ALFAKRAFT Fonder AB

Alfa Sigma Opportunities

Strategy Description

The investment strategy is a short term model driven trading strategy focused on global options and futures. Positions have an average holding period of 5-10 days. A short time frame for trading in highly liquid instruments reduces volatility and downside risk. The fund's risk management system is designed to produce consistent returns with controlled volatility instead of periodically enlarged profits. The proprietary quantitative trading models are a big driver of alpha. Continuous development of current, as well as new, models is an important part of the operations within Sigma Opportunities. 

Note: The hedge fund strategy Sigma Opportunity’s track record dates back to November 2014 where it initially was a strategy component of a global balanced fund but also a standalone strategy in a managed account. On the 5th of June 2017 the portfolio managers of Sigma Opportunity, Mr. Dahlin and Mr. Hakenas, took over the management of an existing licensed AIF fund named Alfa Saga Fund and renamed it to Alfa Sigma Opportunities (ASO) as well as completely changed the fund’s strategy to that of Sigma Opportunity. The track record published on this page is therefore for the period November 2014 to May 2017 from Sigma Opportunity managed account, and from the 5th of June 2017 and onwards from ASO.

General Information

NHX CategoryManaged Futures & CTA
NHX CountrySweden
Legal StructureAlternative Investment Fund (AIF)
Fund DomicileSweden
Minimum Investment1,000,000 SEK
AUM -
Highwater MarkYes
Inception DateNov 2014
Management Fee1.5%
Performance Fee20%

Company Information

CompanyALFAKRAFT Fonder AB
PrincipalBengt Lindblad
AddressGrev Turegatan 10A
STOCKHOLM, 114 46
Phone+46 (0)8 545 188 80
Emailinfo@alfakraft.se
Websitewww.alfakraft.se

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2017 0.31 2.84 1.17 4.27 0.64 -0.33 1.20 0.02 0.06 0.86 0.69 0.27 12.58
2016 -3.82 4.51 3.38 -0.65 3.52 -1.98 -1.12 6.65 0.65 5.42 -3.52 3.92 17.52
2015 2.13 2.92 0.61 2.89 1.15 2.72 2.93 -4.46 -0.08 7.32 4.10 7.00 32.80
2014 1.96 -3.42 -1.53
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Manager Bio

Return Statistics

Last Month 0.27
3 Month ROR 1.83
Year To Date 12.58
12 Month ROR 12.58
36 Month ROR 75.70
Compound ROR 18.90
Winning Months (%) 76.32
Average Winning Month 2.62
Average Losing Month -2.15
Total Return 73.02

Risk Statistics

Sharpe Ratio 1.80
Sortino Ratio 3.87
Sterling Ratio 1.60
Calmar Ratio 4.56
Skewness -0.03
Kurtosis -0.11
Maximum Drawdown -4.54
Correlation vs S&P 500 0.32
Average Losing Month -2.15
Standard Deviation (monthly) 2.88
Downside Deviation 1.30

Risk/Return Chart

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -4.54 2 1 08/2015 10/2015
2 -3.82 1 1 01/2016 02/2016
3 -3.52 1 1 11/2016 12/2016
4 -3.42 1 2 12/2014 02/2015
5 -3.08 2 1 06/2016 08/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.32-4.461.491.160.2776.32
3 Months 19.54-1.744.714.481.8397.22
6 Months 24.222.4710.089.743.13100.00
1 Year 32.9211.8022.6522.4612.58100.00
2 Years 56.0932.3150.3353.2832.31100.00
3 Years 75.7069.2372.1071.3775.70100.00
5 Years ------

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Drawdown

Volatility (12 Months Rolling)

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR0.270.610.520.991.171.58
% Positive100.00100.00100.0091.6775.0077.78
Avg. Pos. Period0.270.610.521.122.242.65
Avg. Neg. Period - - - -0.33-1.90-2.00
Sharpe0.006.923.762.631.571.97
Sortino0.000.000.0036.083.484.52
Std. Deviation0.000.300.481.312.662.84
Down. Deviation0.000.000.000.101.171.21

ALL DATA INCLUDING PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE RESPECITVE MANAGERS AND FUND. HEDGENORDIC IN NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATION PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH FUNDS S RISK DISCLOSURE DOCUMENT. THERE MAY BE FUNDS WHO HAVE CHOSEN NOT TO BE LISTED IN THE HEDGENORDIC DATABASE AND NHX THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE IN OUR DATABASE.

THE RISK OF LOSS IN INVESTING IN HEDGEFUNDS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADE ONLY WITH RISK CAPITAL. SALES RESTRICTIONS MAY APPLY IN YOUR JURISDICTION.