Amapa Capital Advisors LLC : Energy Program

Year-to-Date
6.83%
Apr Performance
3.17%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.14%
Sharpe (RFR=0%)
1.03
CAROR
9.45%
Assets
$ 39.9M
Worst DD
-7.05
S&P Correlation
0.01

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
2/2015
Energy Program 3.17 8.58 6.83 4.45 28.92 54.48 - 60.63
S&P 500 12.68 -9.71 -9.85 -1.14 20.91 38.23 - 36.98
+/- S&P 500 -9.51 18.28 16.68 5.59 8.01 16.25 - 23.65

Strategy Description

Summary

Amapa Capital Advisors, an NFA registered CTA, was founded in December 2014 by Denys Thorez. Mr Thorez brings with him 25 years of experience in energy trading and risk management. Prior to starting Amapa, he was a trading principal at AAA Capital Management, a $1B+ energy CTA, from... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough -7.05%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 60.00%
Intraday 15.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
60.00%
Technical
40.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Amapa Capital Advisors, an NFA registered CTA, was founded in December 2014 by Denys Thorez. Mr Thorez brings with him 25 years of experience in energy trading and risk management. Prior to starting Amapa, he was a trading principal at AAA Capital Management, a $1B+ energy CTA, from 2002 to 2014. He started his career on the NYMEX trading floor as an options market maker, then managed the natural gas price book of Mirant, a gas and power merchant from 1997 to 2002. Mr. Thorez holds a BA in finance from University Paris-Dauphine, France and an MBA from Baruch College, NY. He is a CFA Charterholder and a member of the CFA Society of Houston. He is the largest investor in Amapa with about 60% of the AUM. Mr Thorez started the Amapa Investment Fund in 2007 as a friends & family program in parallel to managing up to $150 million of AAA's assets. As a result of AAA's closure, Amapa Capital Advisors was established and began trading the Fund in February 2015. At that time, a new risk management framework was implemented for the Fund's trading program as well as a recalibration of its research/investment process. The Fund is now open to new investors and Amapa Capital Advisors is available to trade individual accounts for QEPs. Performance prior to Feb 2015 is available upon request.

Investment Strategy

The Energy Program is discretionary and focuses on petroleum and US natural gas. The investment strategy merges an analysis of supply demand dynamics to identify themes and biases with a thorough review of technical factors to filter trade ideas and define risk reward parameters.

Risk Management

The program implements both directional and relative value trades. Risk and position sizing are measured at the trade level. The holding period can vary from intraday to a few months according to the commodity being traded, the volatility of the underlying and the tactical vs structural nature of the trade.

   

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:
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Risk
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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:
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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
-7.05 5 8 9/1/2017 2/1/2018
-5.28 2 5 11/1/2015 1/1/2016
-3.80 9 2 4/1/2019 1/1/2020
-2.30 2 2 12/1/2016 2/1/2017
-2.16 4 2 4/1/2015 8/1/2015
-1.74 2 2 4/1/2017 6/1/2017
-1.59 1 1 2/1/2019 3/1/2019
-0.90 1 1 2/1/2015 3/1/2015
-0.60 1 1 7/1/2016 8/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
22.62 8 7/1/2018 2/1/2019
10.03 4 9/1/2016 12/1/2016
9.65 4 4/1/2016 7/1/2016
8.58 3 2/1/2020 4/1/2020
5.59 3 7/1/2017 9/1/2017
4.73 3 3/1/2018 5/1/2018
4.63 3 9/1/2015 11/1/2015
3.36 2 3/1/2017 4/1/2017
2.99 1 2/1/2015 2/1/2015
2.47 1 2/1/2016 2/1/2016
2.32 1 4/1/2019 4/1/2019
1.88 1 4/1/2015 4/1/2015
1.74 1 11/1/2019 11/1/2019
1.30 1 11/1/2017 11/1/2017
1.04 2 8/1/2019 9/1/2019
0.24 1 6/1/2015 6/1/2015
0.22 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.28 2 12/1/2015 1/1/2016
-4.60 3 12/1/2017 2/1/2018
-3.82 1 10/1/2017 10/1/2017
-3.48 2 12/1/2019 1/1/2020
-2.30 2 1/1/2017 2/1/2017
-2.06 1 5/1/2015 5/1/2015
-1.90 1 10/1/2019 10/1/2019
-1.74 2 5/1/2017 6/1/2017
-1.59 1 3/1/2019 3/1/2019
-1.18 1 5/1/2019 5/1/2019
-1.02 1 6/1/2018 6/1/2018
-0.90 1 3/1/2015 3/1/2015
-0.60 1 8/1/2016 8/1/2016
-0.42 1 3/1/2016 3/1/2016
-0.34 2 7/1/2015 8/1/2015
-0.21 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods64.0063.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable70.3163.4968.8568.9786.54100.00100.00100.00100.00
Average Period Return14.870.782.184.449.8616.4420.7231.1648.25
Average Gain24.092.024.007.1511.5716.4420.7231.1648.25
Average Loss-6.97-1.37-1.85-1.58-1.10
Best Period61.258.6617.0521.2527.1126.5629.2750.0054.62
Worst Period-21.04-4.36-4.72-6.85-2.690.9510.5716.6642.36
Standard Deviation20.362.354.396.498.826.774.3110.173.07
Gain Standard Deviation16.881.944.066.008.256.774.3110.173.07
Loss Standard Deviation6.171.111.371.831.14
Sharpe Ratio (1%)0.380.300.440.611.002.214.342.7714.40
Average Gain / Average Loss3.451.472.174.5210.56
Profit / Loss Ratio8.182.564.7910.0667.90
Downside Deviation (10%)32.561.261.912.542.921.40
Downside Deviation (5%)8.641.101.391.520.880.08
Downside Deviation (0%)5.021.061.271.330.56
Sortino Ratio (10%)-0.790.300.500.771.676.31
Sortino Ratio (5%)0.890.641.392.5810.13182.13
Sortino Ratio (0%)2.960.741.713.3517.67

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 1.74 11/2019
Discretionary Trader Index Month 9 2.32 4/2019
Discretionary Trader Index Month 8 2.32 4/2019
Discretionary Trader Index Month 10 0.98 2/2019
IASG CTA Index Annual 8 19.40 2018
IASG CTA Index Month 1 8.66 11/2018
Discretionary Trader Index Month 1 8.66 11/2018
Discretionary Trader Index Month 4 5.45 10/2018
IASG CTA Index Month 9 5.45 10/2018
Discretionary Trader Index Month 8 2.15 9/2018
Discretionary Trader Index Month 8 2.15 9/2018
Discretionary Trader Index Month 6 3.89 8/2017
Discretionary Trader Index Month 9 2.10 4/2017
IASG CTA Index Annual 7 21.19 2016
IASG CTA Index Month 6 5.18 12/2016
Discretionary Trader Index Month 3 5.18 12/2016
Discretionary Trader Index Month 8 2.50 9/2016

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