Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Albedo Capital is a French regulated management company. Invested on the most liquid Forex pairs (G10), our portfolio of short term fully systematic strategies seeks risk-adjusted Absolute Return by relying on a set of in-house technical signals, result of more than 15 years of R&D. The complementarity of our trend-following and mean reversion strategies allows us to trade every market cycle. The program is available through managed accounts and through 1 mutual fund, Albedo Absolute Alpha FR0013031622.
Investment Strategy
The strategies are designed to target and accumulate small gains with high probability & consistency thanks to the relevance of our proprietary technical indicators. Delivery of non-correlated Alpha through complementary short term trend-following and mean reversion strategies. The program is 100% cash every Friday night, at market close.
Risk Management
Albedo’s fund objective is to deliver risk adjusted absolute returns, non correlated to traditional asset classes. The investment process is fully systematic and relies on technical analysis of the most liquid Fx pairs. Every strategy includes dynamic stop-losses to secure positive returns and cut losses systematically. The strategies are designed to benefit from short-term recurrences and inefficiences on markets.
Albedo Capital's target:
o ROR: 15 to 25%
o MDD: 10 to 15%
o Sharpe: 1.5 to 2.5
o Volatility: 10 to 15%
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Reward
Albedo Capital SAS Albedo Systematic FX
Average RoR
2.35%
Max Gain
15.80%
Gain Frequency
76.47%
Average Gain
3.77%
Gain Deviation
4.36%
Risk
Standard Deviation
4.76%
Worst Loss
-5.64%
Loss Frequency
23.53%
Average Loss
-2.27%
Loss Deviation
2.73%
Reward/Risk
Sharpe (RFR=1%)
0.48
Skewness
1.25
Kurtosis
3.26
Reward
Albedo Capital SAS Albedo Systematic FX
Compound RoR
30.61%
Average RoR
34.24%
Max Gain
53.25%
Gain Frequency
70.59%
Average Gain
53.25%
Gain Deviation
15.10%
Risk
Standard Deviation
16.49%
Worst Loss
-4.74%
Loss Frequency
29.41%
Average Loss
-11.39%
Loss Deviation
9.47%
Reward/Risk
Sharpe (RFR=1%)
1.65
Skewness
Kurtosis
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-7.94
6
—
11/2015
5/2016
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
58.58
11
1/2015
11/2015
0.99
1
1/2016
1/2016
0.06
1
3/2016
3/2016
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-5.64
1
2/2016
2/2016
-3.36
1
12/2015
12/2015
-0.10
2
4/2016
5/2016
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.