1OAK Capital Limited : ACORN Commodity Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2012 ACORN Commodity -3.77 - - - - -8.03 - 18.89 S&P 500 -0.04 - - - - 67.75 - 242.79 +/- S&P 500 -3.73 - - - - -75.78 - -223.91 Strategy Description SummaryAcorn 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% Composition Grains 30.00% Energy 25.00% Livestock 25.00% Industrial Metals 10.00% Softs 10.00% SummaryAcorn is a portfolio of Systematic market-neutral commodity strategies.Investment StrategyAcorn 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 ManagementAcorn has a sophisticated risk strategy employing VAR with fat-tailed distributions, scenario analysis and concentration and leverage limits. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Sharpe 10 1.85 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. x {{title}} x {{title}} Add Cancel