March 2024

Aenaon Investments SA

Aenaon Syncro Currencies - Vanilla

General Information

Minimum Investment50,000 EUR
AUM55,000,000 EUR
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million185
Margin to Equity10.00%
Legal StructureManaged Account or Fund
Investment RestrictionUS Only
Inv. StyleShort to Medium Term/Breakout/Technical

General Information

CompanyAenaon Investments SA
PrincipalAnastasios Skordakis
Phone+30 210 5779 238
E-mail[email protected]
Performance Compiled byDeloitte

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.05 -1.30 2.25 0.97
2023 0.29 0.82 0.58 4.06 0.88 2.36 2.28 0.17 1.13 0.88 2.52 0.96 18.22
2022 3.28 -0.93 -0.41 0.03 -2.36 0.01 0.09 0.05 -0.84 -1.89 -0.67 1.32 -2.41
2021 -0.90 1.39 -0.45 -0.23 -2.72 0.29 -2.64 1.54 2.20 1.10 1.24 -0.63 0.05
2020 0.44A 3.28A 2.72A -1.95A -1.38A 2.21A 4.11 -0.90 0.49 -1.00 1.26 2.22 11.89
2019 2.01A -3.04A 1.68A -1.35A 1.25A 1.05A 1.49A 0.14A 3.69A -1.02A -2.30A 4.97A 8.59
2018 6.11A -2.35A 0.73A -0.92A -0.26A -0.30A 4.79A 1.82A 3.59A 2.30A 4.19A -1.93A 18.81
2017 2.13A -3.40A 3.76A 4.54A 0.83A 5.10A 3.55A 2.38A 3.03A -3.14A -2.84A 6.69A 24.37
2016 2.86 -1.38 2.76 -0.97 5.20 2.73 4.06 1.76 -8.10 7.18 0.60 2.03 19.44

Strategy Description

The program uses a systematic approach trading diversified portfolio of major currencies. The model is a short-term volatility break-out driven system with multiple filters that applies strict risk management principles, all of which have been thoroughly back-tested. It is a fully algorithmic automated system which tracks historical daily price ranges (volatility) and identifies patterns analyzing the synchronization characteristics of different time scales of the same currency at any given point in time. Thereafter the currency market status will be uniquely described by its current pattern formation, time frames’ synchronization state and statistical properties. The combined pattern and synch state is called "Sync ID". The true uniqueness of our investment approach lays in the use of Machine Learning methods in screening the most profitable Sync IDs in determining their respective optimal trade management tactics for each Sync ID.
The Aenaon Syncro Algo sets firm risk parameters, with the objective to limit losses on a per trade basis while allowing the system to profit from short-term price movements.

Statistics

Last Month 2.25%
Year To Date 0.97%
3 Month ROR 0.97%
12 Months ROR 17.38%
36 Month ROR 16.53%
Total Return Cumulative 149.92%
Total Return Annualized 11.74%
Winning Months (%) 67.68%
Average Winning Month 2.23%
Average Losing Month -1.70%

Statistics

Sharpe Ratio 1.35
Sortino Ratio 2.52
Sterling Ratio 0.37
Calmar Ratio 0.78
Skewness -0.18
Kurtosis 1.13
Max Drawdown (Monthly) -8.10%
Standard Deviation Monthly 2.46%
Downside Deviation 1.28%
Correlation vs S&P 500 -0.03
VAMI 1k 2499.22

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Fund Manager

Anastasios (Tasos) Skordakis is the founder of AENAON Markets and Chief Executive Officer since inception. Tasos is an experienced multi-disciplinary business leader with successful ventures in finance, technology, e-commerce and construction industry. His personal interest in the financial markets has led him to found AENAON Markets, where he is responsible for the company’s business strategy while he has been involved in the design and creation of its investment modules from day one. Tasos holds a BA in Business Studies from the London Guildhall University and a MSc in Information Technology from the University College London. He is also FCA-approved for the CF30 customer function.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -8.10% 1 3 09/2016 12/2016
2 -6.74% 10 6 02/2022 05/2023
3 -5.89% 2 1 10/2017 12/2017
4 -5.66% 5 4 03/2021 11/2021
5 -3.40% 1 1 02/2017 03/2017

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.18%-8.10%0.96%0.88%2.25%67.68%
3 Months 12.46%-5.01%2.87%2.47%0.97%75.26%
6 Months 21.86%-4.87%5.83%6.06%5.43%80.85%
1 Year 36.27%-5.23%11.58%12.72%17.38%90.91%
2 Years 55.51%-2.36%22.92%20.39%14.32%93.42%
3 Years 76.49%4.27%35.18%26.80%16.53%100.00%
5 Years 114.42%33.21%63.71%51.07%40.80%100.00%

Up Capture vs. Barclay CTA Index

Down Capture vs. Barclay CTA Index

Drawdown

Volatility (12 Months Rolling)

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR11.74%39.21%94.05%258.79%977.78%3112.36%
% Positive67.68%75.26%80.85%90.91%93.42%100.00%
Avg. Pos. Period2.23%4.49%7.73%13.05%24.64%35.18%
Avg. Neg. Period-1.70%-2.04%-2.18%-3.09%-1.50% -
Sharpe Ratio1.352.463.574.564.995.68
Sortino Ratio2.528.3317.3538.81185.130.00
Standard Deviation2.46%4.04%5.65%8.79%15.90%21.46%
Downside Deviation1.28%1.16%1.13%1.00%0.41%0.00%

Instruments

Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
A - Audited by Deloitte Cyprus Ltd

Risk Warning: This information is not considered as investment advice or investment recommendation but instead a marketing communication. The Company is not responsible for any loss arising from any information herein contained. Past performance does not guarantee or predict any future performance. Our products are traded on margin and carry a high level of risk and it is possible to lose all your capital. Seek independent advice if necessary.
Aenaon Markets builds specialized software for FinTech companies, financial institutions, robo advisors, wealth and asset managment firms.