1OAK Capital Limited : ACORN Commodity

archived programs
Year-to-Date
N / A
Mar Performance
-3.77%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.95%
Sharpe (RFR=1%)
0.45
CAROR
3.58%
Assets
$ 35.0M
Worst DD
-12.90
S&P Correlation
0.02

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
5/2012
ACORN Commodity -3.77 -3.77 - -8.29 -4.28 20.86 - 18.89
S&P 500 -0.04 5.53 - 14.71 26.19 67.75 - 81.95
+/- S&P 500 -3.73 -9.30 - -23.00 -30.47 -46.89 - -63.07

Strategy Description

Summary

Acorn is a portfolio of Systematic market-neutral commodity strategies.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
1750 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
Worst Peak-to-Trough
2.47%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
40.00%
1-3 Months
40.00%
1-30 Days
20.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
40.00%
Momentum
20.00%
Seasonal/cyclical
20.00%
Spreading/hedging
20.00%
Strategy Pie Chart

Composition

Grains
30.00%
Energy
25.00%
Livestock
25.00%
Industrial Metals
10.00%
Softs
10.00%
Composition Pie Chart

Summary

Acorn is a portfolio of Systematic market-neutral commodity strategies.

Investment Strategy

Acorn currently has five distinct sub-strategies which have been designed to both generate positive alpha and exhibit extremely low correlations. Acorn currently has positions in more than 40 diversified commodity futures and has a targeted volatility of 8%. The five sub-strategies currently employed by Acorn are as follows; Relative Value, Calendar Spread Trading,Momentum,Seasonality and Sentiment.

Risk Management

Acorn has a sophisticated risk strategy employing VAR with fat-tailed distributions, scenario analysis and concentration and leverage limits.

   

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
-12.90 26 - 1/1/2015 3/1/2017
-2.47 1 2 5/1/2013 6/1/2013
-1.63 1 5 1/1/0001 5/1/2012
-1.02 3 1 10/1/2012 1/1/2013
-0.60 1 1 9/1/2014 10/1/2014
-0.52 1 1 1/1/2014 2/1/2014
-0.07 1 1 3/1/2014 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
16.16 7 7/1/2013 1/1/2014
8.37 5 5/1/2014 9/1/2014
7.23 4 2/1/2013 5/1/2013
5.11 3 4/1/2016 6/1/2016
3.95 3 11/1/2014 1/1/2015
1.83 3 3/1/2015 5/1/2015
1.67 1 3/1/2014 3/1/2014
1.34 1 2/1/2016 2/1/2016
1.29 2 6/1/2012 7/1/2012
1.10 1 10/1/2012 10/1/2012
0.86 1 12/1/2016 12/1/2016
0.68 1 9/1/2016 9/1/2016
0.47 1 7/1/2015 7/1/2015
0.04 1 10/1/2015 10/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.21 3 11/1/2015 1/1/2016
-5.64 3 1/1/2017 3/1/2017
-3.63 2 10/1/2016 11/1/2016
-3.44 1 2/1/2015 2/1/2015
-2.47 1 6/1/2013 6/1/2013
-2.02 2 8/1/2015 9/1/2015
-1.63 1 5/1/2012 5/1/2012
-1.27 2 7/1/2016 8/1/2016
-1.16 1 3/1/2016 3/1/2016
-1.02 3 11/1/2012 1/1/2013
-0.60 1 10/1/2014 10/1/2014
-0.52 1 2/1/2014 2/1/2014
-0.43 2 8/1/2012 9/1/2012
-0.10 1 6/1/2015 6/1/2015
-0.07 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods59.0057.0054.0048.0042.0036.0024.00
Percent Profitable57.6363.1670.3764.5864.2980.5695.83
Average Period Return0.311.172.696.4710.5214.8122.01
Average Gain1.433.145.3611.9418.8419.7623.07
Average Loss-1.22-2.20-3.64-3.52-4.47-5.71-2.54
Best Period4.088.5815.2821.4830.4737.4836.45
Worst Period-3.77-6.21-8.28-9.27-9.93-9.81-2.54
Standard Deviation1.723.335.399.0212.9414.8411.35
Gain Standard Deviation1.082.323.786.107.6811.9510.30
Loss Standard Deviation1.151.652.582.242.673.11
Sharpe Ratio (1%)0.130.280.410.610.700.861.67
Average Gain / Average Loss1.171.431.473.394.223.469.08
Profit / Loss Ratio1.602.443.506.197.5914.34208.75
Downside Deviation (10%)1.292.323.665.317.457.915.74
Downside Deviation (5%)1.121.782.632.983.893.641.14
Downside Deviation (0%)1.081.662.402.463.082.820.52
Sortino Ratio (10%)-0.08-0.020.060.280.390.581.09
Sortino Ratio (5%)0.200.520.831.832.323.5216.68
Sortino Ratio (0%)0.290.711.122.633.415.2542.41

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 10 1.85 2013 - 2014

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