Mesirow Financial Investment Management, Inc. : Asian Markets Alpha Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.08% Nov Performance 4.33% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.73% Sharpe (RFR=1%) 0.27 CAROR 2.98% Assets $ 6.3M Worst DD -26.19 S&P Correlation -0.13 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 Nov Qtr 2020 1yr 3yr 5yr 10yr Since2/2006 Asian Markets Alpha Program 4.33 7.31 6.08 6.08 -7.86 -17.16 4.13 54.65 S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 203.60 190.26 +/- S&P 500 -6.42 3.85 -6.01 -9.22 -47.96 -89.47 -199.48 -135.61 Strategy Description Investment StrategyASIAN 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 StrategyASIAN 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. 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 -26.19 59 - 8/1/2015 7/1/2020 -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 Show More 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 10.60 4 8/1/2020 11/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -16.59 5 3/1/2020 7/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods178.00176.00173.00167.00161.00155.00143.00131.00119.00 Percent Profitable52.8161.3664.1668.8667.0874.8474.8380.1578.99 Average Period Return0.280.761.403.024.675.988.8812.1315.99 Average Gain1.993.384.627.0210.0111.3015.4418.5323.24 Average Loss-1.64-3.39-4.38-5.81-6.20-9.86-10.61-13.71-11.25 Best Period9.9014.5219.6327.8931.8935.2142.4744.1457.73 Worst Period-6.05-12.74-16.33-14.25-19.33-23.53-24.00-21.91-25.97 Standard Deviation2.524.445.888.3010.6312.6814.6116.4219.10 Gain Standard Deviation2.072.984.016.288.459.5210.0711.0313.93 Loss Standard Deviation1.302.943.944.514.595.796.025.417.92 Sharpe Ratio (1%)0.080.120.150.240.300.310.400.490.57 Average Gain / Average Loss1.211.001.061.211.611.151.461.352.07 Profit / Loss Ratio1.361.581.892.673.293.414.335.467.77 Downside Deviation (10%)1.673.414.776.748.6611.1714.4517.6720.88 Downside Deviation (5%)1.482.903.744.555.146.627.478.288.30 Downside Deviation (0%)1.442.783.514.094.415.726.106.556.26 Sortino Ratio (10%)-0.08-0.14-0.22-0.29-0.34-0.38-0.48-0.53-0.56 Sortino Ratio (5%)0.130.180.240.450.620.600.780.981.31 Sortino Ratio (0%)0.190.280.400.741.061.051.461.852.55 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 7 4.33 11/2020 Discretionary Trader Index Month 6 2.86 10/2020 Discretionary Trader Index Month 7 2.75 9/2020 Discretionary Trader Index Month 7 2.75 9/2020 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 IASG CTA Index Month 9 4.90 9/2012 Discretionary Trader Index Month 3 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. x {{title}} x {{title}} Add Cancel