Results | Algo – algorithmic trading

Results

Programme results after all fees

 


Fund statistics



Statistics (after fees, since 2013-01)
Returns since Fund launch (2013)37.15%
Returns since Strategy launch (2008)209.43%
Last 12 months return-1.54%
Positive months70.00%
Annual volatility6.94%
Sharpe0.62
Fund facts
NameAlgorithmic Trading Portfolio
LiquidityMonthly
Lock-up periodNone
Recommended investment term6+ months
Fund size4.6 mm USD
Fund currencyUSD, EUR
ISIN codeLTIF00000559
DomicileLithuania
Management companyOrion Asset Management
AdministratorOrion Securities
DepositoryAB SEB Bank
RegulatorBank of Lithuania
AuditorErnst & Young Baltic UAB
BrokerTrade Station Securities
Inception date2012 10 22
Fees
Annual management fee1%
Subscription feeUp to 3%
Success fee20%
High watermarkYes
Redemption feeNo charge

Factsheets

June 2020 subfund M

Algorithmic Trading Portfolio recorded a -0.52% decrease in value in June. A small loss was incurred in trading almost all asset classes. Bonds (-0.2%), metals (-0.11%) and energy (-0.1%) were the most negative sectors. The situation is similar when considering the results of individual futures. Most instruments recorded a small loss. For more information download our monthly report.

May 2020 subfund M

Algorithmic Trading Portfolio lost -0.68% during May. Poor result could be attributed to the loss incurred in trading agriculture (-1.21%) and metal (-0.63%) futures. The loss was slightly outweighed by profits earned from trading bond (+0.58%), energy (+0.47%) and equity index (+0.11%) asset classes. For more information download our monthly report.

April 2020 subfund M

Algorithmic Trading Portfolio earned +1.24% in April. Profitable trading in bonds (+0.66%), stock indices (+0.24%) and currency (+0.18%) futures contributed the most to the positive monthly result. Other asset classes did not have a significant impact on the monthly results. Looking at the individual instruments the best earners were 30-year Ultra T-bonds (+0.53%), Canadian dollar (+0.23%), NASDAQ 100 (+0.22%) and gold (+0.21%) futures. For more information download our monthly report.

March 2020 subfund M

Algorithmic Trading Portfolio Fund lost -2.8% in March. Obviously, the result is not good even if we take into account such a difficult period for the world economy. The algorithms in the portfolio did not perform well under conditions of uncertainty caused by sudden selloff. Over the course of the month we had reduced trading volume to a minimum, which helped us avoid a bigger decrease in values. Another thing we done was completely redesigning the portfolio by replacing the algorithms with new ones. For more information download our monthly report.

February 2020 subfund M

Algorithmic Trading Portfolio suffered a loss of -0.31% during February. Negative monthly performance was mostly influenced by unsuccessful trading of bonds (-0.72%) and energy (-0.2%) asset classes. In contrary agricultures (+0.39%), metals (+0.17%) and currencies (+0.13%) sectors were profitable in February. Biggest profits from individual futures were earned trading Euro OAT bonds (+0.31%), gold (+0.18%) and wheat (+0.14%). For more information download our monthly report.

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