Salus Alpha Capital Ltd : Salus Alpha Global Alpha (GAX)

Year-to-Date
14.13%
Oct Performance
-1.86%
Min Investment
$ 1,000k
Mgmt. Fee
1.25%
Perf. Fee
20.00%
Annualized Vol
7.49%
Sharpe (RFR=1%)
1.36
CAROR
11.51%
Assets
$ 50.0M
Worst DD
-13.49
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
3/2003
Salus Alpha Global Alpha (GAX) -1.86 -2.35 14.13 13.86 31.19 38.03 82.72 514.40
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 254.43
+/- S&P 500 -3.90 -4.26 -7.03 1.85 -10.23 -10.96 -107.39 259.98

Strategy Description

Summary

The Global Alpha Strategy trades futures, Equity indices, FX, Volatilty and Fixed income. A proprietary portfolio optimization engine is used to compute an optimal portfolio with predefined risk and return characteristics. The optimizer is targeting pure Alpha by focusing on the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
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
1000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-10.00%
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Other
25.00%
Composition Pie Chart

Summary

The Global Alpha Strategy trades futures, Equity indices, FX, Volatilty and Fixed income. A proprietary portfolio optimization engine is used to compute an optimal portfolio with predefined risk and return characteristics. The optimizer is targeting pure Alpha by focusing on the tail of the drawdown distribution. Strategies implemented include emerging markets vs. developed markets, value vs growth, fixed income vs. equities, etc. The strategy is fully systematic and market neutral. Risk imbalances are neutralized by re-optimizing the book.

Investment Strategy

Targets are to achieve True Diversification in the portfolio by allocating to different, long-only, uncorrelated return sources on an Equal Risk Basis and maintain a Stable Risk Profile over time by using proprietary portfolio optimization engine. For this strategy "Risk" definition is essential. We use a PROPRIETARY "Portfolio Optimization" engine. The Salus Alpha Global Alpha Model calculates millions of target portfolios and with historic NAVs, and selects the portfolio with the best Risk/Return characteristics.

Risk Management

Salus Alpha Global Alpha seeks to improve diversification versus traditional portfolios of Equities and Bonds. Equalize risk across different return sources with positive expected Sharpe ratios - Diversification. Maintain Stable Volatility profile – "VaR Stop Loss" Risk Management  Liquidity – Only the most liquid instruments are traded. Risk/ Return profile of strategy is scalable.

   

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
-13.49 11 14 2/1/2015 1/1/2016
-7.92 2 11 4/1/2013 6/1/2013
-7.91 2 12 1/1/2018 3/1/2018
-7.57 6 5 4/1/2012 10/1/2012
-5.65 2 - 8/1/2019 10/1/2019
-2.55 2 4 11/1/2010 1/1/2011
-2.35 2 1 5/1/2014 7/1/2014
-1.91 1 1 5/1/2017 6/1/2017
-1.57 1 1 1/1/2007 2/1/2007
-1.30 2 1 7/1/2017 9/1/2017
-1.28 2 1 8/1/2014 10/1/2014
-1.22 1 1 11/1/2008 12/1/2008
-1.20 2 2 6/1/2009 8/1/2009
-1.04 1 1 9/1/2010 10/1/2010
-1.03 1 5 5/1/2011 6/1/2011
-0.93 1 1 2/1/2012 3/1/2012
-0.90 1 2 6/1/2010 7/1/2010
-0.81 1 1 3/1/2004 4/1/2004
-0.79 1 1 1/1/0001 3/1/2003
-0.77 1 1 10/1/2004 11/1/2004
-0.74 1 2 3/1/2009 4/1/2009
-0.70 1 1 2/1/2010 3/1/2010
-0.29 1 1 3/1/2017 4/1/2017
-0.24 1 1 12/1/2003 1/1/2004
-0.22 1 1 3/1/2008 4/1/2008
-0.18 1 1 12/1/2004 1/1/2005
-0.15 1 1 6/1/2003 7/1/2003
-0.09 1 1 12/1/2009 1/1/2010
-0.04 1 1 2/1/2005 3/1/2005
-0.04 1 1 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
59.21 22 4/1/2005 1/1/2007
24.03 13 3/1/2007 3/1/2008
19.13 6 3/1/2019 8/1/2019
17.99 7 5/1/2008 11/1/2008
16.65 4 11/1/2014 2/1/2015
12.75 6 11/1/2012 4/1/2013
11.02 6 5/1/2004 10/1/2004
9.43 5 8/1/2003 12/1/2003
8.53 2 4/1/2014 5/1/2014
8.08 4 10/1/2017 1/1/2018
8.02 3 4/1/2003 6/1/2003
6.83 2 11/1/2016 12/1/2016
6.68 3 4/1/2010 6/1/2010
6.45 1 8/1/2014 8/1/2014
6.41 2 2/1/2004 3/1/2004
5.22 2 11/1/2011 12/1/2011
4.56 2 6/1/2016 7/1/2016
4.52 5 4/1/2018 8/1/2018
4.32 2 2/1/2017 3/1/2017
4.18 2 1/1/2014 2/1/2014
3.63 4 9/1/2009 12/1/2009
3.50 1 5/1/2017 5/1/2017
3.48 1 2/1/2005 2/1/2005
3.42 4 2/1/2011 5/1/2011
2.95 1 7/1/2013 7/1/2013
2.74 3 1/1/2009 3/1/2009
2.73 3 2/1/2016 4/1/2016
2.51 1 2/1/2010 2/1/2010
2.32 1 7/1/2017 7/1/2017
2.30 2 5/1/2009 6/1/2009
1.68 1 1/1/2019 1/1/2019
1.54 1 11/1/2010 11/1/2010
1.54 3 9/1/2013 11/1/2013
1.41 2 8/1/2010 9/1/2010
1.12 1 12/1/2004 12/1/2004
0.94 1 4/1/2012 4/1/2012
0.92 1 7/1/2011 7/1/2011
0.58 1 11/1/2015 11/1/2015
0.47 1 9/1/2016 9/1/2016
0.27 1 2/1/2012 2/1/2012
0.12 2 6/1/2012 7/1/2012
0.09 1 9/1/2011 9/1/2011
0.07 1 10/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.77 8 3/1/2015 10/1/2015
-7.92 2 5/1/2013 6/1/2013
-7.91 2 2/1/2018 3/1/2018
-5.65 2 9/1/2019 10/1/2019
-4.78 3 8/1/2012 10/1/2012
-3.04 1 5/1/2012 5/1/2012
-2.87 1 10/1/2016 10/1/2016
-2.55 2 12/1/2010 1/1/2011
-2.40 1 9/1/2018 9/1/2018
-2.35 2 6/1/2014 7/1/2014
-1.91 1 6/1/2017 6/1/2017
-1.82 1 3/1/2014 3/1/2014
-1.57 1 2/1/2007 2/1/2007
-1.40 2 12/1/2015 1/1/2016
-1.34 1 12/1/2013 12/1/2013
-1.30 2 8/1/2017 9/1/2017
-1.28 2 9/1/2014 10/1/2014
-1.22 1 12/1/2008 12/1/2008
-1.20 2 7/1/2009 8/1/2009
-1.04 1 10/1/2010 10/1/2010
-1.03 1 6/1/2011 6/1/2011
-0.93 1 3/1/2012 3/1/2012
-0.90 1 7/1/2010 7/1/2010
-0.81 1 4/1/2004 4/1/2004
-0.79 1 3/1/2003 3/1/2003
-0.77 1 11/1/2004 11/1/2004
-0.74 1 4/1/2009 4/1/2009
-0.71 1 8/1/2013 8/1/2013
-0.70 1 3/1/2010 3/1/2010
-0.46 1 1/1/2017 1/1/2017
-0.33 1 8/1/2016 8/1/2016
-0.29 1 4/1/2017 4/1/2017
-0.24 1 1/1/2004 1/1/2004
-0.24 2 11/1/2018 12/1/2018
-0.22 1 4/1/2008 4/1/2008
-0.21 1 5/1/2016 5/1/2016
-0.18 1 1/1/2005 1/1/2005
-0.16 1 10/1/2011 10/1/2011
-0.15 1 7/1/2003 7/1/2003
-0.14 1 2/1/2019 2/1/2019
-0.09 1 8/1/2011 8/1/2011
-0.09 1 1/1/2010 1/1/2010
-0.04 1 1/1/2012 1/1/2012
-0.04 1 3/1/2005 3/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods200.00198.00195.00189.00183.00177.00165.00153.00141.00
Percent Profitable68.5080.3082.0588.8992.3596.05100.00100.00100.00
Average Period Return0.932.915.8611.7618.0824.9440.0855.2571.97
Average Gain1.934.277.8613.7719.8326.0340.0855.2571.97
Average Loss-1.23-2.65-3.31-4.29-2.98-1.36
Best Period8.3116.3122.2437.0950.2864.6996.17138.91182.41
Worst Period-6.82-8.37-11.71-13.24-7.57-3.812.725.2721.36
Standard Deviation2.163.966.2410.0314.0418.4329.6141.6252.68
Gain Standard Deviation1.713.004.798.6713.1617.9929.6141.6252.68
Loss Standard Deviation1.272.103.083.802.551.39
Sharpe Ratio (1%)0.390.670.861.071.181.241.251.231.27
Average Gain / Average Loss1.571.612.383.216.6519.08
Profit / Loss Ratio3.416.5610.8725.6980.32463.36
Downside Deviation (10%)1.161.972.803.523.463.373.003.211.70
Downside Deviation (5%)1.021.582.062.151.420.730.03
Downside Deviation (0%)0.991.491.901.891.070.37
Sortino Ratio (10%)0.450.851.211.923.034.368.1110.5026.08
Sortino Ratio (5%)0.831.682.605.0011.6931.421464.89
Sortino Ratio (0%)0.941.953.086.2216.9166.92

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 9 6.78 6/2019
IASG CTA Index Sharpe 9 1.36 2017 - 2018
Diversified Trader Index Month 10 2.68 4/2018
Diversified Trader Index Month 10 2.68 4/2018
IASG CTA Index Month 10 2.71 3/2017
Diversified Trader Index Month 6 2.71 3/2017
Systematic Trader Index Month 8 2.71 3/2017
IASG CTA Index Sharpe 10 1.52 2014 - 2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.