1/2014 9/1/2014
6.90 2 7/1/2015 8/1/2015
6.74 2 4/1/2013 5/1/2013
6.06 5 2/1/2017 6/1/2017
5.11 2 9/1/2012 10/1/2012
4.61 2 4/1/2019 5/1/2019
4.61 3 11/1/2014 1/1/2015
4.03 3 2/1/2006 4/1/2006
3.85 2 7/1/2019 8/1/2019
3.59 1 12/1/2010 12/1/2010
3.27 1 9/1/2010 9/1/2010
3.24 3 1/1/2010 3/1/2010
3.01 1 10/1/2013 10/1/2013
3.01 3 9/1/2009 11/1/2009
2.90 1 5/1/2014 5/1/2014
2.75 2 3/1/2015 4/1/2015
2.68 2 12/1/2006 1/1/2007
2.30 1 7/1/2011 7/1/2011
1.98 2 12/1/2011 1/1/2012
1.95 3 6/1/2006 8/1/2006
1.94 2 1/1/2008 2/1/2008
1.93 1 7/1/2014 7/1/2014
1.86 1 10/1/2006 10/1/2006
1.74 1 11/1/2016 11/1/2016
1.50 1 12/1/2012 12/1/2012
1.28 2 4/1/2012 5/1/2012
1.13 1 3/1/2014 3/1/2014
0.86 2 12/1/2013 1/1/2014
0.85 1 2/1/2013 2/1/2013
0.73 1 11/1/2015 11/1/2015
0.64 1 5/1/2010 5/1/2010
0.59 1 4/1/2008 4/1/2008
0.31 2 6/1/2009 7/1/2009
0.16 1 1/1/2016 1/1/2016
0.15 1 10/1/2018 10/1/2018
0.07 1 4/1/2009 4/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.76 4 3/1/2020 6/1/2020
-12.96 5 11/1/2018 3/1/2019
-9.91 5 7/1/2017 11/1/2017
-9.41 4 9/1/2019 12/1/2019
-8.13 9 2/1/2016 10/1/2016
-6.92 2 3/1/2018 4/1/2018
-6.53 4 6/1/2013 9/1/2013
-4.90 3 6/1/2012 8/1/2012
-4.73 2 8/1/2018 9/1/2018
-4.17 3 1/1/2011 3/1/2011
-3.37 2 5/1/2011 6/1/2011
-3.37 1 8/1/2011 8/1/2011
-3.13 2 10/1/2010 11/1/2010
-2.83 2 2/1/2012 3/1/2012
-2.49 1 5/1/2008 5/1/2008
-2.47 3 6/1/2010 8/1/2010
-2.44 1 6/1/2019 6/1/2019
-2.37 1 8/1/2014 8/1/2014
-2.01 1 10/1/2014 10/1/2014
-2.01 1 5/1/2006 5/1/2006
-1.88 1 11/1/2013 11/1/2013
-1.79 1 2/1/2014 2/1/2014
-1.76 2 10/1/2011 11/1/2011
-1.76 1 2/1/2015 2/1/2015
-1.61 1 6/1/2014 6/1/2014
-1.61 1 4/1/2014 4/1/2014
-1.61 1 5/1/2009 5/1/2009
-1.57 2 5/1/2015 6/1/2015
-1.34 1 12/1/2015 12/1/2015
-1.17 1 3/1/2009 3/1/2009
-1.14 1 12/1/2009 12/1/2009
-1.14 1 12/1/2007 12/1/2007
-0.85 2 9/1/2015 10/1/2015
-0.73 2 12/1/2016 1/1/2017
-0.62 1 2/1/2007 2/1/2007
-0.60 1 8/1/2009 8/1/2009
-0.60 1 9/1/2006 9/1/2006
-0.58 1 3/1/2008 3/1/2008
-0.56 1 1/1/2013 1/1/2013
-0.37 1 11/1/2012 11/1/2012
-0.24 1 3/1/2013 3/1/2013
-0.15 1 4/1/2010 4/1/2010
-0.09 1 11/1/2006 11/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods173.00171.00168.00162.00156.00150.00138.00126.00114.00
Percent Profitable52.0261.4065.4870.3769.2377.3377.5483.3382.46
Average Period Return0.230.761.643.335.036.769.7713.2517.68
Average Gain1.963.304.617.0610.0111.3015.4418.5323.24
Average Loss-1.65-3.29-3.99-5.51-6.17-8.74-9.79-13.16-8.42
Best Period9.9014.5219.6327.8931.8935.2142.4744.1457.73
Worst Period-6.05-12.74-13.84-14.25-19.33-21.85-23.26-21.91-20.31
Standard Deviation2.524.345.648.1710.5812.1014.0315.7217.66
Gain Standard Deviation2.092.934.036.298.459.5210.0711.0313.93
Loss Standard Deviation1.312.893.574.444.644.995.545.715.97
Sharpe Ratio (1%)0.060.120.200.290.330.390.480.580.71
Average Gain / Average Loss1.191.001.161.281.621.291.581.412.76
Profit / Loss Ratio1.291.602.193.043.654.415.457.0412.96
Downside Deviation (10%)1.693.344.386.438.3910.1213.3816.3818.56
Downside Deviation (5%)1.502.833.364.284.965.646.617.416.18
Downside Deviation (0%)1.462.713.133.844.274.775.315.844.29
Sortino Ratio (10%)-0.10-0.14-0.19-0.26-0.31-0.34-0.45-0.51-0.54
Sortino Ratio (5%)0.100.180.340.540.710.841.021.242.04
Sortino Ratio (0%)0.160.280.520.871.181.421.842.274.12

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 4 6.86 2/2020
Discretionary Trader Index Month 1 7.02 6/2018
IASG CTA Index Month 3 7.02 6/2018
Discretionary Trader Index Month 6 3.66 8/2015
Discretionary Trader Index Month 9 3.13 12/2014
Discretionary Trader Index Month 7 4.58 5/2013
Discretionary Trader Index Month 3 4.90 9/2012
IASG CTA Index Month 9 4.90 9/2012
Discretionary Trader Index Month 5 9.84 9/2011
Discretionary Trader Index Month 8 7.88 4/2011
Discretionary Trader Index Month 8 1.87 9/2008
Discretionary Trader Index Month 8 3.15 11/2007
Discretionary Trader Index Month 8 3.42 8/2007
Discretionary Trader Index Month 10 1.13 5/2007
Discretionary Trader Index Month 8 2.27 4/2007
Discretionary Trader Index Month 7 1.13 3/2007
Discretionary Trader Index Month 8 2.48 12/2006
Discretionary Trader Index Month 9 1.48 7/2006

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