Optimal Models : Active Beta Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since5/2007 Active Beta 0.00 - - - - - - 2.82 S&P 500 6.53 - - - - - - 154.42 +/- S&P 500 -6.53 - - - - - - -151.59 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% Composition Stock Indices 100.00% 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 StrategyActive 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 ManagementActive 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. 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 -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. x {{title}} x {{title}} Add Cancel