Aquila Capital Concepts GmbH : AC Pharos Evolution Fund UCITS III

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
-0.64%
Min Investment
$ 140k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.09%
Sharpe (RFR=1%)
-1.07
CAROR
-14.12%
Assets
$ 1.5M
Worst DD
-44.93
S&P Correlation
0.22

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
3/2009
AC Pharos Evolution Fund UCITS III -0.64 2.20 - -12.19 -38.09 - - -41.31
S&P 500 1.98 7.35 - 15.38 37.79 - - 76.26
+/- S&P 500 -2.62 -5.15 - -27.58 -75.88 - - -117.57

Strategy Description

Summary

AC Pharos Evolution is a mutual fund targeting absolute returns. The fund is a UCITS III structure that offers investors daily liquidity and Luxemburg domicile and registration. The strategy can be classified as a commodity trading advisor (CTA) / managed... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 140k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
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
4500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Summary

AC Pharos Evolution is a mutual fund targeting absolute returns. The fund is a UCITS III structure that offers investors daily liquidity and Luxemburg domicile and registration. The strategy can be classified as a commodity trading advisor (CTA) / managed futures with a short term/systematic bias. Since 1980 the steady positive returns of these strategies have been measured in the Barclays CTA index and the CASAM / CISDM CTS Index. Other features of this asset class are the broad diversification of activities over many financial futures and commodity markets as well as low correlation with most other asset classes.

Investment Strategy

A quantitative, rule-based trading model is employed for automated electronic investment selection and order execution. The model integrates diversification parameters across different strategies, markets and time zones. The risk management places a strong emphasis on capital preservation and closes all positions at the end of the trading day. Hence, the fund trades without any overnight risks, which results in a favourable risk-return profile. Pharos Evolution invests in listed, transparent equity, bond and commodity futures contracts. Since inception of the strategy in 2001, the Pharos trading strategy has delivered high, uncorrelated doubledigit returns.

   

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
-44.93 38 - 3/1/2009 5/1/2012
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
12.74 2 5/1/2011 6/1/2011
10.93 3 11/1/2010 1/1/2011
4.29 1 3/1/2009 3/1/2009
3.68 1 11/1/2011 11/1/2011
3.24 1 6/1/2012 6/1/2012
2.39 1 9/1/2010 9/1/2010
1.78 1 4/1/2012 4/1/2012
1.39 1 5/1/2010 5/1/2010
1.33 1 5/1/2009 5/1/2009
0.86 1 7/1/2010 7/1/2010
0.55 1 11/1/2009 11/1/2009
0.06 1 1/1/2010 1/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-24.30 4 7/1/2011 10/1/2011
-13.85 5 6/1/2009 10/1/2009
-10.71 3 2/1/2011 4/1/2011
-7.27 1 8/1/2010 8/1/2010
-7.06 1 5/1/2012 5/1/2012
-6.77 3 2/1/2010 4/1/2010
-6.74 1 10/1/2010 10/1/2010
-5.58 4 12/1/2011 3/1/2012
-2.76 1 4/1/2009 4/1/2009
-1.31 1 12/1/2009 12/1/2009
-1.13 1 6/1/2010 6/1/2010
-1.01 2 7/1/2012 8/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable35.7122.505.410.000.000.00
Average Period Return-1.18-3.81-8.03-15.52-21.24-27.19
Average Gain2.843.973.36
Average Loss-3.41-6.07-8.68-15.52-21.24-27.19
Best Period6.3210.936.42-0.27-6.74-17.22
Worst Period-11.08-23.53-21.65-27.63-27.66-31.70
Standard Deviation4.076.255.305.314.773.26
Gain Standard Deviation2.184.064.32
Loss Standard Deviation3.014.804.605.314.773.26
Sharpe Ratio (1%)-0.31-0.65-1.61-3.11-4.77-8.96
Average Gain / Average Loss0.830.650.39
Profit / Loss Ratio0.460.190.02
Downside Deviation (10%)3.877.6511.7121.1729.2137.57
Downside Deviation (5%)3.676.949.9617.3223.2229.37
Downside Deviation (0%)3.616.779.5216.3721.7527.37
Sortino Ratio (10%)-0.41-0.66-0.90-0.97-0.99-1.00
Sortino Ratio (5%)-0.34-0.58-0.86-0.95-0.98-0.99
Sortino Ratio (0%)-0.33-0.56-0.84-0.95-0.98-0.99

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.