ARCTIC BLUE CAPITAL : Arctic Blue Inuvik

Year-to-Date
9.62%
Oct Performance
-2.10%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.51%
Sharpe (RFR=1%)
-0.81
CAROR
-4.40%
Assets
$ 114.8M
Worst DD
-12.09
S&P Correlation
0.23

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
Arctic Blue Inuvik -2.10 -3.77 -9.62 -6.89 - - - -10.63
S&P 500 2.04 1.92 21.16 12.01 - - - 24.66
+/- S&P 500 -4.14 -5.69 -30.78 -18.89 - - - -35.29

Strategy Description

Summary

Investor demand for capital efficiency and restrictions on combining ETFs and futures has led to Arctic Blue Futures portfolio. This portfolio does not contain ETFs but replicates the original Arctic Blue portfolio’s performance by trading the underlying futures. Exactly the same Arctic... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
Worst Peak-to-Trough
24.90%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
50.00%
1-3 Months
35.00%
1-30 Days
15.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
33.00%
Momentum
34.00%
Trend-following
33.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Softs
20.00%
Grains
10.00%
Livestock
10.00%
Composition Pie Chart

Summary

Investor demand for capital efficiency and restrictions on combining ETFs and futures has led to Arctic Blue Futures portfolio. This portfolio does not contain ETFs but replicates the original Arctic Blue portfolio’s performance by trading the underlying futures. Exactly the same Arctic Blue strategy is used to generate signals to trade both the original portfolio and the futures portfolios. The overall performance and volatility from trading both portfolios remains similar. The Arctic Blue Futures Program trades the underlying futures markets of the Arctic Blue Original ETFs, DB Agriculture Fund and SPDR Gold Shares In order to give a pure exposure to commodity contracts, the Arctic Blue Futures program: Removes the Arctic Blue Original XOP ETF (equal-weighted index of US oil & gas exploration & production companies) from the portfolio. Removes the VIX Futures component Arctic Blue Inuvik is available on the DB Select platform.

Investment Strategy

There is no directional bias for any model, they can all go long or short and will sometimes create synthetic long short positions. Capital is allocated to each system based on risk profile and volatility of return, and is designed to maximise the probability of having multiple systems making money simultaneously. Three systems (breakout, trend and reversal) operate across three time horizons (short, mid and long term), to capture different types and durations of moves. There are eight models in total, as reversal does not operate across the short term time horizon as the models do not generate significantly profitable price reversal signals.

Risk Management

The trading models are run in parallel in two separate IT systems, taking the data from two separate data sources, Bloomberg and CGQ. The objective of this double confirmation process is intended to avoid any unlikely event in which either the models or the data they capture to run, are compromised. A comparison check to confirm the results of the model signals are the same is always performed prior to executing any trades.
• Margin to Equity Ratio (provided by primer brokers)
• VaR
• Scenario stress testing

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
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 (Mos.) Recovery (Mos.) Peak Valley
-12.09 15 - 7/1/2018 10/1/2019
-4.14 6 2 5/1/2017 11/1/2017
-2.20 1 4 1/1/2018 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
5.27 2 12/1/2017 1/1/2018
3.02 2 11/1/2018 12/1/2018
2.41 2 6/1/2018 7/1/2018
2.20 1 10/1/2017 10/1/2017
1.30 2 3/1/2018 4/1/2018
1.20 1 6/1/2019 6/1/2019
0.90 1 8/1/2017 8/1/2017
0.70 1 9/1/2018 9/1/2018
0.40 1 8/1/2019 8/1/2019
0.30 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.20 1 10/1/2018 10/1/2018
-5.20 5 1/1/2019 5/1/2019
-4.16 2 9/1/2019 10/1/2019
-3.90 1 11/1/2017 11/1/2017
-2.20 1 2/1/2018 2/1/2018
-2.10 1 7/1/2019 7/1/2019
-1.70 1 9/1/2017 9/1/2017
-1.59 2 6/1/2017 7/1/2017
-1.10 1 8/1/2018 8/1/2018
-1.00 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable46.6735.7136.0036.840.00
Average Period Return-0.36-0.94-1.64-2.76-4.40
Average Gain1.261.451.631.70
Average Loss-1.77-2.26-3.47-5.36-4.40
Best Period3.102.953.253.42-0.12
Worst Period-5.20-5.59-5.82-9.84-10.87
Standard Deviation1.882.302.874.143.22
Gain Standard Deviation0.860.881.211.17
Loss Standard Deviation1.271.671.552.713.22
Sharpe Ratio (1%)-0.23-0.51-0.74-0.91-1.84
Average Gain / Average Loss0.710.640.470.32
Profit / Loss Ratio0.620.360.260.18
Downside Deviation (10%)1.833.104.978.7412.38
Downside Deviation (5%)1.632.403.405.466.66
Downside Deviation (0%)1.582.233.034.735.37
Sortino Ratio (10%)-0.42-0.70-0.83-0.89-0.97
Sortino Ratio (5%)-0.27-0.49-0.63-0.69-0.89
Sortino Ratio (0%)-0.23-0.42-0.54-0.58-0.82

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.