algorithmic trading portfolio strategies.€¦ · algorithmic trading portfolio is an open-ended...
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ALGORITHMIC TRADING PORTFOLIO is an open-ended hedge fund with intraday trading frequency and high liquidity. The fund's objectives are to provide absolutereturns with a moderate risk-return profile and low correlation to equity markets and other investments and asset classes. The fund seeks to achieve its objectivesthrough the implementation of a portfolio of systematic trading models. The multi asset strategy trades ~42 global equity, metals, interest rate, agriculture, energy andcurrency markets, using regulated, liquid and exchange traded financial instruments - futures. Long and short positions can be held seeking to profit from identifiedshort, medium mean reversion seasonality and trend flowing patterns. Portfolio of ~350 independent automated trading systems aims to provide profit every month.Our strict risk management are based on a clearly defined set of rules, adjusting the portfolio dynamically to changing market conditions. Please visit www.orion.lt/enand www.algo.lt/en for more details.
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2013-01 2013-07 2014-01 2014-07 2015-01 2015-08 2016-01 2016-07
UNIT VALUE
MONTHLY REPORT
2016 OCTOBER
* The results have been generated live trading Managed Account (5 months are solely backtesting results in italic). Same trading approach and models have been implemented within ALGORITHMIC TRADING PORTFOLIO Fund starting 2013-01.**2011 and 2012 performance results are presented in accordance with UAB KPMG Baltics Independent Reasonable Assurance Report. Since 2013 results are audited.Different fees were applied in some periods.
STRATEGY CORRELATION TO OTHER ASSET CLASSES0.44 0.30
-0.04
0.20
-0.02 -0.15-0.60-0.300.000.300.60
Stocks: DowJones Industrial
Avg.
Stocks: EUROSTOXX 50
Bonds: Vang.Total Bond ETF
Real Estate:Vang. REIT ETF
Index: Altegris40
Gold
FUND FACTSName Algorithmic Trading Portfolio
Liquidity Monthly
Lock-up period None
Recommended investment term 6+ months
Average margin to equity 4.2%
Fund size $11.8 mln.
Fund unit price $127.7750
Fund currency USD, EUR
ISIN code LTIF00000559
Bloomberg code ALGOTP1
Domicile Lithuania
Type Open ended IISKIS
High watermark Yes
Management company Orion Asset Management
Depository AB SEB bank
Regulator Lietuvos bankas
Auditor Ernst & Young Baltic UAB
Broker Trade Station Securities
Inception date 2012 10 22
Treatment of income Capitalisation
Management fee 1.0%
Subscription fee Up to 3,0%
Success fee 20.0%
Redemption fee No charge
Target annual returns 20%
Strategy Short/Long/Flat
MANAGER MONTHLY REPORTThe fund has closed the month of October with a loss of 1.74%.Decent performance showed by the DAX stock index (+0.36%) wasoutweighed by mostly poor performance of bonds: Euro Bund (-0.60%), 5 and 10 year US Bonds (respectively -0.41% and -0.34%).Trading NASDAQ 100 stock index (0.46%) was also provenunprofitable. The worst performing sector was bonds, whichreturned -1.67%, sector of metals was also not productive (-0.22%).The performance of all other asset classes distributed around zero.During this month there was a clear rise of volatility in bondmarkets, especially in Europe, where German 10 year bonds hadrecorded the biggest increase since the beginning of 2013, nowoffering positive yield to investors once again. Commodity marketswere driven by energy products, especially gas. During Novemberthe spotlight will be taken by the US presidential election, whichcould definitely spark more activity in the markets. Below you cansee the results of the Fund by asset classes:
Aistis Raudys, Ph.D. in artificial intelligence, 10 y. in finance, former Deutsche Bank and Société Générale quantitative researcher. Author of ATP models and strategies.
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2008* -1.30% -0.80% -0.10% -0.50% 1.70% 2.70% 4.60% 0.70% 7.90% 11.20% 3.20% 5.50% 39.87%
2009* 2.00% -5.00% 6.10% 1.10% 4.30% 5.70% 0.96% 2.10% 3.47% -1.68% -0.32% 0.10% 19.90%
2010 -2.74% 2.59% 0.41% 3.54% -4.63% 2.75% 6.29% 1.10% 3.77% 1.79% 2.50% 2.42% 21.13%
2011** 3.93% -1.56% -2.05% 1.30% 0.45% -4.10% 3.64% 8.78% -8.32% 11.49% -2.61% 3.00% 13.04%
2012** 3.27% 4.15% -0.09% -1.37% -4.12% 1.97% 2.29% 5.22% 6.44% 0.89% 11.35% -4.48% 27.39%
2013 1.17% 2.97% -2.34% 1.75% 2.16% 1.02% 2.37% -0.53% 2.79% 0.27% 0.62% 0.92% 13.86%
2014 -3.92% 3.07% 2.77% 2.06% 1.43% 0.76% 0.08% -2.13% 2.54% 3.27% -1.28% 2.59% 11.50%
2015 -0.65% 1.62% 1.48% 0.61% 2.86% 0.02% -1.85% -10.48% 0.94% -0.41% -0.20% 0.56% -6.01%
2016 -0.32% 2.35% 2.30% 1.67% -0.01% 0.48% 1.33% 0.45% 0.43% -1.74% 7.08%
TRADING RESULTS (AFTER ALL FUND FEES)
FUND STATISTICS AFTER ALL FUND FEES2016 10 return -1.74%
Returns since Fund launch (2013-01) 27.77%
Returns of the last 12 months 7.46%
Average annual growth 6.60%
Average monthly growth 0.53%
Positive months 71.74%
Average monthly profit of positive months 1.57%
Average monthly losses of negative months -1.99%
Max monthly return 3.27%
Max monthly loss -10.48%
Max drawdown from peak -12.14%
VaR (99%, monthly) 5.40%
Annual volatility 8.03%
Sharpe 0.82
Number of traded futures 29
Number of algorithms 367
Number of trades 29340.07%
-0.01%
0.09%
-1.67%
-0.22%-0.02%
0.02%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
Energy Agriculture Currencies Interest rates Metals Indexes Other
IMPORTANT INFORMATION
MONTHLY REPORT
2016 OCTOBER
Cash95.80%
Other 0.05%Agriculture
0.70%
Currencies0.46%
Interest rates0.89%
Metals0.66%
Indexes1.10%
Energy 0.34%4.20%
FUND ALLOCATIONA large cash reserve is essential for riskmanagement of the investments. It ensuresthat trading is successfully maintained evenif a part of funds are lost. The averagetrading margin allocation is 5%-30%. Cashis held in bank account at SEB (Lithuania)and/or in J.P. Morgan (USA) at the broker(TradeStation) segregated account. Toreduce unused cash share, some of fundsmay be invested in most liquid very low riskshort term USA treasury notes and/or EU
Algorithmic Trading Portfolio (Investment fund) is alternative investment fund designed for Professional or Informed investors only and supervised by the Central bank of Lithuania. The information contained in this document does notconstitute a solicitation or offer to invest in any financial products. It does not constitute legal or fiscal advice nor does it provide specific investment advice. Detailed information about the fund can be found in the fund’s rules, prospectusand Key investor information document that can be obtained from Orion Asset Management. The data has been compiled from sources deemed reliable and is accurate to the best of our knowledge; however, we accept no obligationwhatsoever from the information given. Orion Asset Management assumes no (direct or indirect) liability for any losses which result from the data and information published herein. The offering and sale of the products described in thisdocument is legally restricted in certain jurisdictions. Persons who are subordinate to such jurisdictions have to inform themselves about such restrictions and must adhere to them. The prices stated are net of all fees; front load and taxeshave not been taken into account. The potential for high returns of this investment strategy is combined with significant risks. Even a total loss of the invested capital is possible. Performance from the past is no guarantee of future results.Funds management company is not liable for the losses of the fund suffered due to the fluctuations of financial markets. It is strongly recommended to overview Fund's Prospect and Articles of Association before making a decision to investin the Fund. In this document results are shown for dollar class of fund only. Euro class results should be almost identical.
MONTHLY PROFIT/LOSS BY FUTURESOne key part of our trading success is multi strategyapproach. Models exploit short term mean reversion,short term trend following, short term seasonality andindex inefficiencies. Some strategies work on minute tohour frequency and some work on daily or even weeklydata. These models are used for more than 40 differentfutures contracts. Put together, they create numerousindependent trading patterns. Single strategy will almostalways suffer from periods of zero or negative returns.Having several hundred fundamentally different models inour portfolio allows us to compensate one’s losses bygains of other models. Therefore, whole fundperformance is almost always positive with more than75% of positive months. Average monthly losses aresimilar to average monthly profits. All of it results inalmost steady performance, however risk is not entirelyeliminated.
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2008 2009 2010 2011 2012 2013 2014 2015 2016
Algorithmic Trading Portfolio
Altegris 40
Dow Jones Industrial Avg.
Gold
PERFORMANCE SINCE MODEL INCEPTION
Algorithmic trading model is traded live since 2008. Cumulative performance: 273.76%.
Altegris 40 index (top 40 managed futures programs) Cumulative performance: 22.97%.
Dow Jones industrial avg. (an index ETF composed of top 30 US large companies): 69.61%.
Gold (gold ETF price which tracks physical gold price): 48.84%.
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MONTHLY TRADING VOLUME
A trade sizes are different. Aquantity for every strategy isdetermined by diversificationprincipals and current marketand strategy behaviour. Weconstantly improve execution ofaround 2000 trades per month inorder to maximise trading effect.One of the methods: trades aresplit and executed with lessquantity per trade to reducemarket impact.
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MONTHLY PROFIT FROM MARKET RISE/FALL
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-2.00%
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From themarket rise
From themarket fall
At any point, strategy can belong, short or flat, so profits canbe generated in rising and fallingmarkets. It results in steadierperformance regardless ofcurrent economic cycle, crisis,recession. Even in a calm periodmarket tends to move likewaves: fall and rise in a short(few days) period. Fund'sstrategies trades on these fewdays moves and can make profiteven when selling in a risingmarket or buying in a falling one.
LIST OF TRADED
FUTURES
Indexes
DAX
Dow
NASDAQ 100
S&P 400
S&P 500
EURO STOXX 50
FTSE 100
Russell 2000
Nikkei 225
Energy
Natural gas
Gasoil
Gasoline
Heating oil
Crude oil
Metals
Platinum
Gold
Palladium
Silver
Copper
Interest rates
2 Yr U.S. treasury notes
5 Yr U.S. treasury notes
10 Yr U.S. treasury notes
30 Yr U.S. treasury notes
Euro bobl
Euro bond
Euro buxl
Euro schatz
Long gilt
Currencies
Euro FX
Australian dollar
British pound
Japanese yen
Canadian dollar
N. Zealand dollar
Swiss franc
Agriculture
Cacao
Coffee
Feeder cattle
Sugar
Soybeans
Soybeans oil
Wheat
Other
CBOE volatility index
USD U.S. dollar index
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