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  • Manager: Amplitude Capital International Limited
    Program: Amplitude Trading Strategies Fund - Dynamic Strategy

    Principal(s): Karsten Schroeder
    Strategy: Systematic / Directional / Short Term
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    Investment Restrictions: 4.7 Exempt++
Recent Statistics
  • Aug Return: 5.68%
  • YTD Return: 7.32%
  • Annual CROR:1 6.28 %
  • Worst DD:2 -26.52%
  • Losing Streak:3 -7.95 %
  • Sharpe Ratio:4 0.42
  • Min Investment: $20,000,000
  • AUM:5 $455,490,000
  • Calmar Ratio:6 -0.10

Trading Strategy

The Dynamic strategy trades highly liquid exchange-traded futures via both managed accounts and the Amplitude Trading Strategies Fund (''Fund''). Instruments include equity indices, FX, fixed income and commodities. This is a systematic and fully automated directional program which uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology to detect ultra short to short term market trends and reversions. Execution is entirely electronic and utilizes in-house proprietary software to facilitate ultra-fast execution. Execution costs and slippage are closely monitored to ensure that adverse market impact is kept to a minimum. The risk management function is monitored real-time and is fully automated. As of 1st December 2016 39 markets are traded and each instrument is independently analyzed and has an average holding period of 1.5 days. Dynamic is hard closed.

Risk Strategy

Background

Karsten Schroeder is the chairman of the Investment Adviser, and from 2004 to November 2008 he was the chief executive officer of Amplitude Capital LLP. He oversees all the key decisions of the Investment Adviser relating to product development, trading ideas and strategy and is the portfolio manager for the group investment funds. He had been working on the development of the Company’s trading system for over five years until he founded Amplitude Capital LLP in September 2004. Mr Schroeder was with McKinsey from September 2001 to January 2004, where he was involved in a number of key corporate finance projects involving blue chip European clients. Between 1997 and 1999, Mr Schroeder read for a pre-diploma in Computer Science and Business at the European Business School in Oestrich-Winkel and took his diploma in Business Administration from HHL Leipzig Graduate School of Management in Leipzig between 1999 and 2001, which included an international term at the Australian Graduate School of Management.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Trend Following
    Contrarian
    Mean Reversion
  • Trading Style
    50% Trend Following
    50% Contrarian
  • Market Allocation
    Diversified
  • Holding Period
    50% Short Term
    50% Intraday
  • Sector
    Global
    Contracts
    Futures

Performance Since June 2005

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 0.26% -1.13% 3.36% 0.24% 1.33% -2.58% 0.16% 5.68%   7.32% -2.58%
2016 -1.76% 3.37% 4.27% 0.02% -0.73% 7.19% 3.55% -2.58% -1.06% -6.83% 1.47% 3.09% 9.63% -10.2%
2015 -6.71% 3.66% 0.29% -1.70% -3.91% -9.37% -1.72% -3.97% -6.22% 9.24% 7.92% -9.68% -21.76% -26.52%
2014 0.18% 3.10% -1.83% 1.80% -0.33% -0.18% -3.01% 3.67% -2.65% -0.38% 0.61% 2.62% 3.38% -3.56%
2013 3.54% -1.81% 0.84% 2.08% -2.93% -0.27% 4.56% -2.44% 1.18% 4.50% 1.96% -1.14% 10.15% -3.19%
2012 5.27% 1.56% 2.12% -5.32% 8.82% -5.73% 3.59% -2.61% 0.52% -5.44% 0.76% 0.97% 3.44% -9.6%

Annual Performance Since From Inception: Jun-2005

Years200520062007200820092010
ROR11.24%7.26%42.33%12.43%-6.36%14.90%
Max DD-4.67%-9.19%-3.23%-12.45%-13.03%-4.94%

Years201120122013201420152016
ROR-5.38%3.44%10.15%3.38%-21.76%9.63%
Max DD-11.51%-9.60%-3.19%-3.56%-26.52%-10.20%

Years2017 YTD
ROR7.32%
Max DD-2.58%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Jun-2005
  • New Money: No
  • Min Investment: $20,000,000
  • Fund Minimum: $1,000,000
  • Notional Funds: No
  • NFA Member: Yes
  • NFA Number: 0357275
  • Currency: US Dollar
  • AUM:5 $455,490,000
  • Annual CROR:1 : 6.28%
  • Worst Drawdown:2 -26.52 %
  • Losing Streak:3 -7.95 %
  • Sharpe Ratio:4 0.42
  • Calmar Ratio:6 -0.10
  • Margin:7: 0.14
  • Mgt Fee: 1.00%
  • Incentive Fee: 30.00%
  • Other Fees: None
  • Avg Comm:8 $0.00
  • Max Comm:9:
  • Round Turns:10 5,700
Additional Information
  • Other Memberships: SEC 801-72757; CFTC; HFSB
  • Correlations: AG CTA Index: 0.242 | AG Systematic CTA Index: 0.265 |
  • Chart
    Chart
Footnotes:
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

    Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

    RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR 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 THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    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.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.