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

Year-to-Date
14.18%
Mar Performance
-0.43%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.83%
Sharpe (RFR=1%)
-0.82
CAROR
-
Assets
$ 258k
Worst DD
-14.44
S&P Correlation
0.57

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2019
AVR Managed Futures Micro Program (Proprietary) -0.43 - -14.18 - - - - -9.14
S&P 500 -12.51 - -20.00 - - - - 15.23
+/- S&P 500 12.08 - 5.82 - - - - -24.37

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 -15.00%
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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Compound RoR:
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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
-14.44 2 - 1/1/2020 3/1/2020
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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
-14.44 2 2/1/2020 3/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable66.6750.00
Average Period Return-1.41-4.41
Average Gain1.524.66
Average Loss-7.25-13.48
Best Period2.655.88
Worst Period-14.07-14.18
Standard Deviation6.3010.54
Gain Standard Deviation1.001.71
Loss Standard Deviation9.640.99
Sharpe Ratio (1%)-0.24-0.44
Average Gain / Average Loss0.210.35
Profit / Loss Ratio0.420.35
Downside Deviation (10%)5.9210.41
Downside Deviation (5%)5.789.72
Downside Deviation (0%)5.759.55
Sortino Ratio (10%)-0.31-0.54
Sortino Ratio (5%)-0.26-0.48
Sortino Ratio (0%)-0.24-0.46

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.