Turning Wheel Capital, Inc. : Max Alpha

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-4.98%
Min Investment
$ 0k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
49.59%
Sharpe (RFR=1%)
0.77
CAROR
31.73%
Assets
$ 0k
Worst DD
-64.01
S&P Correlation
-0.10

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
Max Alpha -4.98 - - - - - 30.57 237.74
S&P 500 0.85 - - - - - 9.52 119.55
+/- S&P 500 -5.83 - - - - - 21.04 118.19

Strategy Description

Summary

Max Alpha was a 50% discretionary 50% systematic trading program using very aggressive leverage, with hold times of 1 day to several weeks. At the end of 2011, Turning Wheel Capital made a strategic decision to cease all discretionary and highly leveraged trading. As of January 1,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.50
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 19%
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 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Max Alpha was a 50% discretionary 50% systematic trading program using very aggressive leverage, with hold times of 1 day to several weeks. At the end of 2011, Turning Wheel Capital made a strategic decision to cease all discretionary and highly leveraged trading. As of January 1, 2012, all alpha-generation efforts have been focused into its flagship product, Pure Alpha. Pure Alpha is 100% systematic, quantitative and short-term. The volatility and margin/equity of Pure Alpha is approximately one-ninth that of Max Alpha. Please click on the Pure Alpha link for performance and strategy description.

   

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
-64.01 13 - 9/1/2009 10/1/2010
-22.98 2 3 12/1/2007 2/1/2008
-18.98 2 3 4/1/2009 6/1/2009
-10.48 1 2 12/1/2008 1/1/2009
-3.18 1 1 5/1/2008 6/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
271.11 5 8/1/2007 12/1/2007
62.17 6 7/1/2008 12/1/2008
38.36 3 3/1/2008 5/1/2008
28.03 3 2/1/2009 4/1/2009
24.64 3 7/1/2009 9/1/2009
24.17 1 5/1/2011 5/1/2011
23.21 3 1/1/2011 3/1/2011
17.45 2 8/1/2011 9/1/2011
10.76 1 11/1/2010 11/1/2010
8.10 1 11/1/2011 11/1/2011
7.98 2 11/1/2009 12/1/2009
3.56 1 8/1/2010 8/1/2010
2.49 1 6/1/2010 6/1/2010
0.32 1 2/1/2010 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.70 2 9/1/2010 10/1/2010
-29.18 3 3/1/2010 5/1/2010
-22.98 2 1/1/2008 2/1/2008
-21.50 1 10/1/2011 10/1/2011
-19.40 1 10/1/2009 10/1/2009
-18.98 2 5/1/2009 6/1/2009
-14.28 2 6/1/2011 7/1/2011
-10.48 1 1/1/2009 1/1/2009
-6.67 1 7/1/2010 7/1/2010
-4.98 1 12/1/2011 12/1/2011
-4.82 1 4/1/2011 4/1/2011
-3.18 1 6/1/2008 6/1/2008
-0.90 1 1/1/2010 1/1/2010
-0.28 1 12/1/2010 12/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable62.2656.8660.4257.1441.6740.0050.00
Average Period Return3.289.5915.1929.2336.5339.4527.27
Average Gain11.6228.1239.9575.58138.19156.7877.27
Average Loss-10.49-14.83-22.59-32.57-36.09-38.77-22.72
Best Period43.76122.77227.28323.48455.85479.65321.23
Worst Period-26.51-38.59-46.78-55.34-63.65-53.99-45.61
Standard Deviation14.3132.7646.5682.06119.34135.7194.20
Gain Standard Deviation10.6731.7844.0581.16127.78152.33114.09
Loss Standard Deviation6.9810.5112.2015.9214.3914.3914.73
Sharpe Ratio (1%)0.220.290.320.340.290.280.26
Average Gain / Average Loss1.111.901.772.323.834.043.40
Profit / Loss Ratio1.832.502.703.092.742.703.40
Downside Deviation (10%)7.8912.5217.4526.6035.0539.4829.38
Downside Deviation (5%)7.7211.9816.3324.2030.6533.3920.69
Downside Deviation (0%)7.6811.8516.0623.6029.5831.9218.83
Sortino Ratio (10%)0.360.670.730.910.830.740.39
Sortino Ratio (5%)0.410.780.901.171.141.121.17
Sortino Ratio (0%)0.430.810.951.241.241.241.45

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.