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Trading Strategy: Systematic / Currency & Indices
Program Description: Every market has a pulse, a heartbeat, and moves through mathematical periods. These recurring periods influence short term market moves regardless of overall market trend. by using an algorithmic and automated trading strategy that takes advantage of these predictable periods and anticipates and captures short- to medium-term price movement.
Astute Capital's proprietary software allows us to select only the most promising trades. Additionally, we consider trades when expected returns are better than their inherent risk. Preserving capital and protecting the fund remains the top priority at all times.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | -2.34% | 3.02% | 6.46% | -1.79% | 2.30% | -7.03% | 14.41% | |||||
2020 | 10.32% | -0.06% | -3.99% | -0.12% | 1.56% | 7.09% | 6.52% | 7.96% | 6.41% | -1.23% | 5.24% | 4.24% |
2021 | -14.21% | -4.93% | 17.07% | -1.98% | 5.27% | -3.29% | 4.00% | -6.33% | -5.56% | 0.84% | 14.97% | -11.45% |
2022 | -1.00% | 2.00% | -11.32% | -4.01% | -2.81% | 18.11% | -9.02% | -1.31% | 4.61% | 5.82% | -11.88% | 18.61% |
2023 | -1.08% | 2.47% | -3.61% | 3.76% | 7.87% | 13.88% | 5.70% | -7.29% | 2.26% | 5.48% | 1.71% | -4.79% |
2024 | 11.65% | 7.14% | 0.61% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 14.46% | 52.47% | -10.01% | 2.51% | 27.47% | 20.35% |
Max DD | -7.03% | -4.16% | -18.44% | -17.27% | -7.29% | 0.00% |
+++ Accounting Notes: PRO-FORMA PROPRIETARY TRADING FROM JUNE 2019 THROUGH DEC 2019 HAS BEEN ADJUSTED FOR A 2% MANAGEMENT FEE AND A 20% INCENTIVE FEE. CLIENT PERFORMANCE COMMENCED TRADING JAN 2020. CLIENT ACCOUNTS IS TRADED IN LIKE FASHION
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Jun 2019
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-06-30 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.