Year-to-Date
N/A
Minimum Investment
2,000,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 6.88%
Sharpe (RFR=1%) -0.04
CAROR 0.49%
Assets 24,000,000
Worst Drawdown -10.39
S&P Correlation -0.18

Summary

-CRISTL COMPOSITE operates on intraday data and places trades with an average holding period of about 12 hours. The system as such is trend-following by nature, but the higher frequency of trading enables it to trade at more robustness, which is reflected in higher return/risk figures than usually achievable on daily data. Execution and slippage are crucial on this short-term trading level and are monitored at high accuracy. Trading is still done by human traders in order to control slippage in a better way than purely mechanical systems can usually achieve. Since the time horizon of trades is several hours we allow entering the market within five minutes. This enables the trader to trade at better prices than he would, if the system wanted to get into the market with the whole amount of contracts immediately. Intraday trading requires liquid markets. Positions are only kept overnight if they performed positively until the close of the session. The approach is completely systematic using price data only. CRISTL COMPOSITE uses the same trading program for all 13 markets.