Morris Capital Australia : Alpha

Year-to-Date
5.41%
May Performance
10.76%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
18.23%
Sharpe (RFR=1%)
1.30
CAROR
25.84%
Assets
$ 600k
Worst DD
-11.60
S&P Correlation
0.04

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Alpha 10.76 7.02 5.41 2.87 73.43 - - 175.93
S&P 500 4.53 3.05 -5.77 10.62 24.94 - - 58.16
+/- S&P 500 6.23 3.97 11.18 -7.75 48.49 - - 117.77

Strategy Description

Summary

Transparent managed account - Focus on liquid currency pairs - Proven track record - Focus on risk management... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 30.00%
Average Commission $7.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 11.59%
Sector Focus Currency Traders

Holding Periods

Over 12 Months
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 70.00%
Intraday 5.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Counter-trend
30.00%
Momentum
20.00%
Pattern Recognition
40.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Transparent managed account - Focus on liquid currency pairs - Proven track record - Focus on risk management

Investment Strategy

Morris Alpha offers a hybrid managed account that allocates capital to a short term systematic strategy utilizing pattern recognition as well as a medium term macro component which is overseen by two experienced fund management professionals. The strategy targets 10-20% plus returns with drawdowns <10% over rolling 12mth periods.

Risk Management

An investor could in theory lose >20% of his portfolio, at which point all trades would be stopped out. In practice, the moderate level of gearing should work against this becoming an issue unless there is a black-swan event that adversely affects the portfolio. Each position has minimal affect on the overall portfolio such that the success or failure of any one position will not materially impact our P+L. Key risks measured are: • position concentration and leverage • directional exposure portfolio liquidity

   

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
-11.60 7 - 9/1/2019 4/1/2020
-7.55 6 4 9/1/2017 3/1/2018
-4.99 1 4 10/1/2018 11/1/2018
-0.65 1 1 8/1/2018 9/1/2018
-0.39 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
63.30 7 3/1/2019 9/1/2019
59.10 11 8/1/2016 6/1/2017
12.15 5 4/1/2018 8/1/2018
10.76 1 5/1/2020 5/1/2020
7.45 2 8/1/2017 9/1/2017
1.94 1 10/1/2018 10/1/2018
1.67 1 1/1/2020 1/1/2020
1.58 2 12/1/2018 1/1/2019
0.63 1 11/1/2019 11/1/2019
0.63 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.39 3 2/1/2020 4/1/2020
-6.13 1 12/1/2019 12/1/2019
-5.72 4 10/1/2017 1/1/2018
-4.99 1 11/1/2018 11/1/2018
-2.56 1 3/1/2018 3/1/2018
-1.67 1 10/1/2019 10/1/2019
-0.65 1 9/1/2018 9/1/2018
-0.39 1 7/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable60.3862.7575.00100.00100.00100.00100.00
Average Period Return2.066.3514.1233.0147.3059.62115.66
Average Gain4.3011.6620.0333.0147.3059.62115.66
Average Loss-2.21-3.52-4.33
Best Period30.0452.2057.8464.1379.0171.76168.53
Worst Period-6.13-7.12-10.101.037.2623.3765.83
Standard Deviation5.2611.5618.0722.9421.2012.6738.95
Gain Standard Deviation5.5911.5917.0622.9421.2012.6738.95
Loss Standard Deviation1.792.003.36
Sharpe Ratio (1%)0.370.530.751.402.164.552.89
Average Gain / Average Loss1.953.314.62
Profit / Loss Ratio4.797.5616.64
Downside Deviation (10%)1.562.723.500.900.06
Downside Deviation (5%)1.422.222.64
Downside Deviation (0%)1.392.102.46
Sortino Ratio (10%)1.061.893.3331.00660.77
Sortino Ratio (5%)1.392.755.15
Sortino Ratio (0%)1.483.025.75

Top Performer Badges

Index Award Type Rank Performance Period

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