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CTA Profile Report
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| Alpha Capital Management (Sample Report) | Diversified | |
| Marketing Contact: Mr Smith | Phone #: 111-666-1111 Fax #: 222-222-8888 | |
| 123 Main Street | Email: info@alpha-info.com | |
| Suite #A | Website: www.alpha-info.com | |
| Any town CA 13101 | Source: D-Doc/CTA-Info | |
| USA | Data Start: Jan-1994 Last Data: Jan-2005 |
| Program Information | |||||||
| Start Date | Jan-1988 | Accepting Accts | Registered CTA | Accredited Only | |||
| Minimum Account | 2,000,000 | Pool Available | RIA | QEP's Only | |||
| Accepts Notional | Public Pool | Other Registration | Offshore Only | ||||
| Notional Minimum | 50% | Private Pool | Other Restrictions | ||||
| Incentive Fee: | 20% | Managed Account | NFA Member | ||||
| Management Fee: | 2% | Futures Fund | NASD Member | 4.7 Exempt | |||
| Margin/Equity | 20% | Hedge Fund | SFA Member | Reg D | |||
| RT per $M | 1700 | Index | Other Member | Other Exemptions | |||
| Trading Methodolgy & Style | |||||||||||||||||
| Systematic | 99% | Breakout | Long-Term | Trend Follower | Spreads | ||||||||||||
| Discretionary | 1% | Momentum | Mid-Term | Non-Trend | Options | ||||||||||||
| Volatility Based | Short-Term | Contrarian | Other | ||||||||||||||
| Fundamental | Pattern Recog. | Daytrade | Arbitrage | ||||||||||||||
| Technical | Other Method | Multi-Term | Discretionary | ||||||||||||||
| Sector Information | |||||||||||||||||
| US Markets | Futures | Stock Index | Softs | ||||||||||||||
| Offshore Markets | Forex | Interest Rates | Meats | ||||||||||||||
| Global Markets | Options | Currencies | Globex | ||||||||||||||
| Cash | Metals | EFP's | |||||||||||||||
| Diversified | Energy | Cross-Rates | |||||||||||||||
| Sector Specific | Grains | Other Markets | |||||||||||||||
| Description | |||||||||||||
| Alpha's trading methodology is a systematic long-term trend-following approach implementing filtering techniques that avoid trends with adverse risk/reward characteristics. While their goal is capturing long-term trends, the system only enters the market during periods when the risk/reward of a trade is heavily in their favor. Their system avoids trends that statistically have a positive expectation, but have unacceptable risk characteristics. Four sub-systems are used to add some diversification and reduce slippage costs. Alpha’s portfolio contains 51 markets covering the grain, soft, meat, energy, metal, currency, and interest rate sectors. The markets are weighted so that their overall exposure is 60% commodity-based and 40% financial-based. | |||||||||||||
| Annual Performance | |||||||||||||||||
| 1994 | 1995 | 1996 | 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | Average | |||||
| Annual Return | 24.22% | 6.12% | -0.42% | 10.88% | 4.39% | 4.76% | 13.54% | 19.16% | 21.51% | 74.66% | 15.64% | -5.53% | 15.75% | ||||
| Growth of 1000 | 1,242 | 1,318 | 1,313 | 1,455 | 1,519 | 1,592 | 1,807 | 2,154 | 2,617 | 4,571 | 5,286 | 4,993 | |||||
| Max. Runup | 39.56% | 22.49% | 32.47% | 14.91% | 23.24% | 23.20% | 26.87% | 38.74% | 30.68% | 74.66% | 16.26% | 0.00% | 28.59% | ||||
| Max. Drawdown | -10.99% | -21.02% | -19.69% | -12.05% | -14.34% | -15.17% | -17.00% | -14.11% | -11.81% | -14.71% | -12.37% | -5.53% | -14.07% | ||||
| Risk/Return Analysis | |||||||||||||||||
| Risk Table | Month | Quarter | Annualized | Growth of 1000 Dollars | |||||||||||||
| Compounded ROR | 1.22% | 3.69% | 15.61% | ||||||||||||||
| Arithmetic Mean | 1.51% | 4.40% | |||||||||||||||
| Standard Deviation | 7.78% | 11.00% | 26.96% | ||||||||||||||
| Semi Deviation | 7.05% | 9.19% | 24.40% | ||||||||||||||
| Gain Deviation | 5.71% | 9.26% | 19.77% | ||||||||||||||
| Loss Deviation | 3.65% | 4.21% | 12.65% | ||||||||||||||
| Down Dev.(10.00%) | 4.70% | 5.55% | 16.27% | ||||||||||||||
| Down Dev.(5.00%) | 4.47% | 4.88% | 15.50% | ||||||||||||||
| Down Dev.(0.00%) | 4.25% | 4.24% | 14.72% | ||||||||||||||
| Sharpe(5.00%) | 0.14 | 0.29 | 0.49 | ||||||||||||||
| Sortino(10.00%) | 0.09 | 0.23 | 0.31 | ||||||||||||||
| Sortino(5.00%) | 0.18 | 0.51 | 0.63 | ||||||||||||||
| Sortino(0%) | 0.29 | 0.87 | 0.99 | ||||||||||||||
| Sterling Ratio | 1.44 | ||||||||||||||||
| Calmar Ratio | 2.25 | ||||||||||||||||
| Losing Streak | -6.03% | ||||||||||||||||
| Monthly Performance | |||||||||||||
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
| 2005 | -5.53% | -5.53% | |||||||||||
| 2004 | 0.47% | 8.38% | 0.90% | -6.22% | 2.53% | 1.37% | 6.70% | -12.37% | 7.84% | 4.48% | 3.05% | -0.53% | 15.64% |
| 2003 | 24.18% | 13.18% | -4.73% | 2.02% | 5.59% | -7.06% | -4.86% | -3.54% | 7.02% | 22.09% | -0.03% | 8.69% | 74.66% |
| 2002 | -1.73% | 1.33% | -6.62% | 4.99% | 1.51% | 7.75% | -3.97% | 9.86% | 3.29% | -10.19% | -1.80% | 18.41% | 21.51% |
| 2001 | 2.28% | 2.99% | 15.17% | -10.20% | 5.13% | 4.47% | -2.85% | 4.89% | 9.28% | 4.13% | -13.68% | -0.50% | 19.16% |
| 2000 | 8.02% | -9.05% | -4.16% | 5.48% | -2.58% | -2.19% | -5.26% | 11.76% | -4.53% | 9.51% | 8.58% | -0.18% | 13.54% |
| 1999 | -11.56% | 13.35% | -9.43% | 7.52% | -6.09% | -0.68% | -0.83% | 3.12% | 0.99% | -9.57% | 13.64% | 8.41% | 4.76% |
| 1998 | -0.90% | 4.09% | -4.45% | -4.45% | 2.61% | -2.34% | -0.83% | 23.24% | -3.33% | -11.39% | 0.94% | 4.67% | 4.39% |
| 1997 | 5.28% | 9.15% | -1.50% | -5.16% | -1.32% | 0.38% | 4.11% | -8.08% | 4.95% | -5.37% | 2.10% | 7.46% | 10.88% |
| 1996 | -6.85% | -13.78% | 9.66% | 14.27% | -9.41% | 1.52% | -6.30% | -3.34% | 6.03% | 16.84% | 2.45% | -6.41% | -0.42% |
| 1995 | -7.91% | 1.24% | 6.63% | 4.73% | 8.22% | 0.11% | -8.75% | -5.34% | -1.84% | -6.67% | -0.19% | 19.11% | 6.12% |
| 1994 | -1.45% | -4.16% | 2.87% | -8.39% | 15.01% | 1.47% | 0.98% | -7.38% | 5.05% | 5.43% | 14.24% | 1.06% | 24.22% |
| Drawdown Analysis | Consecutive Profitable Periods | Consecutive Losing Periods | ||||||||||
| % Depth | Prior Peak | Valley | Length | Recovery | Run-up | Length | Start Date | End Date | Run-down | Length | Start Date | End Date |
| -24.44% | Jun-95 | Feb-96 | 8 | 9 | 66.42% | 3 | Dec-02 | Feb-03 | -21.02% | 5 | Jul-95 | Nov-95 |
| -23.04% | Aug-98 | Oct-99 | 14 | 3 | 33.08% | 3 | Nov-99 | Jan-00 | -19.69% | 2 | Jan-96 | Feb-96 |
| -20.14% | Oct-01 | Mar-02 | 5 | 9 | 30.66% | 2 | Sep-03 | Oct-03 | -15.60% | 3 | Nov-01 | Jan-02 |
| -17.00% | Jan-00 | Jul-00 | 6 | 4 | 27.87% | 4 | Sep-94 | Dec-94 | -14.71% | 3 | Jun-03 | Aug-03 |
| -14.71% | May-03 | Aug-03 | 3 | 2 | 26.92% | 3 | Sep-96 | Nov-96 | -14.34% | 2 | Sep-98 | Oct-98 |
| -12.37% | Jul-04 | Aug-04 | 1 | 3 | 25.31% | 2 | Mar-96 | Apr-96 | -12.83% | 2 | Feb-00 | Mar-00 |
| Time Window Analysis | ||||||||||||||
| 1 Month | 2 Month | 3 Month | 6 Month | 12 Month | 18 Month | 2 Year | 3 Year | 4 Year | 5 Year | 7 Year | 10 Year | |||
| Latest Period | -5.53% | -6.03% | -3.16% | -4.39% | 8.74% | 49.61% | 53.66% | 135.94% | 170.14% | 190.43% | 246.19% | 336.48% | ||
| Annualized | 8.74% | 30.81% | 23.96% | 33.13% | 28.20% | 23.77% | 19.41% | 15.88% | ||||||
| Count | 133 | 132 | 131 | 128 | 122 | 116 | 110 | 98 | 86 | 74 | 50 | 14 | ||
| Percent Profitable | 55.64% | 55.30% | 59.54% | 71.88% | 80.33% | 84.48% | 91.82% | 96.94% | 97.67% | 100.00% | 100.00% | 100.00% | ||
| Average | 1.51% | 3.07% | 4.61% | 9.14% | 18.99% | 28.23% | 39.10% | 57.49% | 81.48% | 101.69% | 161.27% | 376.06% | ||
| Average Gain | 6.90% | 10.52% | 12.00% | 15.57% | 25.30% | 34.11% | 42.89% | 59.40% | 83.44% | 101.69% | 161.27% | 376.06% | ||
| Average Loss | -5.25% | -6.14% | -6.26% | -7.31% | -6.76% | -3.77% | -3.47% | -3.13% | -0.88% | 0.00% | 0.00% | 0.00% | ||
| Best Period | 24.18% | 47.04% | 66.42% | 70.79% | 90.28% | 118.49% | 150.77% | 161.44% | 265.98% | 299.12% | 292.33% | 429.09% | ||
| Worst Period | -13.78% | -19.69% | -15.60% | -20.93% | -15.73% | -7.65% | -7.16% | -5.63% | -1.28% | 7.50% | 52.47% | 325.49% | ||
| Standard Deviation | 7.78% | 10.99% | 12.72% | 16.15% | 22.97% | 29.40% | 38.52% | 48.03% | 70.96% | 80.34% | 73.16% | 33.02% | ||
| Gain Deviation | 5.71% | 9.01% | 11.13% | 14.27% | 21.19% | 28.26% | 37.93% | 47.54% | 70.63% | 80.34% | 73.16% | 33.02% | ||
| Loss Deviation | 3.65% | 3.97% | 4.33% | 5.50% | 4.61% | 2.68% | 2.57% | 2.16% | 0.56% | |||||
| Sharpe Ratio | 0.14 | 0.21 | 0.27 | 0.41 | 0.61 | 0.70 | 0.75 | 0.87 | 0.84 | 0.92 | 1.65 | 9.48 | ||
| Gain/Loss Ratio | 1.31 | 1.71 | 1.92 | 2.13 | 3.74 | 9.05 | 12.36 | 18.97 | 94.48 | |||||
| Profit/Loss Ratio | 1.65 | 2.12 | 2.82 | 5.44 | 15.29 | 49.29 | 138.69 | 600.59 | 3968.18 | 0.00 | 0.00 | 0.00 | ||
| Downside Dev.(MAR) | 4.70% | 5.81% | 6.17% | 7.13% | 8.19% | 8.79% | 9.83% | 12.67% | 14.87% | 18.26% | 11.50% | 0.00% | ||
| Downside Dev.(RF) | 4.47% | 5.35% | 5.49% | 5.93% | 5.66% | 4.83% | 4.57% | 4.77% | 4.09% | 3.97% | 0.00% | 0.00% | ||
| Downside Dev.(0%) | 4.25% | 4.88% | 4.83% | 4.83% | 3.60% | 1.81% | 1.21% | 0.63% | 0.15% | 0.00% | 0.00% | 0.00% | ||
| Sortino Ratio(MAR) | 0.15 | 0.25 | 0.36 | 0.60 | 1.10 | 1.46 | 1.84 | 1.93 | 2.36 | 2.23 | 5.77 | 0.00 | ||
| Sortino Ratio(RF) | 0.25 | 0.42 | 0.62 | 1.12 | 2.47 | 4.27 | 6.31 | 8.75 | 14.65 | 18.67 | 0.00 | 0.00 | ||
| Sortino Ratio(0%) | 0.35 | 0.63 | 0.95 | 1.89 | 5.27 | 15.64 | 32.27 | 91.39 | 552.82 | 0.00 | 0.00 | 0.00 | ||
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Risk Statement THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. . A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED. |
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