Arion Investment Management : Arion Copper Arbitrage

Year-to-Date
8.00%
Oct Performance
-1.26%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.64%
Sharpe (RFR=1%)
0.54
CAROR
9.43%
Assets
$ 13.5M
Worst DD
-12.46
S&P Correlation
0.18

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
10/2015
Arion Copper Arbitrage -1.26 -1.07 -8.00 -8.74 4.83 48.91 - 58.10
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 72.40
+/- S&P 500 1.51 -1.04 -9.21 -16.39 -22.14 -6.75 - -14.30

Strategy Description

Summary

Due to the various differences between metal exchanges (LME and Comex) and trading structures within the copper market, arbitrage opportunities are able to be exploited. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 12.30%
Sector Focus Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Industrial Metals
100.00%
Composition Pie Chart

Summary

Due to the various differences between metal exchanges (LME and Comex) and trading structures within the copper market, arbitrage opportunities are able to be exploited.

Investment Strategy

Through both our trading experience and market relationships with various counterparties, we have been able to access a niche capacity constrained trade that larger players are unable to participate in. In this very traditional hedge fund trade, copper in London will either price at a premium or at a discount to the copper contract traded in New York. This allows sophisticated participants to access the 'location arbitrage' opportunity. The strategy trades in futures and forward contracts only.

Risk Management

PORTFOLIO LEVEL: PMs manage the risk on a trade by trade basis and on a portfolio level within the agreed Risk Guidelines. RISK MANAGEMENT LEVEL: Our Risk Manager actively monitors the risk of the entire trading portfolios and intervenes if a breach occurs. MANAGEMENT LEVEL: Management monitors concentration risks, drawdown and volatility. RISK SYSTEM: Bespoke risk system in place to monitor real-time risk

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-12.46 1 1 12/1/2016 1/1/2017
-10.79 3 - 1/1/2020 4/1/2020
-9.77 5 3 10/1/2017 3/1/2018
-6.85 15 1 7/1/2018 10/1/2019
-5.66 2 2 6/1/2017 8/1/2017
-4.19 4 8 11/1/2015 3/1/2016
-2.36 2 1 3/1/2017 5/1/2017
-0.80 1 1 11/1/2019 12/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
31.18 2 2/1/2017 3/1/2017
23.02 3 10/1/2016 12/1/2016
22.25 4 4/1/2018 7/1/2018
10.47 2 9/1/2017 10/1/2017
8.18 1 11/1/2019 11/1/2019
6.17 2 10/1/2015 11/1/2015
4.92 1 6/1/2017 6/1/2017
3.55 2 6/1/2019 7/1/2019
3.55 3 4/1/2016 6/1/2016
2.94 1 11/1/2018 11/1/2018
2.49 3 7/1/2020 9/1/2020
1.57 1 1/1/2020 1/1/2020
1.53 1 9/1/2019 9/1/2019
1.08 2 2/1/2019 3/1/2019
0.91 1 2/1/2018 2/1/2018
0.64 1 5/1/2020 5/1/2020
0.27 1 9/1/2018 9/1/2018
0.09 1 1/1/2016 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.46 1 1/1/2017 1/1/2017
-10.79 3 2/1/2020 4/1/2020
-9.55 3 11/1/2017 1/1/2018
-6.22 1 10/1/2019 10/1/2019
-5.66 2 7/1/2017 8/1/2017
-3.74 1 8/1/2018 8/1/2018
-2.77 1 12/1/2015 12/1/2015
-2.60 2 12/1/2018 1/1/2019
-2.36 2 4/1/2017 5/1/2017
-1.90 3 7/1/2016 9/1/2016
-1.55 2 2/1/2016 3/1/2016
-1.48 1 10/1/2018 10/1/2018
-1.26 1 10/1/2020 10/1/2020
-1.17 1 8/1/2019 8/1/2019
-1.15 1 3/1/2018 3/1/2018
-0.81 2 4/1/2019 5/1/2019
-0.80 1 12/1/2019 12/1/2019
-0.31 1 6/1/2020 6/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable52.4662.7167.8676.0081.8286.84100.00100.00
Average Period Return0.882.515.2812.5220.1526.3941.0557.81
Average Gain3.766.139.8017.7625.6631.1841.0557.81
Average Loss-2.31-3.59-4.26-4.07-4.64-5.19
Best Period22.2430.3241.2747.5854.5063.4065.9370.76
Worst Period-12.46-10.79-9.54-7.02-7.03-8.391.4448.32
Standard Deviation5.097.6511.4915.6218.4221.4024.448.19
Gain Standard Deviation4.957.1911.2414.2915.6418.6924.448.19
Loss Standard Deviation2.903.293.192.141.582.48
Sharpe Ratio (1%)0.160.300.420.741.011.141.566.56
Average Gain / Average Loss1.631.712.304.365.536.00
Profit / Loss Ratio1.802.884.8613.8124.8739.61
Downside Deviation (10%)2.723.544.244.645.456.054.89
Downside Deviation (5%)2.573.053.222.682.702.740.31
Downside Deviation (0%)2.532.942.982.232.082.05
Sortino Ratio (10%)0.170.360.661.622.302.675.17
Sortino Ratio (5%)0.310.741.494.306.918.91121.99
Sortino Ratio (0%)0.350.851.775.619.7012.88

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.