Optimal Models : Active Beta

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.27%
Sharpe (RFR=1%)
0.03
CAROR
0.76%
Assets
$ 0k
Worst DD
-20.93
S&P Correlation
0.00

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2007
Active Beta 0.00 - - - - - -5.16 2.82
S&P 500 6.53 - - - - - -4.74 126.32
+/- S&P 500 -6.53 - - - - - -0.42 -123.50

Strategy Description

Summary

-Optimal Models and Decisions Inc. has been registered as a CTA and managing client accounts since 1996. In January 2007, Optimal Models launched Active Beta. Optimal Models has been granted a 4.7 exemption by the National Futures Association and is open to investment from qualified... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1800 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 20.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

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

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

-Optimal Models and Decisions Inc. has been registered as a CTA and managing client accounts since 1996. In January 2007, Optimal Models launched Active Beta. Optimal Models has been granted a 4.7 exemption by the National Futures Association and is open to investment from qualified investors only. For additional details, please contact us to request our 4.7 Exempt Disclosure Document.

Investment Strategy

Active Beta is a quantitative, short-term, long/short, global equity index strategy. Active Beta uses a multi-timeframe pattern recognition and signal filtering processes to produce returns which are uncorrelated to traditional and alternative asset class benchmarks and other investment manager's returns. Active Beta controls risk and generates skill based returns during both rising and falling markets.

Risk Management

Active Beta manages risk by limiting the portfolio exposure and spreading risk equally among each of the traded equity index markets. Through extensive value-at-risk simulations, we estimate Active Beta's one day value-at-risk to be 2.1% with 95% confidence and 4.2% with 99% confidence. Optimal Models aims to automate its operations. This eliminates errors and assures discipline in the execution of the Active Beta methodology. The accuracy of our client accounts is independently verified on a daily basis by our external accounting consultant, CTA Outsource Solutions Inc. Leveraging their expertise and technology, Optimal Models are able to scale its operations quickly and effectively.

   

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
-20.93 21 - 1/1/2009 10/1/2010
-5.70 1 1 6/1/2007 7/1/2007
-5.25 1 2 5/1/2008 6/1/2008
-4.99 1 1 12/1/2007 1/1/2008
-1.24 1 2 9/1/2007 10/1/2007
-0.13 1 1 2/1/2008 3/1/2008
-0.03 1 1 9/1/2008 10/1/2008
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
10.71 2 5/1/2007 6/1/2007
8.64 3 7/1/2008 9/1/2008
8.55 2 8/1/2007 9/1/2007
6.00 1 2/1/2008 2/1/2008
4.63 2 11/1/2007 12/1/2007
4.16 1 12/1/2009 12/1/2009
3.65 2 4/1/2008 5/1/2008
3.50 3 11/1/2008 1/1/2009
2.60 3 6/1/2010 8/1/2010
2.07 3 8/1/2009 10/1/2009
1.90 1 5/1/2009 5/1/2009
1.15 1 2/1/2010 2/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-10.49 3 3/1/2010 5/1/2010
-7.11 3 2/1/2009 4/1/2009
-6.76 2 6/1/2009 7/1/2009
-5.70 1 7/1/2007 7/1/2007
-5.25 1 6/1/2008 6/1/2008
-5.16 4 9/1/2010 12/1/2010
-4.99 1 1/1/2008 1/1/2008
-3.79 1 1/1/2010 1/1/2010
-1.24 1 10/1/2007 10/1/2007
-0.59 1 11/1/2009 11/1/2009
-0.13 1 3/1/2008 3/1/2008
-0.03 1 10/1/2008 10/1/2008
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable54.5552.3846.1545.4540.7452.38
Average Period Return0.12-0.02-0.11-0.39-0.87-2.14
Average Gain2.373.736.349.7712.857.68
Average Loss-2.88-4.15-5.63-8.86-10.30-12.94
Best Period6.748.6412.3719.8825.6420.80
Worst Period-6.68-10.49-11.97-15.24-17.85-20.90
Standard Deviation3.254.746.7910.5313.7212.18
Gain Standard Deviation1.992.473.175.998.486.72
Loss Standard Deviation2.172.733.083.486.755.66
Sharpe Ratio (1%)0.01-0.06-0.09-0.13-0.17-0.34
Average Gain / Average Loss0.820.901.121.101.250.59
Profit / Loss Ratio1.100.990.960.920.860.65
Downside Deviation (10%)2.504.146.3410.6014.7116.92
Downside Deviation (5%)2.333.555.017.7010.3910.97
Downside Deviation (0%)2.283.404.697.019.399.67
Sortino Ratio (10%)-0.12-0.30-0.41-0.51-0.58-0.73
Sortino Ratio (5%)0.01-0.08-0.12-0.18-0.23-0.38
Sortino Ratio (0%)0.05-0.01-0.02-0.06-0.09-0.22

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.