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

Year-to-Date
5.72%
Sep Performance
-1.57%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.08%
Sharpe (RFR=1%)
0.33
CAROR
3.42%
Assets
$ 34.0M
Worst DD
-19.85
S&P Correlation
-0.13

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
2/2006
Asian Markets Alpha Program -1.57 2.22 -5.72 -9.07 -7.83 -8.98 12.74 58.40
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 130.04
+/- S&P 500 -3.29 1.03 -24.46 -11.22 -43.72 -58.37 -165.95 -71.64

Strategy Description

Summary

The ASIAN MARKETS ALPHA STRATEGY has been designed and is managed by three long-term industry professionals. The objective is to identify potential medium and long-term moves in emerging market currency pairs using a series of predetermined parameters. Positions are established when... 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 ASIAN MARKETS ALPHA STRATEGY has been designed and is managed by three long-term industry professionals. The objective is to identify potential medium and long-term moves in emerging market currency pairs using a series of predetermined parameters. Positions are established when all the parameters match. Once trades are constructed, strict stop loss levels and profit objectives are entered. Positions are protected by strict stop losses. The system is designed to perform in trendless as well as trending markets, and in both bullish and bearish Emerging Market conditions. The process is systematic in nature, but unlike the Developed Markets Strategy, it employs additional elements that tailor the strategy to the emerging markets. Hammond Black Limited manages the currency strategies and employs a fundamental macro overlay on top of the systematic system to rank and weight emerging market currency attractiveness. Additionally we employ a proprietary global volatility indicator that provides a forward looking measurement of potential risk aversion, a significant leading indicator of emerging market performance. This indicator is used to proactively weight the portfolio accordingly.

   

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
-19.85 43 - 8/1/2015 3/1/2019
-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
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
-12.96 5 11/1/2018 3/1/2019
-9.91 5 7/1/2017 11/1/2017
-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
-1.57 1 9/1/2019 9/1/2019
-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 Periods164.00162.00159.00153.00147.00141.00129.00117.00105.00
Percent Profitable53.6662.9666.6772.5573.4782.2782.9589.7489.52
Average Period Return0.310.931.823.816.087.8911.4315.5520.35
Average Gain1.843.184.737.1210.0111.3015.4418.5323.24
Average Loss-1.47-2.89-4.02-4.95-4.79-7.98-8.07-10.52-4.31
Best Period9.9014.5219.6327.8931.8935.2142.4744.1457.73
Worst Period-6.05-10.09-13.84-14.25-12.41-16.18-17.11-16.26-8.98
Standard Deviation2.333.975.707.959.9211.5412.9013.8015.69
Gain Standard Deviation1.962.814.046.358.459.5210.0711.0313.93
Loss Standard Deviation1.182.443.704.253.514.914.705.542.63
Sharpe Ratio (1%)0.100.170.230.350.460.510.650.830.97
Average Gain / Average Loss1.251.101.181.442.091.421.911.765.39
Profit / Loss Ratio1.451.872.363.805.796.579.3115.4146.06
Downside Deviation (10%)1.512.924.355.917.068.9011.3113.2415.09
Downside Deviation (5%)1.332.413.363.823.704.684.975.003.18
Downside Deviation (0%)1.282.293.143.403.043.923.833.771.61
Sortino Ratio (10%)-0.07-0.10-0.15-0.20-0.21-0.27-0.38-0.45-0.48
Sortino Ratio (5%)0.170.280.390.741.241.251.692.304.80
Sortino Ratio (0%)0.240.410.581.122.002.012.984.1212.61

Top Performer Badges

Index Award Type Rank Performance Period
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.