Results | Algo – algorithmic trading

Results

Programme results after all fees

 


Fund statistics



Statistics (after fees, since 2013-01)
Returns since Fund launch (2013)30.69%
Returns since Strategy launch (2008)194.85%
Last 12 months return-9.45%
Positive months69.44%
Annual volatility7.25%
Sharpe0.63
Fund facts
NameAlgorithmic Trading Portfolio
LiquidityMonthly
Lock-up periodNone
Recommended investment term6+ months
Fund size6.1 mm USD
Fund currencyUSD, EUR
ISIN codeLTIF00000559
Bloomberg codeALGOTP1
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

December 2018

The subfund M wrapped up the year of 2018 with a profitable month of December earning +0.24%. During this month the results of the fund were visually different when compared to general market tendencies. S&P 500 stock index fell roughly -9% while the algorithms in our portfolio trading S&P 500 made a profit of +0.15%. Entire stocks asset class made a minor loss of -0.18% which was mostly affected by the loss in NASDAQ 100 (-0.23%). The poor performance of the stock market was not a unique sight during December. Bloomberg Commodities index fell -6.9%. ATP algorithms trading commodities were successful in coffee (+0.17%), gold (+0.09%), Brent oil (+0.07%). All of the commodity sectors traded by the fund were profitable: agriculture (+0.22%), metals (+0.11%), energy (+0.07%). For more information download our monthly report.

November 2018

ATP subfund M earned +0.33% in November. The best performing asset classes were interest rates (+0.52%) and currencies (+0.32%). The only significant negative result was experienced in energies (-0.66%). Most of the algorithms performed well in November. The only individual future that stood out was natural gas (-0.77%). For more information download our monthly report.

October 2018

During the month of October the subfund M suffered a small loss of -0.15%. Profit was taken from metal (+0.38%), bond (+0.22%), currency (+0.21%) and stock indices (+0.11%) sectors. Monthly performance was negatively affected by agriculture (-0.3%), energy (-0.35%) and other instruments not assigned to any sector (-0.43%). Looking at individual instruments the profits distributed evenly. The biggest earners were Euro FX (+0.28%), gold (+0.26%) and 5 Year Treasury Bonds (+0.23%). The worst performing instruments were CBOE Volatility index (-0.43%), wheat (-0.45%) and Ultra T–Bond (-0.47%). For more information download our monthly report.

September 2018

The subfund M started the autumn negatively by losing -1.44% in September. The biggest impact on the negative results was unsuccessful trading in bonds (-1.67%). Bond markets became extremely volatile after announcement of FED‘s rate hike and the possibility of another one in December. Individually, the largest loss was generated by 2 Year US Treasury Notes (-0.49%), Euro Bund (-0.40%) and 10 Year US Treasury Notes (-0.37%). The best performing sector this month was currencies (+0.27%) this can be addressed to Euro (+0.36%). Other asset classes did not make a significant impact on overall results. For more information download our monthly report.

August 2018

The subfund M generated a -0.52% loss in August. The best performing asset classes were stock indexes (+0.47%) and interest rates (+0.84%). No asset class suffered a significant loss due to a wide diversification. However, energy, metals, currencies, and agriculture classes lost from -0.38% to -0.48%. For more information download our monthly report.

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