Results | Algo – algorithmic trading

Results

Programme results after all fees

 


Fund statistics



Statistics (after fees, since 2013-01)
Returns since Fund launch (2013)36.79%
Returns since Strategy launch (2008)208.61%
Last 12 months return3.75%
Positive months71.05%
Annual volatility7.08%
Sharpe0.72
Fund facts
NameAlgorithmic Trading Portfolio
LiquidityMonthly
Lock-up periodNone
Recommended investment term6+ months
Fund size5.6 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

April 2019 subfund M

During April ATP continued its streak of positive months earning 1.19% profit. Likewise to March the most successful sectors were bonds (+0.88%) and metals (+0.43%). Moderate profits were earned trading energy (0.29%) and stock indices (+0.22%). Money was lost in currencies (-0.49%) and agriculture (-0.19%) asset classes. For more information download our monthly report.

March 2019 subfund M

The month of March was successful for ATP. The fund earned +1.39% during this period. It was the fifth consecutive profitable month. Strong performance of March helped ATP to gain +3.42% during the first quarter of 2019. For more information download our monthly report.

February 2019 subfund M

The ATP subfund M earned +0.99% in February. The algorithms traded profitably and steadily throughout February, same as in January. All asset classes generated profit except of currencies. A significant profit was earned from agriculture (+0.38%), interest rates (+0.38%) and stock indexes (+0.30%) asset classes. For more information download our monthly report.

January 2019 subfund M

The ATP subfund M started year 2019 successfully. Algorithms earned +1.00%. The fund performed steadily throughout all January. The best performing asset class was interest rates (+0.56%). Prices of interest rate financial instruments fluctuated up and down. Such price movements were very handy for fund’s algorithms. Therefore, it was successfully exploited. Agriculture asset class generated gain of +0.18%. The largest contributor was corn trading (+0.17%). Algorithms caught moments when the corn price fell and earned profit from sell short positions. All the other asset classes were also profitable. For more information download our monthly report.

December 2018 subfund M

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.

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