Orion Asset Management : Algorithmic Trading Program

Year-to-Date
4.73%
Aug Performance
2.75%
Min Investment
$ 10k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.92%
Sharpe (RFR=1%)
0.55
CAROR
4.64%
Assets
$ 4.7M
Worst DD
-12.14
S&P Correlation
0.36

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Algorithmic Trading Program 2.75 2.65 -4.73 -0.90 1.95 19.66 - 41.56
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 131.27
+/- S&P 500 -4.26 -12.33 -13.07 -20.51 -38.44 -56.02 - -89.71

Strategy Description

Investment Strategy

ALGORITHMIC TRADING PORTFOLIO is an open-ended hedge fund with intraday trading frequency and high liquidity. The fund's objectives are to provide absolute returns with a moderate risk-return profile and low correlation to equity markets and other investments and asset... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 9000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

ALGORITHMIC TRADING PORTFOLIO is an open-ended hedge fund with intraday trading frequency and high liquidity. The fund's objectives are to provide absolute returns with a moderate risk-return profile and low correlation to equity markets and other investments and asset classes. The fund seeks to achieve its objectives through the implementation of a portfolio of systematic trading models. The multi asset strategy trades ~42 global equity, metals, interest rate, agriculture, energy and currency markets, using regulated, liquid and exchange traded financial instruments - futures. Long and short positions can be held seeking to profit from identified short, medium mean reversion seasonality and trend flowing patterns. Portfolio of ~350 independent automated trading systems aims to provide profit every month. Our strict risk management are based on a clearly defined set of rules, adjusting the portfolio dynamically to changing market conditions.

   

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
-12.14 2 23 6/1/2015 8/1/2015
-9.96 10 12 12/1/2017 10/1/2018
-7.69 3 - 12/1/2019 3/1/2020
-3.92 1 2 12/1/2013 1/1/2014
-2.34 1 2 2/1/2013 3/1/2013
-2.13 1 1 7/1/2014 8/1/2014
-1.28 1 1 10/1/2014 11/1/2014
-0.65 1 1 12/1/2014 1/1/2015
-0.53 1 1 7/1/2013 8/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
14.30 14 11/1/2018 12/1/2019
10.57 6 2/1/2014 7/1/2014
8.59 6 7/1/2017 12/1/2017
7.50 4 4/1/2013 7/1/2013
6.74 5 2/1/2015 6/1/2015
6.45 3 2/1/2016 4/1/2016
5.89 2 9/1/2014 10/1/2014
4.66 4 9/1/2013 12/1/2013
4.17 2 1/1/2013 2/1/2013
3.47 4 11/1/2016 2/1/2017
3.18 2 7/1/2020 8/1/2020
2.71 4 6/1/2016 9/1/2016
2.59 1 12/1/2014 12/1/2014
1.34 2 4/1/2017 5/1/2017
1.24 1 4/1/2020 4/1/2020
0.96 2 5/1/2018 6/1/2018
0.94 1 9/1/2015 9/1/2015
0.56 1 12/1/2015 12/1/2015
0.21 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.14 2 7/1/2015 8/1/2015
-8.31 2 1/1/2018 2/1/2018
-7.69 3 1/1/2020 3/1/2020
-3.92 1 1/1/2014 1/1/2014
-2.37 4 7/1/2018 10/1/2018
-2.34 1 3/1/2013 3/1/2013
-2.13 1 8/1/2014 8/1/2014
-1.74 1 10/1/2016 10/1/2016
-1.28 1 11/1/2014 11/1/2014
-1.20 2 5/1/2020 6/1/2020
-0.65 1 1/1/2015 1/1/2015
-0.61 2 10/1/2015 11/1/2015
-0.58 1 4/1/2018 4/1/2018
-0.53 1 8/1/2013 8/1/2013
-0.42 1 3/1/2017 3/1/2017
-0.37 1 6/1/2017 6/1/2017
-0.32 1 1/1/2016 1/1/2016
-0.01 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable70.6573.3371.2670.3774.6797.1096.49100.00100.00
Average Period Return0.401.112.234.546.527.7911.0715.8518.07
Average Gain1.292.835.238.239.508.0511.5215.8518.07
Average Loss-1.75-3.62-5.22-4.23-2.26-1.06-1.32
Best Period3.278.1110.5715.3121.1027.8522.4429.4444.38
Worst Period-10.48-12.12-11.83-9.45-4.28-1.25-1.532.081.90
Standard Deviation2.003.755.496.857.628.056.079.459.29
Gain Standard Deviation0.861.682.394.166.478.025.689.459.29
Loss Standard Deviation2.323.813.542.691.360.270.31
Sharpe Ratio (1%)0.160.230.320.520.660.721.321.251.40
Average Gain / Average Loss0.740.781.001.954.217.638.76
Profit / Loss Ratio1.782.152.494.6212.40255.54240.97
Downside Deviation (10%)1.703.174.555.395.716.017.4310.4512.73
Downside Deviation (5%)1.582.783.593.192.020.670.980.350.74
Downside Deviation (0%)1.552.683.362.711.320.180.25
Sortino Ratio (10%)-0.01-0.04-0.05-0.09-0.19-0.41-0.63-0.55-0.75
Sortino Ratio (5%)0.200.310.481.112.488.578.2333.5017.56
Sortino Ratio (0%)0.260.410.661.674.9542.6344.35

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.