AVR Capital Advisors LLC : AVR Managed Futures Micro Program (Proprietary)

Year-to-Date
0.30%
Jan Performance
0.30%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.48%
Sharpe (RFR=1%)
4.95
CAROR
-
Assets
$ 400k
Worst DD
N/A
S&P Correlation
0.63

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2019
AVR Managed Futures Micro Program (Proprietary) 0.30 3.45 0.30 - - - - 6.19
S&P 500 -0.16 6.19 -0.16 - - - - 6.19
+/- S&P 500 0.46 -2.74 0.46 - - - - 0.01

Strategy Description

Summary

The AVR Managed Futures Program (“Trading Program”) is a systematic, diversified program that seeks to achieve long term capital appreciation with low correlation to stocks and bonds. The Trading Program primarily trade the E-Micro S&P 500 futures as well as the E-Micro futures on... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
12000 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
50.00%
Intraday
50.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
25.00%
Counter-trend
25.00%
Momentum
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The AVR Managed Futures Program (“Trading Program”) is a systematic, diversified program that seeks to achieve long term capital appreciation with low correlation to stocks and bonds. The Trading Program primarily trade the E-Micro S&P 500 futures as well as the E-Micro futures on Nasdaq 100 and Russell 2000. The Trading Program is managed by AVR Capital Advisors LLC (“AVR Capital”), founded by Mr. Harsha Patwardhan in 2019. Mr. Patwardhan developed the key components of the Trading Program as a portfolio manager at Pacific Life and its subsidiaries. The Trading Program started proprietary trading on October 1, 2019.

Investment Strategy

The Trading Program comprises several underlying strategies that seek to capture primary short-term dislocations and behavioral biases. The strategies are not intended to predict market direction or volatility but instead use the current state of the market to determine whether a behavioral bias exists. The strategies are designed to remain robust and perform over a long period. The research process is based upon employing statistical analysis and to a lesser extent, fundamental analysis, to develop the strategies. The strategies look for, amongst others, mean reversion, trend, volatility and relative value. The Trading Program takes both long and short positions and may hold positions both intraday and overnight. While overnight positions are calibrated daily, they may be between one and five trading days. Periodically, the capital allocated to each strategy is optimized using proprietary models. The systematic nature of the strategies eliminates the emotional bias especially in time of market stress.

Risk Management

AVR Capital has developed a proprietary risk management system. The Trading Program embraces short term volatility in an effort to increase the potential for long-term performance. Each individual strategy and the overall portfolio are structured with proprietary risk parameters.

   

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
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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

Consecutive Gains

Run-up Length (Mos.) Start End
6.19 4 10/1/2019 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month
Number of Periods4.00
Percent Profitable100.00
Average Period Return1.52
Average Gain1.52
Average Loss
Best Period2.65
Worst Period0.30
Standard Deviation1.00
Gain Standard Deviation1.00
Loss Standard Deviation
Sharpe Ratio (1%)1.43
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)0.05
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)20.67
Sortino Ratio (5%)
Sortino Ratio (0%)

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.