Carum Consulting AG : Carum Capital Management Global Fund Ltd.

archived programs
Year-to-Date
N / A
Jul Performance
3.21%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.19%
Sharpe (RFR=1%)
0.63
CAROR
-
Assets
$ 4.9M
Worst DD
-3.91
S&P Correlation
-0.88

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Carum Capital Management Global Fund Ltd. 3.21 - - - - - - 4.13
S&P 500 -1.51 - - - - - - 94.36
+/- S&P 500 4.72 - - - - - - -90.23

Strategy Description

Summary

Carum Capital Management Global Fund Ltd. is a multi CTA/strategy fund with a strong focus on a broad diversified portfolio. The fund trades only Exchange traded futures and Option contracts.... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 12000 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -10.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 35.00%
1-30 Days 45.00%
Intraday 15.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Composition

Stock Indices
35.00%
Energy
16.00%
Interest Rates
12.00%
Precious Metals
10.00%
Currency Futures
9.00%
Livestock
8.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Carum Capital Management Global Fund Ltd. is a multi CTA/strategy fund with a strong focus on a broad diversified portfolio. The fund trades only Exchange traded futures and Option contracts.

Investment Strategy

Carum Capital Management uses a proprietary investment selection model which differs significantly from traditional FoF models. For example, large CTA are obviated due to the negative correlation of size and Performance.

Risk Management

Every single program/CTA has its own risk management. In addition the overall contract sizes are limited directly at the FCM. Clients funds are held with several FCMs and custodians.

   

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:
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Average Gain:
Gain Deviation:
Risk
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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
-3.91 2 - 4/1/2014 6/1/2014
-3.21 1 2 1/1/2014 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
4.46 2 3/1/2014 4/1/2014
3.85 1 1/1/2014 1/1/2014
3.21 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.91 2 5/1/2014 6/1/2014
-3.21 1 2/1/2014 2/1/2014
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable57.1460.00
Average Period Return0.620.91
Average Gain2.872.34
Average Loss-2.38-1.22
Best Period3.853.35
Worst Period-3.21-1.62
Standard Deviation2.942.13
Gain Standard Deviation0.821.14
Loss Standard Deviation1.160.56
Sharpe Ratio (1%)0.180.31
Average Gain / Average Loss1.201.91
Profit / Loss Ratio1.602.87
Downside Deviation (10%)1.931.57
Downside Deviation (5%)1.730.97
Downside Deviation (0%)1.680.81
Sortino Ratio (10%)0.11-0.20
Sortino Ratio (5%)0.310.69
Sortino Ratio (0%)0.371.12

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.