80 Capital LLP : Helium

archived programs
Year-to-Date
N / A
Feb Performance
-2.33%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.97%
Sharpe (RFR=1%)
1.17
CAROR
12.88%
Assets
$ 80.0M
Worst DD
-8.93
S&P Correlation
0.13

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2012
Helium -2.33 - - - - - - 45.31
S&P 500 5.49 - - - - - - 153.70
+/- S&P 500 -7.82 - - - - - - -108.39

Strategy Description

Summary

80 Capital specializes in global quantitative trading. Our first program Helium program was launched in February 2012 by Philippe Azoulay while he was working for Deutsche Bank (DB). DB subsequently seeded his program Helium with $50 million in 2013. ... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 9.80%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 70.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
30.00%
Other
70.00%
Strategy Pie Chart

Composition

Summary

80 Capital specializes in global quantitative trading. Our first program Helium program was launched in February 2012 by Philippe Azoulay while he was working for Deutsche Bank (DB). DB subsequently seeded his program Helium with $50 million in 2013.

Investment Strategy

Our program has a unique and innovative approach to trading futures. Rather than applying filters on the futures contracts directly, Helium applies its filters on synthetic markets, which are combinations of futures contracts, capturing phenomena arising not only from price movements but also from correlations moves between the futures contracts. Also, another significant differentiating factor is the portfolio allocation methodology based on error minimization.

Risk Management

Allocation based on error minimization
Helium’s allocation is mostly based on how wrong we can be rather than how strong/right a signal can be.

   

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
-8.93 2 5 4/1/2013 6/1/2013
-3.51 1 5 12/1/2013 1/1/2014
-2.33 1 - 1/1/2015 2/1/2015
-1.77 3 2 7/1/2012 10/1/2012
-1.64 1 1 5/1/2012 6/1/2012
-1.40 1 1 2/1/2012 3/1/2012
-1.20 1 1 6/1/2014 7/1/2014
-0.80 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
25.78 4 10/1/2014 1/1/2015
10.87 6 11/1/2012 4/1/2013
7.16 4 9/1/2013 12/1/2013
4.97 3 4/1/2014 6/1/2014
4.95 1 7/1/2013 7/1/2013
4.52 2 4/1/2012 5/1/2012
3.97 1 8/1/2014 8/1/2014
2.20 1 7/1/2012 7/1/2012
1.53 1 2/1/2014 2/1/2014
0.55 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.93 2 5/1/2013 6/1/2013
-3.51 1 1/1/2014 1/1/2014
-2.33 1 2/1/2015 2/1/2015
-1.92 1 8/1/2013 8/1/2013
-1.77 3 8/1/2012 10/1/2012
-1.64 1 6/1/2012 6/1/2012
-1.40 1 3/1/2012 3/1/2012
-1.20 1 7/1/2014 7/1/2014
-0.94 1 3/1/2014 3/1/2014
-0.80 1 9/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable64.8677.1481.2596.15100.00100.00
Average Period Return1.053.345.519.2113.1918.02
Average Gain2.655.107.009.6713.1918.02
Average Loss-1.90-2.58-0.94-2.23
Best Period7.3022.8729.7335.3137.2338.58
Worst Period-4.86-6.18-1.86-2.235.559.09
Standard Deviation2.885.647.198.5610.3610.24
Gain Standard Deviation2.065.177.198.4010.3610.24
Loss Standard Deviation1.481.880.68
Sharpe Ratio (1%)0.340.550.700.961.131.56
Average Gain / Average Loss1.401.987.434.33
Profit / Loss Ratio2.586.6732.21108.24
Downside Deviation (10%)1.612.021.652.020.710.37
Downside Deviation (5%)1.451.590.680.64
Downside Deviation (0%)1.411.490.490.44
Sortino Ratio (10%)0.401.051.842.087.8920.90
Sortino Ratio (5%)0.671.947.3712.75
Sortino Ratio (0%)0.752.2411.2721.03

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.