Carrousel Capital Ltd : Centrix IX Fund Ltd

archived programs
Year-to-Date
N / A
Feb Performance
0.61%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.89%
Sharpe (RFR=1%)
-0.51
CAROR
-1.62%
Assets
$ 3.3M
Worst DD
-12.07
S&P Correlation
0.38

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
6/2010
Centrix IX Fund Ltd 0.61 - - - - - -4.39 -4.39
S&P 500 1.11 - - - - - 80.04 236.09
+/- S&P 500 -0.50 - - - - - -84.44 -240.49

Strategy Description

Summary

A proprietary expert system reproducing discretionary strategies in a fully systematic manner A unique technology allowing us to implement numerous investment strategies. A fully systematic investment but with no correlation with quantitative funds: we look at more data than price... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough 12.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Fundamental
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Other
69.00%
Currency Futures
10.00%
Stock Indices
10.00%
Softs
5.00%
Industrial Metals
2.00%
Precious Metals
2.00%
Energy
2.00%
Composition Pie Chart

Summary

A proprietary expert system reproducing discretionary strategies in a fully systematic manner A unique technology allowing us to implement numerous investment strategies. A fully systematic investment but with no correlation with quantitative funds: we look at more data than price history to approach the markets with different angles: Economics, Analysts… Out performance of similar strategies and discretionary traders as we focus on the quality of our investment process. A Real Added value product A rigorous Investment Process Designed to look for optimum opportunities No short term speculation but thought through investment decisions Objective and ‘unemotional’ decisions: Discipline to understand investment psychology A Transparent decision process A constant quality control of the investment decisions: no rogue trading. Stable and consistent process days after days. Designed with risk management in mind: Multiple layers of diversification

Investment Strategy

Centrix IX is split 50/ 50 between market-neutral (MN) and global directional (GD) strategies Combines downside protection with targeted exposures to profitable opportunities Geographic/ asset allocation MN portfolio rotates style/ seeks profitable trades among 150 most liquid equities across three regions GD portfolio split 40/ 40/ 20 between, respectively, equity indices, G20 currency pairs, and commodities Currently fixed as noted above and set out in detail in the next slide, the weightings for each level of diversification may be altered to reflect long-term changes in market dynamics. Style Well-established that no single investment style can be consistently successful One-third of MN portfolio rotates between multiple styles: for example value, growth and income Remaining two-thirds is managed opportunistically GD portfolio evenly split into trend-following, mean reversion, and contrarian styles

Risk Management

Total market risk is minimised through diversification of the Centrix IX portfolio of liquid investments across multiple asset classes, regions, and trading styles. Prescribed maximum size for every position - within each portfolio (market-neutral / global directional) and - within each sub-strategy - Market-neutral: style rotation Market-neutral: opportunistic Global directional: regions Global directional: commodities Global directional: currencies - to ensure Centrix IX maintains wide diversification at every level, mitigating tail risk. Stop-loss on every single position and for each strategy to minimize downside. Experienced investment professionals monitor and assess risk on a daily basis: market exposures FX risk sector concentration and specific events are also scrutinized, amongst other key metrics. Continuous testing of all Centrix IX systems to refine their rules in line with market developments. Risk exposure report sent to head of risk twice daily

   

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
-12.07 18 - 4/1/2011 10/1/2012
-0.24 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
7.12 6 9/1/2010 2/1/2011
4.88 2 1/1/2012 2/1/2012
1.42 4 11/1/2012 2/1/2013
0.72 1 7/1/2011 7/1/2011
0.32 1 4/1/2011 4/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.15 8 3/1/2012 10/1/2012
-6.48 5 8/1/2011 12/1/2011
-2.03 2 5/1/2011 6/1/2011
-0.24 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable42.4238.7139.2927.2718.75
Average Period Return-0.13-0.43-1.08-3.32-5.48
Average Gain1.022.623.364.042.85
Average Loss-1.23-2.48-3.96-6.07-7.41
Best Period3.154.477.125.963.76
Worst Period-4.29-6.72-8.39-9.54-12.07
Standard Deviation1.413.084.395.105.62
Gain Standard Deviation0.871.442.482.000.86
Loss Standard Deviation1.122.092.512.324.24
Sharpe Ratio (1%)-0.15-0.22-0.36-0.85-1.24
Average Gain / Average Loss0.831.050.850.670.38
Profit / Loss Ratio0.770.700.550.250.09
Downside Deviation (10%)1.333.245.399.6914.16
Downside Deviation (5%)1.142.603.966.338.83
Downside Deviation (0%)1.102.453.625.527.62
Sortino Ratio (10%)-0.40-0.51-0.66-0.86-0.92
Sortino Ratio (5%)-0.18-0.26-0.40-0.68-0.79
Sortino Ratio (0%)-0.11-0.18-0.30-0.60-0.72

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.