514 Capital Partners : 514 Fund

Year-to-Date
3.49%
Oct Performance
-5.16%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.33%
Sharpe (RFR=1%)
0.59
CAROR
10.33%
Assets
$ 17.9M
Worst DD
-33.79
S&P Correlation
0.11

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
11/2013
514 Fund -5.16 -3.32 -3.49 -7.69 16.20 40.83 - 80.36
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 66.50
+/- S&P 500 -7.20 -5.24 -24.65 -19.70 -25.21 -8.15 - 13.86

Strategy Description

Summary

We develop quantitative models that trade over 25 major liquid global markets namely fixed income, indices, currencies, and commodities. 514 Fund, the firm’s flagship Fund, trades in markets that present the best asymmetrical risk/reward characteristics. The Fund seeks to achieve... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.89
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1004 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
33.80%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
1.00%
1-3 Months
3.00%
1-30 Days
61.00%
Intraday
35.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
46.00%
Currency FX
29.00%
Stock Indices
11.00%
Precious Metals
10.00%
Energy
4.00%
Composition Pie Chart

Summary

We develop quantitative models that trade over 25 major liquid global markets namely fixed income, indices, currencies, and commodities. 514 Fund, the firm’s flagship Fund, trades in markets that present the best asymmetrical risk/reward characteristics. The Fund seeks to achieve capital appreciation through an attractive risk-adjusted return while bearing a low correlation to traditional equity and fixed income investments. It follows a predominantly trend-following, systematic trading strategy that aims to capture performance from both long and short positions.

Investment Strategy

We start with the principle that market participants drive prices. Through the use of market sentiment indicators, we design different models that aim to capture this relationship. Our systematic models track how these indicators evolve over time and continuously re-adjust themselves accordingly. We spend our time assessing new strategies, new markets, and new time-frames. Our research objective is to find incremental improvements that contribute to the overall statistical robustness of our system. We are agnostic to fundamental data.

Risk Management

Our trading edge must be protected through proper risk management. In that way, we seek to optimize our systems to capture better asymmetrical risk/reward opportunities. Once we identify, quantify, and parameterize the risks, we can achieve more stability in our performance across different market conditions.

   

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
-33.79 19 - 8/1/2015 3/1/2017
-6.51 2 1 11/1/2013 1/1/2014
-6.03 2 4 3/1/2014 5/1/2014
-4.11 1 1 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
80.31 10 8/1/2014 5/1/2015
23.13 2 2/1/2014 3/1/2014
19.81 7 4/1/2018 10/1/2018
13.34 4 5/1/2019 8/1/2019
12.12 6 6/1/2017 11/1/2017
11.01 2 7/1/2015 8/1/2015
8.31 1 1/1/2018 1/1/2018
5.18 1 2/1/2016 2/1/2016
4.52 1 7/1/2016 7/1/2016
3.23 3 10/1/2016 12/1/2016
2.93 1 11/1/2013 11/1/2013
2.54 1 6/1/2014 6/1/2014
1.82 1 4/1/2017 4/1/2017
1.65 1 1/1/2019 1/1/2019
1.49 1 11/1/2015 11/1/2015
0.09 1 5/1/2016 5/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.16 2 12/1/2015 1/1/2016
-10.26 2 3/1/2016 4/1/2016
-8.77 3 1/1/2017 3/1/2017
-8.68 3 2/1/2019 4/1/2019
-8.27 2 9/1/2019 10/1/2019
-8.16 2 8/1/2016 9/1/2016
-6.78 2 2/1/2018 3/1/2018
-6.51 2 12/1/2013 1/1/2014
-6.30 1 6/1/2016 6/1/2016
-6.12 2 9/1/2015 10/1/2015
-6.03 2 4/1/2014 5/1/2014
-4.35 2 11/1/2018 12/1/2018
-4.11 1 6/1/2015 6/1/2015
-2.06 1 12/1/2017 12/1/2017
-0.26 1 5/1/2017 5/1/2017
-0.17 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable59.7258.5762.6962.3070.9167.3567.5768.00
Average Period Return0.943.156.7014.9420.3117.8414.1530.63
Average Gain3.949.3316.1132.4536.8935.5125.5850.58
Average Loss-3.51-5.58-9.11-13.98-20.08-18.61-9.65-11.78
Best Period19.0039.8368.2590.65125.53105.3758.0081.80
Worst Period-8.31-11.86-17.96-26.16-32.98-29.91-19.79-15.45
Standard Deviation5.0010.1818.4232.3539.9334.6422.1733.48
Gain Standard Deviation4.058.9016.9228.6035.4627.7417.2918.85
Loss Standard Deviation2.112.725.408.629.929.636.383.07
Sharpe Ratio (1%)0.170.290.340.430.470.460.500.79
Average Gain / Average Loss1.121.671.772.321.841.912.654.29
Profit / Loss Ratio1.672.362.973.834.483.935.529.12
Downside Deviation (10%)2.814.717.7912.7715.8717.3715.6119.13
Downside Deviation (5%)2.634.136.7010.5612.7412.938.039.11
Downside Deviation (0%)2.593.986.4410.0312.0111.906.516.86
Sortino Ratio (10%)0.190.410.540.780.800.44-0.100.47
Sortino Ratio (5%)0.330.700.921.321.481.221.392.92
Sortino Ratio (0%)0.360.791.041.491.691.502.174.46

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 5.62 6/2019

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