Morris Capital Australia : Alpha Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 May Qtr YTD 1yr 3yr 5yr 10yr Since1/2016 Alpha 10.76 0.00 5.41 1.30 73.35 - - 175.93 S&P 500 4.53 3.05 -5.77 10.62 24.94 - - 78.57 +/- S&P 500 6.23 -3.05 11.18 -9.32 48.40 - - 97.36 Strategy Description SummaryTransparent 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% Composition Currency FX 100.00% SummaryTransparent managed account - Focus on liquid currency pairs - Proven track record - Focus on risk managementInvestment StrategyMorris 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 ManagementAn 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 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel