Mesirow Financial Investment Management, Inc. : Extended Markets Alpha Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.71% Nov Performance 4.13% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.53% Sharpe (RFR=1%) 0.31 CAROR 3.30% Assets $ 13.8M Worst DD -30.14 S&P Correlation 0.04 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 Since4/2004 Extended Markets Alpha Program 4.13 1.84 0.71 0.71 0.66 14.93 26.73 71.86 S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 203.60 235.70 +/- S&P 500 -6.62 -1.63 -11.39 -14.60 -39.44 -57.38 -176.87 -163.85 Strategy Description SummaryThe Extended Markets Alpha Programme commenced trading in April 2004 as a managed account for an institutional client to provide a blended exposure to the strategies offered by The Cambridge Strategy. Performance since inception refers to an equal weighted average of the managed accounts... 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 50.00% Systematic 50.00% Strategy Composition SummaryThe Extended Markets Alpha Programme commenced trading in April 2004 as a managed account for an institutional client to provide a blended exposure to the strategies offered by The Cambridge Strategy. Performance since inception refers to an equal weighted average of the managed accounts invested via the Extended Markets Alpha Programme. The Extended Markets Alpha Programme offers investors a diversified exposure to the global currency markets (including Developed and Developing markets) and aims to profit from short and medium term moves in various currency pairs. To achieve this, the firm employs a systematic approach designed to perform across diverse market environments. The process combines three decision making tools: a Systematic Technical Strategy, a Systematic Fundamental Strategy and a Market Information Strategy.Investment StrategyDuring periods of higher volatility, the Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple timeframes. The algorithms combine trend continuation and trend reversal signals. During periods of lower volatility, the Systematic Fundamental Strategy (used in the Developing markets segments of our portfolios) reflects a predetermined set of positions designed to reflect “market? views on the relative attractiveness of currencies versus the US dollar thereby realising the inherent benefits of the carry trade. The Market Information Strategy leverages the experience and global network of our portfolio managers to understand and exploit the behaviour of other market participants and to participate in hedging and investment flows.Risk ManagementThe Cambridge Strategy believes that long run success is achieved through successful mitigation of downside returns (with risk controlled at the portfolio, strategy and individual trade levels). While a daily VAR limit is enforced at both the aggregate portfolio and sub-strategy level, a further layer of risk mitigation is incorporated within each strategy. For the Systematic Technical and Market Information Strategies “left side” tail risk is monitored at the trade and portfolio level using a proprietary methodology grounded in Extreme Value Theory. Within the Systematic Fundamental Strategy, the aggregate! net US dollar exposure is maintained at zero. 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 -30.14 64 33 2/1/2009 6/1/2014 -12.80 9 - 8/1/2019 5/1/2020 -8.67 3 16 1/1/2018 4/1/2018 -3.29 2 3 8/1/2017 10/1/2017 -2.26 3 9 11/1/2007 2/1/2008 -1.32 1 1 6/1/2017 7/1/2017 -0.66 2 5 4/1/2006 6/1/2006 -0.60 2 2 12/1/2006 2/1/2007 -0.47 1 1 9/1/2007 10/1/2007 -0.16 1 1 3/1/2005 4/1/2005 -0.14 1 1 10/1/2005 11/1/2005 -0.10 1 1 7/1/2007 8/1/2007 -0.07 1 1 5/1/2004 6/1/2004 -0.02 1 1 4/1/2007 5/1/2007 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.38 9 7/1/2004 3/1/2005 19.37 3 7/1/2014 9/1/2014 14.22 6 11/1/2015 4/1/2016 12.37 5 4/1/2019 8/1/2019 11.86 5 2/1/2017 6/1/2017 10.23 2 3/1/2011 4/1/2011 8.92 5 10/1/2008 2/1/2009 8.22 2 11/1/2014 12/1/2014 7.38 3 6/1/2020 8/1/2020 7.09 2 5/1/2018 6/1/2018 5.68 2 5/1/2012 6/1/2012 5.65 6 5/1/2005 10/1/2005 4.93 2 3/1/2015 4/1/2015 4.74 1 9/1/2007 9/1/2007 4.26 3 11/1/2017 1/1/2018 4.13 1 11/1/2020 11/1/2020 3.83 2 4/1/2004 5/1/2004 3.53 2 7/1/2015 8/1/2015 3.38 1 2/1/2020 2/1/2020 3.12 1 9/1/2011 9/1/2011 2.54 5 12/1/2005 4/1/2006 2.45 1 8/1/2017 8/1/2017 2.29 1 3/1/2013 3/1/2013 2.23 3 11/1/2011 1/1/2012 2.11 1 5/1/2013 5/1/2013 1.89 1 1/1/2019 1/1/2019 1.62 2 3/1/2008 4/1/2008 1.59 1 2/1/2010 2/1/2010 1.35 1 6/1/2016 6/1/2016 1.27 3 10/1/2006 12/1/2006 1.27 1 11/1/2007 11/1/2007 1.26 2 3/1/2007 4/1/2007 1.19 2 7/1/2009 8/1/2009 1.12 2 7/1/2008 8/1/2008 1.02 1 12/1/2010 12/1/2010 0.97 1 9/1/2012 9/1/2012 0.95 2 4/1/2009 5/1/2009 0.92 1 4/1/2020 4/1/2020 0.84 1 7/1/2011 7/1/2011 0.83 1 8/1/2018 8/1/2018 0.75 1 10/1/2018 10/1/2018 0.73 1 12/1/2013 12/1/2013 0.47 1 5/1/2010 5/1/2010 0.44 1 7/1/2006 7/1/2006 0.31 2 6/1/2007 7/1/2007 0.26 1 8/1/2016 8/1/2016 0.02 1 10/1/2013 10/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.19 6 6/1/2010 11/1/2010 -9.63 4 6/1/2013 9/1/2013 -8.67 3 2/1/2018 4/1/2018 -8.46 5 9/1/2019 1/1/2020 -7.38 5 9/1/2009 1/1/2010 -7.26 1 3/1/2020 3/1/2020 -6.86 2 5/1/2011 6/1/2011 -6.09 2 5/1/2015 6/1/2015 -5.29 5 10/1/2012 2/1/2013 -4.99 3 2/1/2012 4/1/2012 -4.38 6 1/1/2014 6/1/2014 -4.22 2 2/1/2019 3/1/2019 -4.09 5 9/1/2016 1/1/2017 -3.47 2 9/1/2015 10/1/2015 -3.42 2 9/1/2020 10/1/2020 -3.29 2 9/1/2017 10/1/2017 -3.20 2 1/1/2011 2/1/2011 -2.76 1 10/1/2011 10/1/2011 -2.30 2 11/1/2018 12/1/2018 -2.26 3 12/1/2007 2/1/2008 -2.16 1 3/1/2009 3/1/2009 -2.14 1 8/1/2011 8/1/2011 -2.11 1 5/1/2016 5/1/2016 -1.78 2 1/1/2015 2/1/2015 -1.57 1 9/1/2018 9/1/2018 -1.55 2 7/1/2012 8/1/2012 -1.54 1 5/1/2020 5/1/2020 -1.48 1 6/1/2009 6/1/2009 -1.32 1 7/1/2017 7/1/2017 -1.27 2 5/1/2008 6/1/2008 -1.21 1 7/1/2016 7/1/2016 -1.09 1 4/1/2013 4/1/2013 -1.03 1 10/1/2014 10/1/2014 -0.77 2 3/1/2010 4/1/2010 -0.75 1 7/1/2018 7/1/2018 -0.69 1 9/1/2008 9/1/2008 -0.66 2 5/1/2006 6/1/2006 -0.60 2 1/1/2007 2/1/2007 -0.47 1 10/1/2007 10/1/2007 -0.32 2 8/1/2006 9/1/2006 -0.26 1 11/1/2013 11/1/2013 -0.16 1 4/1/2005 4/1/2005 -0.14 1 11/1/2005 11/1/2005 -0.10 1 8/1/2007 8/1/2007 -0.07 1 6/1/2004 6/1/2004 -0.02 1 5/1/2007 5/1/2007 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods200.00198.00195.00189.00183.00177.00165.00153.00141.00 Percent Profitable52.0057.0758.4662.4365.5761.5864.8564.7160.99 Average Period Return0.300.871.752.914.095.017.018.8910.04 Average Gain1.903.645.908.2810.3413.1817.0320.8624.31 Average Loss-1.45-2.80-4.09-6.01-7.82-8.09-11.49-13.04-12.27 Best Period12.9620.1727.8533.2039.8143.1648.9052.5061.93 Worst Period-7.26-8.67-12.19-14.39-19.45-20.68-20.21-25.66-28.56 Standard Deviation2.464.627.199.9111.9213.8017.0120.0822.15 Gain Standard Deviation2.164.046.418.399.4010.6712.0713.5715.33 Loss Standard Deviation1.332.082.864.115.255.864.987.618.38 Sharpe Ratio (1%)0.090.140.170.190.220.220.230.240.22 Average Gain / Average Loss1.311.301.441.381.321.631.481.601.98 Profit / Loss Ratio1.441.732.032.292.522.612.732.933.10 Downside Deviation (10%)1.572.994.667.359.8412.2917.1222.1627.08 Downside Deviation (5%)1.402.423.484.976.277.239.1011.1112.05 Downside Deviation (0%)1.352.283.214.455.516.187.418.959.25 Sortino Ratio (10%)-0.07-0.12-0.15-0.28-0.36-0.43-0.51-0.57-0.65 Sortino Ratio (5%)0.160.260.360.380.410.410.440.440.41 Sortino Ratio (0%)0.220.380.550.650.740.810.950.991.09 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 8 4.13 11/2020 Discretionary Trader Index Month 9 1.33 6/2020 Discretionary Trader Index Month 7 3.38 2/2020 Discretionary Trader Index Month 5 4.90 8/2019 IASG CTA Index Month 6 5.84 6/2018 Systematic Trader Index Month 5 5.84 6/2018 Discretionary Trader Index Month 2 5.84 6/2018 Systematic Trader Index Month 3 4.28 3/2017 IASG CTA Index Month 5 4.28 3/2017 Discretionary Trader Index Month 5 4.28 3/2017 Discretionary Trader Index Month 5 3.25 2/2017 Discretionary Trader Index Month 8 2.63 1/2016 Discretionary Trader Index Month 5 4.48 11/2015 Discretionary Trader Index Month 10 4.11 3/2015 Discretionary Trader Index Month 8 3.46 12/2014 Discretionary Trader Index Month 3 4.68 11/2014 Discretionary Trader Index Month 7 13.09 9/2014 Discretionary Trader Index Month 6 2.16 3/2013 Discretionary Trader Index Month 8 5.00 5/2012 Discretionary Trader Index Month 4 4.71 1/2009 Discretionary Trader Index Month 10 0.75 4/2007 Discretionary Trader Index Month 9 0.37 3/2007 IASG CTA Index Sharpe 8 2.55 2005 Discretionary Trader Index Month 6 0.64 10/2005 Discretionary Trader Index Month 10 1.87 7/2005 Discretionary Trader Index Month 10 1.63 5/2005 Discretionary Trader Index Month 7 1.94 2/2005 Discretionary Trader Index Month 5 0.79 1/2005 IASG CTA Index Sharpe 2 3.54 2004 Discretionary Trader Index Month 7 1.17 12/2004 Discretionary Trader Index Month 4 6.13 11/2004 Discretionary Trader Index Month 3 6.77 10/2004 Discretionary Trader Index Month 4 5.94 9/2004 Discretionary Trader Index Month 4 3.34 5/2004 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