Six Alpha Capital Advisors, LLC : Six Alpha ES Program

Year-to-Date
9.15%
Jun Performance
0.41%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
14.30%
Sharpe (RFR=1%)
0.69
CAROR
-
Assets
$ 500k
Worst DD
-5.65
S&P Correlation
-0.31

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Six Alpha ES Program 0.41 1.86 9.15 14.31 - - - 12.32
S&P 500 1.84 19.95 -4.04 5.39 - - - 12.65
+/- S&P 500 -1.43 -18.10 13.19 8.92 - - - -0.34

Strategy Description

Summary

The Six Alpha ES Program is a systematic multi-strategy stock index trading program designed to generate excess return during heightened market volatility.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 4.00
Management Fee 1.50%
Performance Fee 15.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1400 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 2.00%
1-30 Days 13.00%
Intraday 85.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Momentum
65.00%
Option-purchasing
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Six Alpha ES Program is a systematic multi-strategy stock index trading program designed to generate excess return during heightened market volatility.

Investment Strategy

The Six Alpha ES Program is a systematic multi-strategy stock index trading program designed to generate excess return during heightened market volatility. The ES Program combines multiple stock index trading strategies which create multi-dimensional diversification over traded time-frame, direction, and model type. All program strategies are dynamically allocated risk capital based on a proprietary heuristic portfolio optimization algorithm.

Risk Management

The Six Alpha ES Program and each of its trading strategies’ aggregate risk capital is controlled by a risk control algorithm which adapts to recent market and program activity to maintain a preset level of annualized volatility.

   

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
-5.65 6 1 8/1/2019 2/1/2020
-2.26 3 1 1/1/0001 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.13 4 3/1/2020 6/1/2020
5.79 1 8/1/2019 8/1/2019
0.48 1 6/1/2019 6/1/2019
0.31 2 10/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.37 3 12/1/2019 2/1/2020
-2.21 1 5/1/2019 5/1/2019
-0.60 1 9/1/2019 9/1/2019
-0.53 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable57.1466.6788.89
Average Period Return0.913.345.07
Average Gain2.686.096.41
Average Loss-1.46-2.15-5.65
Best Period13.0314.669.15
Worst Period-4.65-5.37-5.65
Standard Deviation4.135.544.54
Gain Standard Deviation4.604.482.25
Loss Standard Deviation1.722.32
Sharpe Ratio (1%)0.200.561.01
Average Gain / Average Loss1.842.841.13
Profit / Loss Ratio2.455.679.07
Downside Deviation (10%)1.602.292.71
Downside Deviation (5%)1.441.802.05
Downside Deviation (0%)1.401.701.88
Sortino Ratio (10%)0.310.920.96
Sortino Ratio (5%)0.571.722.23
Sortino Ratio (0%)0.651.972.69

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.