Taylor Growth : Alpine Meadow

archived programs
Year-to-Date
N / A
Jan Performance
0.84%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.71%
Sharpe (RFR=1%)
0.72
CAROR
13.61%
Assets
$ 640k
Worst DD
-20.10
S&P Correlation
-0.07

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
9/2010
Alpine Meadow 0.84 - - - - - 14.07 36.12
S&P 500 5.04 - - - - - 75.05 183.58
+/- S&P 500 -4.20 - - - - - -60.98 -147.46

Strategy Description

Investment Strategy

ALPINE MEADOW is a short term spot currency hybrid trading program that trades the major Forex pairs and the cross pairs utilizing dual strategies of 1.) discretionary rule-based pattern recognition and, 2.) discretionary trading that relies on technical and fundamental... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency 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 70.00%
Systematic 30.00%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Investment Strategy

ALPINE MEADOW is a short term spot currency hybrid trading program that trades the major Forex pairs and the cross pairs utilizing dual strategies of 1.) discretionary rule-based pattern recognition and, 2.) discretionary trading that relies on technical and fundamental analysis. The rule-based discretionary trading system is based on pattern recognition, and proprietary trade rules. Most of these manual trades are short term trades that close usually within 3 days, with a minority becoming medium term trades lasting 2 - 4 weeks. New discretionary trades are placed when proprietary trading rules are met or to manage existing positions. In the technical and fundamental discretionary strategy, new discretionary trades are placed when technical indicators or fundamental analysis identify a new trading opportunity, or to manage existing positions. Past performance is not an indicator of future performance, and only risk capital should be invested in this program. The program consists of 80% short term trades lasting from 1 - 3 days and 20% medium term trades lasting between 2 - 4 weeks.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-20.10 6 9 10/1/2010 4/1/2011
-2.44 1 - 11/1/2012 12/1/2012
-1.23 1 1 8/1/2012 9/1/2012
-1.14 1 1 1/1/2012 2/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
22.51 6 8/1/2011 1/1/2012
19.33 1 10/1/2010 10/1/2010
14.72 6 3/1/2012 8/1/2012
9.27 1 3/1/2011 3/1/2011
7.71 2 5/1/2011 6/1/2011
1.30 2 10/1/2012 11/1/2012
0.84 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.27 4 11/1/2010 2/1/2011
-10.53 1 4/1/2011 4/1/2011
-3.09 1 7/1/2011 7/1/2011
-2.44 1 12/1/2012 12/1/2012
-1.23 1 9/1/2012 9/1/2012
-1.14 1 2/1/2012 2/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable65.5274.0770.8394.44100.00
Average Period Return1.203.106.9718.9829.23
Average Gain3.846.3712.4220.3529.23
Average Loss-4.22-6.24-6.26-4.29
Best Period19.3314.7522.5137.2845.04
Worst Period-10.53-15.54-20.10-4.296.66
Standard Deviation5.407.3610.6212.4611.39
Gain Standard Deviation4.324.455.7311.3611.39
Loss Standard Deviation3.215.867.49
Sharpe Ratio (1%)0.210.390.611.442.43
Average Gain / Average Loss0.911.021.984.74
Profit / Loss Ratio1.922.924.8180.62
Downside Deviation (10%)3.084.716.032.260.27
Downside Deviation (5%)2.934.315.231.25
Downside Deviation (0%)2.904.215.051.01
Sortino Ratio (10%)0.260.400.756.1780.56
Sortino Ratio (5%)0.380.661.2414.42
Sortino Ratio (0%)0.420.741.3818.77

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.