1OAK Capital Limited : ACORN Commodity

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

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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	2019	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%

Composition

Grains: 30.00%
Energy: 25.00%
Livestock: 25.00%
Industrial Metals: 10.00%
Softs: 10.00%

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.

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

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	59.00	57.00	54.00	48.00	42.00	36.00	24.00
Percent Profitable	57.63	63.16	70.37	64.58	64.29	80.56	95.83
Average Period Return	0.31	1.17	2.69	6.47	10.52	14.81	22.01
Average Gain	1.43	3.14	5.36	11.94	18.84	19.76	23.07
Average Loss	-1.22	-2.20	-3.64	-3.52	-4.47	-5.71	-2.54
Best Period	4.08	8.58	15.28	21.48	30.47	37.48	36.45
Worst Period	-3.77	-6.21	-8.28	-9.27	-9.93	-9.81	-2.54
Standard Deviation	1.72	3.33	5.39	9.02	12.94	14.84	11.35
Gain Standard Deviation	1.08	2.32	3.78	6.10	7.68	11.95	10.30
Loss Standard Deviation	1.15	1.65	2.58	2.24	2.67	3.11
Sharpe Ratio (1%)	0.13	0.28	0.41	0.61	0.70	0.86	1.67
Average Gain / Average Loss	1.17	1.43	1.47	3.39	4.22	3.46	9.08
Profit / Loss Ratio	1.60	2.44	3.50	6.19	7.59	14.34	208.75
Downside Deviation (10%)	1.29	2.32	3.66	5.31	7.45	7.91	5.74
Downside Deviation (5%)	1.12	1.78	2.63	2.98	3.89	3.64	1.14
Downside Deviation (0%)	1.08	1.66	2.40	2.46	3.08	2.82	0.52
Sortino Ratio (10%)	-0.08	-0.02	0.06	0.28	0.39	0.58	1.09
Sortino Ratio (5%)	0.20	0.52	0.83	1.83	2.32	3.52	16.68
Sortino Ratio (0%)	0.29	0.71	1.12	2.63	3.41	5.25	42.41

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.

^#10

Top Performer

IASG CTA INDEX

2014
SHARPE

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1OAK Capital Limited : ACORN Commodity

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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