Turning Wheel Capital, Inc. : Pure Alpha

archived programs
Year-to-Date
N / A
Oct Performance
0.15%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
5.83%
Sharpe (RFR=1%)
0.07
CAROR
1.27%
Assets
$ 2.0M
Worst DD
-20.80
S&P Correlation
-0.08

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
1/2012
Pure Alpha 0.15 0.30 - 7.49 -10.55 -4.72 - 9.01
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 - 104.54
+/- S&P 500 7.09 4.01 - 2.19 -39.65 -57.54 - -95.52

Strategy Description

Summary

Short-term, quantitative, systematic managed futures program, traded across four major market sectors (Equity, Energy, Currency, Interest Rate)... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 10,000k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$5.00
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
4000 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
Worst Peak-to-Trough
3.81%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
25.00%
Intraday
75.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Other
50.00%
Strategy Pie Chart

Composition

Summary

Short-term, quantitative, systematic managed futures program, traded across four major market sectors (Equity, Energy, Currency, Interest Rate)

Investment Strategy

Pure Alpha trades multiple unique systems across strategies (momentum, counter-trend, specialty), directions, sub-24 hour timeframes, and volatility environments. This strategy is geared to generate alpha through ever-changing market conditions and inter-market correlation reversals. Peak Alpha aims to provide a genuinely non-correlated product with predictable returns that has no underlying bias.

Risk Management

Multi-layered at development-level, execution-level, and portfolio-level. Strategy includes per-trade, per-day, per-week and per-month loss limits. Methodology seeks to limit a variety of risks including: streak risk, gap risk, correlation events, market cycle risk. The offered program is for consideration of qualified eligible persons ("QEPs") only, and such persons are defined in the CFTC rule 4.7(a), and the Advisor will comply with the applicable requirements of R.4.7. The performance results have been adjusted to reflect a monthly asset management fee equal to 1/12th of 1% (1% per annum) and a quarterly performance fee in an amount equal to twenty-five percent (25%). PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. COMMODITY TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION.

   

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
-20.80 31 - 2/1/2015 9/1/2017
-3.81 5 2 6/1/2013 11/1/2013
-3.26 2 2 7/1/2012 9/1/2012
-2.30 1 1 4/1/2013 5/1/2013
-1.29 1 2 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
13.47 7 10/1/2012 4/1/2013
8.50 9 12/1/2013 8/1/2014
7.66 7 1/1/2012 7/1/2012
7.14 1 2/1/2018 2/1/2018
4.93 5 10/1/2014 2/1/2015
3.73 2 7/1/2018 8/1/2018
2.96 2 11/1/2015 12/1/2015
2.59 1 6/1/2013 6/1/2013
1.58 2 3/1/2016 4/1/2016
1.39 1 3/1/2017 3/1/2017
0.70 2 12/1/2016 1/1/2017
0.67 1 7/1/2015 7/1/2015
0.60 1 4/1/2015 4/1/2015
0.46 2 8/1/2016 9/1/2016
0.29 1 5/1/2018 5/1/2018
0.15 1 10/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.00 10 4/1/2017 1/1/2018
-5.92 3 5/1/2016 7/1/2016
-3.81 5 7/1/2013 11/1/2013
-3.72 2 10/1/2016 11/1/2016
-3.58 3 8/1/2015 10/1/2015
-3.26 2 8/1/2012 9/1/2012
-2.62 1 2/1/2017 2/1/2017
-2.30 1 5/1/2013 5/1/2013
-1.93 1 6/1/2018 6/1/2018
-1.64 2 5/1/2015 6/1/2015
-1.31 2 3/1/2018 4/1/2018
-1.29 1 9/1/2014 9/1/2014
-1.19 2 1/1/2016 2/1/2016
-0.92 1 3/1/2015 3/1/2015
-0.51 1 9/1/2018 9/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods82.0080.0077.0071.0065.0059.0047.0035.00
Percent Profitable54.8850.0055.8454.9355.3850.8551.0640.00
Average Period Return0.120.350.510.520.00-0.020.36-0.09
Average Gain1.232.954.216.337.7710.6512.5614.23
Average Loss-1.39-2.36-4.15-6.56-9.64-11.06-12.37-9.63
Best Period7.147.1411.9414.2118.4617.8626.3625.48
Worst Period-2.99-7.30-11.00-14.81-19.48-19.17-20.01-14.71
Standard Deviation1.683.245.027.569.9511.9814.4513.07
Gain Standard Deviation1.311.932.663.704.834.768.487.65
Loss Standard Deviation0.851.912.964.264.805.065.423.65
Sharpe Ratio (1%)0.020.030.00-0.06-0.15-0.17-0.19-0.32
Average Gain / Average Loss0.891.251.010.960.810.961.011.48
Profit / Loss Ratio1.211.311.281.181.001.001.060.98
Downside Deviation (10%)1.262.814.848.3512.1715.5020.8125.17
Downside Deviation (5%)1.072.223.655.808.089.8011.4110.96
Downside Deviation (0%)1.032.083.375.227.178.509.427.96
Sortino Ratio (10%)-0.23-0.31-0.40-0.54-0.62-0.66-0.74-0.86
Sortino Ratio (5%)0.030.050.00-0.08-0.19-0.21-0.23-0.38
Sortino Ratio (0%)0.120.170.150.100.000.000.04-0.01

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 3 7.14 2/2018
IASG CTA Index Month 7 7.14 2/2018
Systematic Trader Index Month 10 7.14 2/2018
Stock Index Trader Index Month 9 0.64 10/2014
Stock Index Trader Index Month 7 2.95 1/2014
Stock Index Trader Index Month 10 2.59 6/2013
Stock Index Trader Index Month 6 3.10 2/2013
Stock Index Trader Index Month 3 4.09 11/2012

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