Salus Alpha Capital Ltd : Salus Alpha Directional Markets (DMX) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.82% Mar Performance 1.08% Min Investment $ 10,000k Mgmt. Fee 1.25% Perf. Fee 20.00% Annualized Vol 13.35% Sharpe (RFR=1%) 0.97 CAROR 13.89% Assets $ 100.0M Worst DD -19.86 S&P Correlation -0.03 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since3/2003 Salus Alpha Directional Markets (DMX) 1.08 6.82 6.82 14.84 60.43 79.84 81.52 950.73 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 206.17 378.60 +/- S&P 500 -3.16 -2.39 -2.39 -43.86 5.12 -17.28 -124.65 572.12 Strategy Description SummaryThe Directional Markets Strategy is fully systematic and invests in up to 100 global futures and forward markets. A statistical approach with a daily feedback system based on forecast quality is used to determine the signal (long or short) as well as position size. With 250 trading... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.50 Management Fee 1.25% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 4000 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -18.00% Worst Peak-to-Trough -19.39% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 20.00% 1-3 Months 25.00% 1-30 Days 50.00% Intraday 5.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 50.00% Trend-following 50.00% Composition Interest Rates 32.00% Currency Futures 21.00% Softs 16.00% Precious Metals 14.00% Grains 9.00% Industrial Metals 4.00% Stock Indices 4.00% SummaryThe Directional Markets Strategy is fully systematic and invests in up to 100 global futures and forward markets. A statistical approach with a daily feedback system based on forecast quality is used to determine the signal (long or short) as well as position size. With 250 trading days a year and 100 markets, this produces 25 000 forecasts a year, which is statistically significant. No technical analysis is used. The better the forecast quality the more trust is put into the forecast, and the more aggressively the target weights per market are adjusted. Due to the mechanics of the daily forecasts, the system is adaptive to changing market environments and can switch between short to long term as well as trend following and contrarian. The strategy targest a return of 15-20% p.a. with a volatility of approximately 10% p.a. Analog execution technology delivers no market price impact and high strategy capacity. The model exhibits on the long run significant more upside with less downside than other CTA's / managed Futures programs. Investment StrategyA statistical approach is used to forecast prices. Due to the mechanics of the daily forecasts and the feedback system of forecast quality, the model is adaptive and is capable of switching between time frames, i.e. short to long term, and strategies, i.e. trend following and contrarian. Daily price levels are forecasted based on historic prices. With 250 trading days a year and 100 markets, this produces 25.000 forecasts a year, which is statistically significant. The better the forecast quality in an environment for individual markets, the more trust is put into the forecast, and the more the target weights per market are adjusted. Risk ManagementDetailed and extensive risk management – special attention in case of increasing volatility. Within the DMX the risk management is carried out at position, sector and portfolio level. Too high levels of volatility of the returns of a position lead to the under weighting of this position. Too high levels of volatility of the returns of a sector lead to the under weighting of this sector. In case the volatility of the DMX fulfills the self-chosen criteria, the risk on portfolio level is limited. The positions in DMX are entered automatically and are assessed daily in regards to the defined risk parameters of position size, diversification and volatility. Before being executed orders are being assessed for potential crossings of thresholds and corrected accordingly thanks to a sophisticated IT system. 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 -19.86 18 24 4/1/2011 10/1/2012 -13.35 5 3 6/1/2003 11/1/2003 -13.29 14 9 3/1/2015 5/1/2016 -9.72 3 9 1/1/2018 4/1/2018 -9.37 5 4 3/1/2020 8/1/2020 -8.67 2 2 6/1/2007 8/1/2007 -7.46 4 2 8/1/2019 12/1/2019 -5.56 4 2 2/1/2017 6/1/2017 -5.18 1 4 12/1/2004 1/1/2005 -5.16 1 3 8/1/2017 9/1/2017 -4.64 4 3 9/1/2009 1/1/2010 -3.68 2 4 3/1/2004 5/1/2004 -3.39 2 3 3/1/2008 5/1/2008 -3.07 1 1 4/1/2019 5/1/2019 -2.32 1 1 7/1/2005 8/1/2005 -2.14 1 2 1/1/2007 2/1/2007 -2.13 1 1 11/1/2014 12/1/2014 -1.47 3 2 4/1/2006 7/1/2006 -1.33 2 1 5/1/2010 7/1/2010 -1.07 1 1 1/1/2015 2/1/2015 -0.97 1 1 2/1/2019 3/1/2019 -0.67 1 2 10/1/2010 11/1/2010 -0.63 1 1 2/1/2011 3/1/2011 -0.16 1 1 1/1/2006 2/1/2006 -0.03 1 1 3/1/2009 4/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 57.18 7 9/1/2007 3/1/2008 39.17 10 6/1/2008 3/1/2009 28.36 4 3/1/2003 6/1/2003 26.79 4 12/1/2003 3/1/2004 26.71 7 9/1/2020 3/1/2021 16.86 5 8/1/2004 12/1/2004 16.40 4 8/1/2014 11/1/2014 16.14 3 1/1/2020 3/1/2020 16.10 3 6/1/2019 8/1/2019 14.47 5 9/1/2005 1/1/2006 14.07 6 2/1/2005 7/1/2005 14.02 4 3/1/2007 6/1/2007 12.34 6 8/1/2006 1/1/2007 12.10 3 3/1/2014 5/1/2014 11.70 3 12/1/2018 2/1/2019 11.39 3 12/1/2016 2/1/2017 10.12 2 7/1/2017 8/1/2017 10.04 2 6/1/2016 7/1/2016 8.69 2 3/1/2006 4/1/2006 8.59 3 7/1/2015 9/1/2015 7.56 1 1/1/2015 1/1/2015 7.16 3 8/1/2010 10/1/2010 7.07 1 7/1/2013 7/1/2013 6.33 4 2/1/2010 5/1/2010 6.30 1 1/1/2014 1/1/2014 6.12 1 5/1/2018 5/1/2018 5.78 1 7/1/2011 7/1/2011 5.58 5 5/1/2009 9/1/2009 5.10 1 10/1/2017 10/1/2017 4.88 3 11/1/2012 1/1/2013 4.81 2 12/1/2017 1/1/2018 4.24 2 3/1/2013 4/1/2013 4.23 2 1/1/2012 2/1/2012 4.01 1 7/1/2012 7/1/2012 3.42 1 4/1/2019 4/1/2019 3.26 1 9/1/2016 9/1/2016 3.11 1 6/1/2004 6/1/2004 2.80 1 11/1/2013 11/1/2013 2.58 1 4/1/2011 4/1/2011 2.02 3 12/1/2010 2/1/2011 1.72 1 3/1/2015 3/1/2015 1.71 1 11/1/2015 11/1/2015 1.45 1 4/1/2012 4/1/2012 1.15 1 1/1/2016 1/1/2016 0.91 1 9/1/2003 9/1/2003 0.38 1 10/1/2019 10/1/2019 0.33 1 7/1/2020 7/1/2020 0.28 1 6/1/2006 6/1/2006 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.19 2 7/1/2003 8/1/2003 -11.67 5 8/1/2011 12/1/2011 -10.18 2 6/1/2014 7/1/2014 -9.72 3 2/1/2018 4/1/2018 -9.21 3 4/1/2015 6/1/2015 -9.20 4 2/1/2016 5/1/2016 -9.17 3 4/1/2020 6/1/2020 -8.67 2 7/1/2007 8/1/2007 -7.62 2 5/1/2012 6/1/2012 -7.51 2 5/1/2011 6/1/2011 -5.56 4 3/1/2017 6/1/2017 -5.48 3 8/1/2012 10/1/2012 -5.26 2 5/1/2013 6/1/2013 -5.18 1 1/1/2005 1/1/2005 -5.16 1 9/1/2017 9/1/2017 -4.64 4 10/1/2009 1/1/2010 -4.41 1 9/1/2019 9/1/2019 -4.29 1 10/1/2015 10/1/2015 -4.09 1 8/1/2016 8/1/2016 -3.95 3 8/1/2013 10/1/2013 -3.94 2 10/1/2016 11/1/2016 -3.71 6 6/1/2018 11/1/2018 -3.68 2 4/1/2004 5/1/2004 -3.56 2 11/1/2019 12/1/2019 -3.44 1 3/1/2012 3/1/2012 -3.39 2 4/1/2008 5/1/2008 -3.07 1 5/1/2019 5/1/2019 -2.32 1 8/1/2005 8/1/2005 -2.22 2 10/1/2003 11/1/2003 -2.14 1 2/1/2007 2/1/2007 -2.13 1 12/1/2014 12/1/2014 -2.02 1 2/1/2014 2/1/2014 -1.62 1 12/1/2015 12/1/2015 -1.33 2 6/1/2010 7/1/2010 -1.30 1 2/1/2013 2/1/2013 -1.20 1 12/1/2013 12/1/2013 -1.07 1 2/1/2015 2/1/2015 -1.00 1 5/1/2006 5/1/2006 -0.97 1 3/1/2019 3/1/2019 -0.81 1 7/1/2004 7/1/2004 -0.75 1 7/1/2006 7/1/2006 -0.68 1 11/1/2017 11/1/2017 -0.67 1 11/1/2010 11/1/2010 -0.63 1 3/1/2011 3/1/2011 -0.54 1 8/1/2020 8/1/2020 -0.16 1 2/1/2006 2/1/2006 -0.03 1 4/1/2009 4/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods217.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable59.91100.00100.0033.3388.89100.0097.2291.6796.67 Average Period Return1.164.9613.85-0.319.1718.2222.8018.4726.63 Average Gain3.444.9613.8511.5110.5818.2223.4820.2927.61 Average Loss-2.24-6.22-2.14-1.19-1.49-2.04 Best Period18.686.8222.9814.8429.1243.6560.4361.4479.84 Worst Period-7.402.381.16-9.37-3.190.24-1.19-3.60-2.50 Standard Deviation3.852.309.119.219.8911.3816.9917.3620.47 Gain Standard Deviation3.112.309.113.359.5611.3816.7317.0020.10 Loss Standard Deviation1.822.981.481.480.65 Sharpe Ratio (1%)0.282.041.47-0.140.781.421.160.831.05 Average Gain / Average Loss1.541.854.9419.7313.6413.55 Profit / Loss Ratio2.300.9339.49690.64150.05393.02 Downside Deviation (10%)2.030.539.444.482.557.1412.8313.01 Downside Deviation (5%)1.866.321.290.360.941.931.46 Downside Deviation (0%)1.825.570.800.200.570.38 Sortino Ratio (10%)0.3721.28-0.560.353.130.99-0.24-0.08 Sortino Ratio (5%)0.58-0.215.9345.0021.077.4714.75 Sortino Ratio (0%)0.64-0.0611.53114.9432.5669.83 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 10 2.38 1/2021 Diversified Trader Index Month 9 3.03 9/2020 Trend Following Strategy Index Month 3 3.03 9/2020 Trend Following Strategy Index Month 2 7.02 1/2020 IASG CTA Index Month 5 7.02 1/2020 Systematic Trader Index Month 5 7.02 1/2020 Diversified Trader Index Month 5 7.02 1/2020 Trend Following Strategy Index Month 9 0.38 10/2019 IASG CTA Index Month 8 8.43 6/2019 Trend Following Strategy Index Month 5 8.43 6/2019 Diversified Trader Index Month 10 8.43 6/2019 Diversified Trader Index Month 2 9.97 1/2019 Trend Following Strategy Index Month 1 9.97 1/2019 Systematic Trader Index Month 1 9.97 1/2019 IASG CTA Index Month 2 9.97 1/2019 Trend Following Strategy Index Month 2 6.12 5/2018 IASG CTA Index Month 3 6.12 5/2018 Systematic Trader Index Month 2 6.12 5/2018 Diversified Trader Index Month 2 6.12 5/2018 Trend Following Strategy Index Month 9 3.34 12/2017 Trend Following Strategy Index Month 8 4.04 8/2017 Trend Following Strategy Index Month 8 5.84 7/2017 Systematic Trader Index Month 8 5.84 7/2017 IASG CTA Index Month 9 5.84 7/2017 Diversified Trader Index Month 9 5.84 7/2017 Trend Following Strategy Index Month 9 3.34 2/2017 Trend Following Strategy Index Month 3 1.96 1/2017 IASG CTA Index Month 5 5.72 12/2016 Systematic Trader Index Month 4 5.72 12/2016 Diversified Trader Index Month 4 5.72 12/2016 Trend Following Strategy Index Month 3 5.72 12/2016 Trend Following Strategy Index Month 6 3.26 9/2016 Diversified Trader Index Month 10 3.26 9/2016 Diversified Trader Index Month 10 4.84 7/2016 Trend Following Strategy Index Month 6 4.84 7/2016 IASG CTA Index Month 9 4.84 7/2016 IASG CTA Index Month 9 5.26 4/2014 Diversified Trader Index Month 8 5.26 4/2014 Trend Following Strategy Index Month 6 5.26 4/2014 Systematic Trader Index Month 7 5.26 4/2014 Trend Following Strategy Index Month 7 3.86 3/2014 Diversified Trader Index Month 8 6.30 1/2014 Trend Following Strategy Index Month 4 6.30 1/2014 Systematic Trader Index Month 9 6.30 1/2014 IASG CTA Index Month 10 7.07 7/2013 Trend Following Strategy Index Month 7 7.07 7/2013 Systematic Trader Index Month 7 7.07 7/2013 Diversified Trader Index Month 6 7.07 7/2013 IASG CTA Index 5 Year 4 221.21 2004 - 2009 IASG CTA Index 5 Year 2 326.90 2003 - 2008 IASG CTA Index 3 Year 6 161.38 2005 - 2008 Trend Following Strategy Index Month 8 10.99 9/2008 Diversified Trader Index Month 10 10.99 9/2008 Systematic Trader Index Month 10 10.99 9/2008 Trend Following Strategy Index Month 6 1.52 7/2008 Trend Following Strategy Index Month 3 18.68 10/2007 IASG CTA Index Month 3 18.68 10/2007 Systematic Trader Index Month 3 18.68 10/2007 Diversified Trader Index Month 3 18.68 10/2007 Trend Following Strategy Index Month 10 0.53 3/2007 IASG CTA Index 3 Year 6 93.68 2003 - 2006 Trend Following Strategy Index Month 8 -0.75 7/2006 Trend Following Strategy Index Month 9 1.17 4/2005 IASG CTA Index Annual 7 37.15 2004 Systematic Trader Index Month 4 5.39 12/2004 IASG CTA Index Month 5 5.39 12/2004 Diversified Trader Index Month 4 5.39 12/2004 Trend Following Strategy Index Month 4 5.39 12/2004 Diversified Trader Index Month 2 3.11 6/2004 Systematic Trader Index Month 3 3.11 6/2004 Trend Following Strategy Index Month 2 3.11 6/2004 IASG CTA Index Month 7 3.11 6/2004 Trend Following Strategy Index Month 8 -1.72 4/2004 Trend Following Strategy Index Month 9 5.80 3/2004 Diversified Trader Index Month 10 5.80 3/2004 Systematic Trader Index Month 10 5.80 3/2004 IASG CTA Index Month 8 5.16 1/2004 Diversified Trader Index Month 6 5.16 1/2004 Systematic Trader Index Month 5 5.16 1/2004 Trend Following Strategy Index Month 4 5.16 1/2004 Trend Following Strategy Index Month 1 5.21 6/2003 Diversified Trader Index Month 1 5.21 6/2003 IASG CTA Index Month 2 5.21 6/2003 Systematic Trader Index Month 1 5.21 6/2003 Trend Following Strategy Index Month 7 6.20 4/2003 Systematic Trader Index Month 8 6.20 4/2003 Diversified Trader Index Month 9 6.20 4/2003 Diversified Trader Index Month 7 0.00 3/2003 Trend Following Strategy Index Month 6 0.00 3/2003 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