Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Alpha Z Futures Fund LLC is an alternative investment fund formed to trade futures and futures options on the Standard & Poor’s 500. The Fund’s trading is conducted by Alpha Z Advisors, LLC. Trading methods are quantitative, systemic and discretionary. Trades are based on decades of extensive research conducted by Dr. Ziemba and trading experience in stock market calendar anomalies, arbitrage strategies and behavioral biases.
Investment Strategy
The trades involve long futures positions, futures spreads, option sales and option purchases that Dr. Ziemba’s proprietary research indicates to have mispricings. Market exposure is based on the calculated funds or margin behind each position. The Manager’s trading also employs Dr. Ziemba’s proprietary stock market prediction models and crash prediction models.
Risk Management
Risk/reward is assessed by the calculating potential loss of new and current positions. Overall portfolio is measured. Careful attention has been paid to current market conditions and adjusting portfolio size quickly.
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
Alpha Z Advisors LLC Alpha Z Futures Fund, LLC
Average RoR
3.10%
Max Gain
40.37%
Gain Frequency
78.21%
Average Gain
5.56%
Gain Deviation
5.89%
Risk
Standard Deviation
7.66%
Worst Loss
-24.12%
Loss Frequency
21.79%
Average Loss
-5.73%
Loss Deviation
6.80%
Reward/Risk
Sharpe (RFR=1%)
0.39
Skewness
0.67
Kurtosis
8.85
Reward
Alpha Z Advisors LLC Alpha Z Futures Fund, LLC
Compound RoR
39.66%
Average RoR
44.02%
Max Gain
108.57%
Gain Frequency
84.62%
Average Gain
54.12%
Gain Deviation
20.42%
Risk
Standard Deviation
26.54%
Worst Loss
-11.52%
Loss Frequency
15.38%
Average Loss
-11.52%
Loss Deviation
23.55%
Reward/Risk
Sharpe (RFR=1%)
1.37
Skewness
1.56
Kurtosis
23.87
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
-56.25
6
—
12/2019
6/2020
-28.52
3
18
12/2017
3/2018
-24.12
1
3
7/2015
8/2015
-12.86
2
1
11/2014
1/2015
-6.52
1
1
6/2014
7/2014
-5.73
1
2
12/2015
1/2016
-4.80
3
1
—
9/2013
-3.98
1
2
12/2013
1/2014
-1.94
1
1
5/2016
6/2016
-1.52
1
1
1/2017
2/2017
-0.75
1
1
8/2014
9/2014
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
109.08
6
2/2015
7/2015
52.67
10
3/2017
12/2017
44.06
4
9/2015
12/2015
40.06
4
2/2016
5/2016
30.28
7
7/2016
1/2017
27.98
8
4/2018
11/2018
23.46
7
6/2019
12/2019
21.06
5
2/2014
6/2014
18.89
3
10/2013
12/2013
13.84
2
10/2014
11/2014
8.77
1
8/2014
8/2014
4.63
4
1/2019
4/2019
3.00
1
7/2020
7/2020
0.14
1
5/2020
5/2020
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-49.01
4
1/2020
4/2020
-28.52
3
1/2018
3/2018
-24.12
1
8/2015
8/2015
-14.31
1
6/2020
6/2020
-12.86
2
12/2014
1/2015
-6.52
1
7/2014
7/2014
-5.73
1
1/2016
1/2016
-4.80
3
7/2013
9/2013
-3.98
1
1/2014
1/2014
-3.28
1
12/2018
12/2018
-1.94
1
6/2016
6/2016
-1.52
1
2/2017
2/2017
-0.77
1
5/2019
5/2019
-0.75
1
9/2014
9/2014
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.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
