Intraday Crisis Alpha
Systematic / Intraday / Momentum / Equity Index (Futures)
ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -28.35% |
| From Aug 2022 to Feb 2026 | |
| Worst Month (Oct 2020) | -7.55% |
| Current Losing Streak | -28.35% |
| Average Monthly Return | 0.15% |
| Monthly Std. Deviation | 2.61% |
| Gain Deviation (50 months) | 1.89% |
| Loss Deviation (56 months) | 1.59% |
| Gain to Loss Ratio | 1.31 |
| Omega Ratio (5% Threshold) | 0.77 |
| Annualized Performance |
|
| Compound ROR (1) | 1.43% |
| Standard Deviation | 9.05% |
| Downside Deviation | 5.83% |
| Sharpe Ratio (3) 2% RF ROR | 0.16 |
| Sortino Ratio (4) 5% MAR | 0.24 |
| Calmar Ratio (5) | -0.34 |
| Sterling Ratio (6) | -0.41 |
| Gain Deviation | 6.55% |
| Loss Deviation | 5.53% |
| Profit Loss Ratio | 1.17 |
| Investment Information |
||
| Program Start Date | May-2017 | |
| Percent Systematic | 100% | |
| Currency Denomination - US Dollar | ||
| Minimum Investment | $1,500,000 | |
| Management Fee | 1.00% | |
| Incentive Fee | 25.00% | |
| Margin | 0% End of Day - Max 12% | |
| Round Turns per Million | 4,500 | |
| NFA No: | #0483331 | |
| 4.7 Exempt - US Clients must be QEP | ||
| Performance Since May 2017 | Track Record Compiled By: Circle Partners, Netherlands | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -3.35% | -1.24% | – | – | – | – | – | – | – | – | – | – | -4.55% | -4.55% |
| 2025 | -4.33% | 0.60% | 5.27% | -1.33% | -4.92% | -4.22% | 1.08% | -0.28% | -2.82% | -0.55% | -3.24% | -0.22% | -14.37% | -15.48% |
| 2024 | 1.32% | -3.26% | 0.14% | -1.91% | -1.87% | -2.50% | -0.24% | 2.14% | 2.39% | 1.99% | -1.81% | -0.09% | -3.84% | -9.30% |
| 2023 | -0.31% | -3.85% | 1.98% | -0.63% | -0.89% | 1.11% | -0.01% | 0.24% | -1.39% | -2.46% | 1.76% | -1.85% | -6.27% | -6.26% |
| 2022 | 0.82% | 2.02% | 1.21% | 5.50% | 4.46% | 2.79% | 1.28% | 1.15% | -5.23% | 0.17% | 1.00% | 1.43% | 17.51% | -5.23% |
| 2021 | -3.49% | 3.12% | -0.41% | -0.80% | 0.25% | -0.97% | 5.49% | -3.83% | 0.69% | -1.10% | -0.69% | 3.36% | 1.22% | -4.89% |
| 2020 | 4.35% | 4.61% | 0.16% | 4.37% | 2.36% | 7.58% | -2.06% | -1.68% | -0.57% | -7.55% | -1.36% | -2.18% | 7.33% | -14.59% |
| 2019 | 1.13% | 2.45% | 1.03% | -1.34% | -2.22% | 0.25% | -2.16% | 1.40% | 0.18% | -2.10% | 2.52% | -1.73% | -0.77% | -5.90% |
| 2018 | -0.09% | 8.00% | 4.74% | 2.33% | 1.17% | 2.28% | -0.09% | -0.59% | -0.08% | 1.49% | -1.29% | 1.00% | 20.17% | -1.29% |
| 2017 | – | – | – | – | 0.70% | -0.20% | -0.08% | 1.69% | -0.83% | -0.09% | -0.06% | -0.02% | 1.09% | -1.00% |
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