Salus Alpha Capital Ltd : Salus Alpha Directional Markets (DMX)

Year-to-Date
9.97%
Jan Performance
9.97%
Min Investment
$ 1,000k
Mgmt. Fee
1.25%
Perf. Fee
20.00%
Annualized Vol
13.41%
Sharpe (RFR=1%)
0.92
CAROR
13.28%
Assets
$ 100.0M
Worst DD
-19.86
S&P Correlation
-0.03

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
3/2003
Salus Alpha Directional Markets (DMX) 9.97 9.38 9.97 1.46 15.91 34.65 43.79 627.26
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 224.06 215.54
+/- S&P 500 2.10 9.66 2.10 5.70 -22.05 -15.51 -180.27 411.72

Strategy Description

Summary

The 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
$ 1,000k
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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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 Strategy

A 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 Management

Detailed 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.

   

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
-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
-8.67 2 2 6/1/2007 8/1/2007
-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
-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
-0.67 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
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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
16.86 5 8/1/2004 12/1/2004
16.40 4 8/1/2014 11/1/2014
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
11.39 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
9.98 2 12/1/2018 1/1/2019
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
3.26 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
0.28 1 6/1/2006 6/1/2006
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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
-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
-4.29 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
-3.44 1 3/1/2012 3/1/2012
-3.39 2 4/1/2008 5/1/2008
-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
-0.81 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
-0.16 1 2/1/2006 2/1/2006
-0.03 1 4/1/2009 4/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods191.00189.00186.00180.00174.00168.00156.00144.00132.00
Percent Profitable59.1668.7872.5880.0080.4682.7483.3390.2898.48
Average Period Return1.123.186.2913.6721.8430.7050.5174.62101.43
Average Gain3.416.2810.1918.7828.9238.7761.9283.00103.01
Average Loss-2.21-3.65-4.02-6.76-7.30-7.96-6.54-3.16-1.66
Best Period18.6832.8251.9967.11110.80127.20166.82242.07352.53
Worst Period-7.40-11.39-10.46-13.34-19.86-17.22-12.97-6.56-3.16
Standard Deviation3.877.2010.3117.4526.1034.6953.4175.71101.42
Gain Standard Deviation3.166.399.3615.7024.1532.7251.3775.01101.38
Loss Standard Deviation1.862.813.053.695.335.593.451.902.12
Sharpe Ratio (1%)0.270.410.560.730.780.830.890.930.95
Average Gain / Average Loss1.541.722.542.783.964.879.4726.2962.17
Profit / Loss Ratio2.243.796.7211.1116.3123.3447.33244.144041.10
Downside Deviation (10%)2.053.153.775.617.158.2510.1110.129.95
Downside Deviation (5%)1.882.682.843.834.534.734.152.351.07
Downside Deviation (0%)1.842.572.633.433.974.023.011.140.28
Sortino Ratio (10%)0.350.621.011.541.992.483.445.247.42
Sortino Ratio (5%)0.551.092.043.304.496.0611.4429.9990.05
Sortino Ratio (0%)0.611.242.393.985.507.6416.8065.60368.49

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 6.12 5/2018
Systematic Trader Index Month 2 6.12 5/2018
Diversified Trader Index Month 2 6.12 5/2018
IASG CTA Index Month 3 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
Diversified Trader Index Month 9 5.84 7/2017
Systematic Trader Index Month 8 5.84 7/2017
IASG CTA 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
Trend Following Strategy Index Month 3 5.72 12/2016
Systematic Trader Index Month 4 5.72 12/2016
Diversified Trader Index Month 4 5.72 12/2016
IASG CTA Index Month 5 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
Systematic Trader Index Month 7 5.26 4/2014
Trend Following Strategy Index Month 6 5.26 4/2014
Trend Following Strategy Index Month 7 3.86 3/2014
Diversified Trader Index Month 8 6.30 1/2014
Systematic Trader Index Month 9 6.30 1/2014
Trend Following Strategy Index Month 4 6.30 1/2014
IASG CTA Index Month 10 7.07 7/2013
Diversified Trader Index Month 6 7.07 7/2013
Systematic Trader Index Month 7 7.07 7/2013
Trend Following Strategy Index Month 7 7.07 7/2013
IASG CTA Index 5 Year Rolling 4 221.21 2004 - 2009
IASG CTA Index 5 Year Rolling 2 326.90 2003 - 2008
IASG CTA Index 3 Year Rolling 6 161.38 2005 - 2008
Trend Following Strategy Index Month 8 10.99 9/2008
Systematic Trader Index Month 10 10.99 9/2008
Diversified 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 Rolling 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 Year Rolling 7 37.15 2003 - 2004
Trend Following Strategy Index Month 4 5.39 12/2004
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
Systematic Trader Index Month 3 3.11 6/2004
Trend Following Strategy Index Month 2 3.11 6/2004
Diversified Trader 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
Systematic Trader Index Month 10 5.80 3/2004
Trend Following Strategy Index Month 9 5.80 3/2004
Diversified Trader Index Month 10 5.80 3/2004
IASG CTA Index Month 8 5.16 1/2004
Trend Following Strategy Index Month 4 5.16 1/2004
Systematic Trader Index Month 5 5.16 1/2004
Diversified Trader Index Month 6 5.16 1/2004
Trend Following Strategy Index Month 1 5.21 6/2003
Systematic Trader 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
Trend Following Strategy Index Month 7 6.20 4/2003
Diversified Trader Index Month 9 6.20 4/2003
Systematic Trader Index Month 8 6.20 4/2003
Trend Following Strategy Index Month 6 0.00 3/2003
Diversified Trader Index Month 7 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.