ARCTIC BLUE CAPITAL : Arctic Blue Program (2x)

Year-to-Date
5.41%
Jul Performance
-1.70%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.45%
Sharpe (RFR=1%)
0.02
CAROR
0.49%
Assets
$ 137.9M
Worst DD
-32.66
S&P Correlation
0.01

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/2014
Arctic Blue Program (2x) -1.70 -1.21 -5.41 -8.36 -30.93 7.79 - 2.53
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 50.50
+/- S&P 500 -3.01 -2.38 -24.29 -14.17 -66.65 -45.00 - -47.96

Strategy Description

Summary

The strategy was opened to external investors in June 2014 for the first time as a standalone program in a Managed Account.

Arctic Blue’s track record of significant uncorrelated returns outperform all the mainstream CTA indices. Arctic Blue’s performance offers significant... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
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
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
-28.00%
Worst Peak-to-Trough
28.00%
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
65.00%
1-3 Months
35.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Momentum
40.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Precious Metals
40.00%
Energy
20.00%
Grains
20.00%
Livestock
10.00%
Softs
10.00%
Composition Pie Chart

Summary

The strategy was opened to external investors in June 2014 for the first time as a standalone program in a Managed Account.

Arctic Blue’s track record of significant uncorrelated returns outperform all the mainstream CTA indices. Arctic Blue’s performance offers significant diversification for an array of portfolios as it maintains a very low to negative correlation with global equity,commodity and CTA indices.

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
-32.66 37 - 6/1/2016 7/1/2019
-8.42 3 5 3/1/2015 6/1/2015
-5.10 1 1 4/1/2016 5/1/2016
-4.88 2 2 1/1/0001 7/1/2014
-2.30 1 1 11/1/2015 12/1/2015
-2.10 1 1 1/1/2015 2/1/2015
-0.50 1 1 2/1/2016 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
34.29 6 8/1/2014 1/1/2015
10.81 2 1/1/2016 2/1/2016
7.99 2 7/1/2015 8/1/2015
7.30 1 6/1/2016 6/1/2016
6.30 1 3/1/2015 3/1/2015
5.99 2 12/1/2017 1/1/2018
3.83 2 10/1/2015 11/1/2015
3.23 3 11/1/2018 1/1/2019
2.21 2 6/1/2018 7/1/2018
2.20 1 4/1/2016 4/1/2016
1.50 1 8/1/2017 8/1/2017
1.30 2 3/1/2018 4/1/2018
1.20 1 12/1/2016 12/1/2016
1.00 1 6/1/2019 6/1/2019
0.70 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.34 5 7/1/2016 11/1/2016
-11.91 7 1/1/2017 7/1/2017
-8.42 3 4/1/2015 6/1/2015
-5.20 4 2/1/2019 5/1/2019
-5.10 1 10/1/2018 10/1/2018
-5.10 1 5/1/2016 5/1/2016
-4.88 2 6/1/2014 7/1/2014
-4.65 3 9/1/2017 11/1/2017
-2.70 1 2/1/2018 2/1/2018
-2.30 1 12/1/2015 12/1/2015
-2.10 1 2/1/2015 2/1/2015
-1.70 1 7/1/2019 7/1/2019
-1.30 1 8/1/2018 8/1/2018
-1.10 1 5/1/2018 5/1/2018
-0.50 1 3/1/2016 3/1/2016
-0.50 1 9/1/2015 9/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable45.1651.6743.8641.1826.6720.5118.5233.33
Average Period Return0.100.570.90-0.18-1.67-5.66-12.76-5.95
Average Gain3.065.4110.3614.6026.0430.3311.3712.06
Average Loss-2.33-4.61-6.50-10.53-11.75-14.94-18.25-14.95
Best Period11.6023.1534.2936.4451.5559.4315.0917.62
Worst Period-9.50-15.93-18.46-27.88-28.60-26.81-31.49-20.99
Standard Deviation3.597.1011.2815.5920.1221.9913.8914.01
Gain Standard Deviation2.765.949.5110.8115.7323.645.646.12
Loss Standard Deviation2.033.825.618.318.876.917.914.28
Sharpe Ratio (1%)0.010.040.04-0.08-0.16-0.35-1.14-0.71
Average Gain / Average Loss1.311.171.591.392.222.030.620.81
Profit / Loss Ratio1.081.251.250.970.810.520.140.40
Downside Deviation (10%)2.514.837.9013.5018.2123.3431.6230.65
Downside Deviation (5%)2.324.276.6810.8413.6016.2920.4415.88
Downside Deviation (0%)2.284.136.3910.2312.5414.6417.8912.65
Sortino Ratio (10%)-0.12-0.14-0.20-0.38-0.51-0.68-0.90-0.90
Sortino Ratio (5%)0.010.070.06-0.11-0.23-0.47-0.77-0.63
Sortino Ratio (0%)0.050.140.14-0.02-0.13-0.39-0.71-0.47

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.