Olsen Ltd : AF

archived programs
Year-to-Date
N / A
Jul Performance
-0.95%
Min Investment
$ 10k
Mgmt. Fee
0.75%
Perf. Fee
20.00%
Annualized Vol
9.16%
Sharpe (RFR=1%)
-0.32
CAROR
-2.36%
Assets
$ 20.0M
Worst DD
-21.12
S&P Correlation
-0.16

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2009
AF -0.95 - - - - - -14.90 -9.30
S&P 500 4.95 - - - - - 70.19 250.81
+/- S&P 500 -5.90 - - - - - -85.09 -260.11

Strategy Description

Summary

Background Our methodology is based on two decades of experience in research and development in high-frequency finance. Olsen is famous for its historical database (compiled since 1985) of more than 200 million tick-by-tick currency market prices. Discipline Instead of following... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.75%
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 Any Investor
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 0%
Systematic 0%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Background Our methodology is based on two decades of experience in research and development in high-frequency finance. Olsen is famous for its historical database (compiled since 1985) of more than 200 million tick-by-tick currency market prices. Discipline Instead of following the trend, we invest against it. We have arrived at three contrarian beliefs that inform how we analyze the evolution of currency prices and how we invest: Market participants come in all shapes and sizes. From short-term speculators to institutional investors and market makers to central bankers, different players bring different expectations, investment time horizons, and dealing frequencies. To anticipate is to create an imbalance between buyers and sellers (discontinuities in liquidity and, therefore, pricing), the likely responses of these different players to price changes and other events must be analyzed discretely. When it comes to data inputs, you can only use what you see, and you can only see what you choose to look at. Conventional data analysis is too coarse-grained to reveal anything other than large-scale trends that are speculative and unreliable. Olsen uses signals that appear only in high-resolution analysis but whose effects are proven to determine prices. Every trade leaves a footprint; managing risk is about reading this path. High-frequency analysis reveals the undercurrents of transactions. Pricing flows originate in momentary micro-bursts of volatility that kill liquidity and displace pricing. The better you can gauge this displacement, the smarter your next position. More information on how our methodology challenges the conventional wisdom about asset pricing. What we do Olsen's trading models are embedded in a portfolio management system that allocates risk limits to each currency and manages overall exposure. The same trading models are used for all currencies, but each is "fractal," meaning it contains many sub-models with the same underlying structure but configured to accommodate a variety of investor profiles and anticipate their trading behavior. Price moves are analyzed in the context of the overall market trend, time of day, and market liquidity. Applying fractal models allows us to achieve a degree of diversification not available to other trading strategies. We analyze prices on a tick-by-tick basis. Our trading models identify the best entry, exit and change points. We compute liquidity by analyzing micro-volatility and spread in real time, and we budget the maximum changes of position to minimize the market impact of any of our trades. We follow a market-neutral strategy, so that long and short positions have equal likelihood of success. The size and limits for each portfolio are determined bottom-up: first we specify the maximum exposure per position; then we weigh the relative size of the position for any one currency; finally, each trading model has embedded limits for each position. We manage currency exposure by hedging positions that exceed pre-defined thresholds. By applying the same trading models to all currencies and systematically hedging the exposures that exceed pre-defined thresholds, we achieve diversification within the portfolio.

Investment Strategy

Olsen's high-frequency finance investment strategy trade spot currencies following a purely quantitative, statistical and systematic trading style. At the core of the investment strategy are trading models that analyze currency markets on a tick-b-tick high frequency basis. The trading models analyzes currency-price changes in real time, in the context of numerous and variable trading conditions including volatility, spread liquidity and different levels of currency and exchange-rate exposure and risk. The objective of the trading model is to identify even momentary discrepancies between buyers and sellers and take positions to fill expected gaps in liquidity. Instead of following the trend, we invest against it. The same trading model is used for each currency, but each model is "fractal", meaning that it contains many sub-models with the same basic structure but configured for groups of traders with characteristically different profiles. Because of the high-frequency finance and counter-trend strategy, the performance shows low correlation with other trading advisors.

Risk Management

We have a two layered approach to risk management. The regular risk management is conducted by the trading model algorithm and is purely algorithmic. At a higher level, there is the risk management of the risk managers responsible for the performance of the program. Every system, however, perfect, needs supervision. At the top level, there are three risk managers, who each manage 1/3 of the program. Each risk manager has ultimate responsibility for his program and has to ensure that the maximum drawdown limit is not exceeded. If the drawdown limit is reached, he has to close his exposure until the end of the month. At the start of the new month, he can start up the program again, but only with 50% allocation. He can increase his exposure pro rata that he has made up the loss. Since the start of the new program, we have never come close to reaching the maximum drawdown limit – we expect this to remain the case. Within the trading model regular risk management works as follows: Each instrument has a fixed risk budget, which is determined by the portfolio allocation. Whenever a virtual trader enters into a particular position, he has a specific risk budget. If the market goes against his position, he increases the position size at specific increments. The virtual trader temporarily closes his position, if volatility has increased by thirty percent above the initial value recorded at the time, when he originally opened his position.

   

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
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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
-21.12 11 - 8/1/2012 7/1/2013
-6.15 1 6 11/1/2010 12/1/2010
-1.54 1 3 4/1/2012 5/1/2012
-1.29 1 2 6/1/2011 7/1/2011
-0.86 1 2 5/1/2010 6/1/2010
-0.86 1 1 8/1/2010 9/1/2010
-0.85 3 2 10/1/2011 1/1/2012
-0.28 1 1 11/1/2009 12/1/2009
-0.14 1 1 1/1/2010 2/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
5.65 2 1/1/2011 2/1/2011
4.23 2 10/1/2010 11/1/2010
2.88 3 3/1/2010 5/1/2010
2.83 3 8/1/2011 10/1/2011
2.75 3 2/1/2012 4/1/2012
2.17 2 5/1/2011 6/1/2011
1.69 2 7/1/2010 8/1/2010
1.68 5 7/1/2009 11/1/2009
1.50 1 6/1/2012 6/1/2012
1.48 1 1/1/2010 1/1/2010
1.42 1 8/1/2012 8/1/2012
0.32 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.98 8 12/1/2012 7/1/2013
-6.15 1 12/1/2010 12/1/2010
-1.54 1 5/1/2012 5/1/2012
-1.29 1 7/1/2011 7/1/2011
-1.13 2 3/1/2011 4/1/2011
-0.86 1 9/1/2010 9/1/2010
-0.86 1 6/1/2010 6/1/2010
-0.85 3 11/1/2011 1/1/2012
-0.55 1 7/1/2012 7/1/2012
-0.49 2 9/1/2012 10/1/2012
-0.28 1 12/1/2009 12/1/2009
-0.14 1 2/1/2010 2/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable53.0665.9677.2778.9575.0073.0850.00
Average Period Return-0.16-0.45-0.880.071.162.060.89
Average Gain1.091.512.344.316.348.4012.84
Average Loss-1.66-4.26-11.85-15.83-14.38-15.15-11.07
Best Period5.155.656.738.3010.3010.7014.34
Worst Period-14.51-18.55-19.45-20.00-18.30-16.99-14.16
Standard Deviation2.644.737.238.859.6610.7712.57
Gain Standard Deviation1.041.091.321.751.911.672.16
Loss Standard Deviation3.226.548.385.915.791.312.06
Sharpe Ratio (1%)-0.09-0.15-0.19-0.11-0.040.00-0.17
Average Gain / Average Loss0.660.350.200.270.440.551.16
Profit / Loss Ratio0.780.690.671.021.321.501.16
Downside Deviation (10%)2.524.907.859.9911.4613.3619.19
Downside Deviation (5%)2.414.547.008.138.398.9310.06
Downside Deviation (0%)2.384.456.807.707.687.897.94
Sortino Ratio (10%)-0.23-0.34-0.43-0.49-0.56-0.61-0.78
Sortino Ratio (5%)-0.10-0.16-0.20-0.11-0.040.01-0.21
Sortino Ratio (0%)-0.07-0.10-0.130.010.150.260.11

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.