Cayler Capital : Systematic Energy Diversified

Year-to-Date
2.52%
Aug Performance
-5.59%
Min Investment
$ 125k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
15.27%
Sharpe (RFR=1%)
0.25
CAROR
-
Assets
$ 750k
Worst DD
-7.59
S&P Correlation
-0.31

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2019
Systematic Energy Diversified -5.59 -7.59 2.52 - - - - 2.52
S&P 500 -1.81 6.34 16.73 - - - - 8.21
+/- S&P 500 -3.78 -13.93 -14.21 - - - - -5.69

Strategy Description

Summary

The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 125k
Trading Level Incremental Increase
$ 75k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-3.67%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
30.00%
1-30 Days
60.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand.

Investment Strategy

The program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities.

Risk Management

All trades are entered and exited on the close to minimize slippage. Cayler Capital utilizes a complex VaR model to size trades to target 15% annualized volatility.

   

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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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
-7.59 3 - 5/1/2019 8/1/2019
-3.67 1 3 1/1/0001 1/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
13.25 2 4/1/2019 5/1/2019
2.64 1 2/1/2019 2/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.59 3 6/1/2019 8/1/2019
-3.67 1 1/1/2019 1/1/2019
-0.92 1 3/1/2019 3/1/2019
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable37.5066.67
Average Period Return0.404.50
Average Gain5.169.15
Average Loss-2.46-4.81
Best Period6.4712.21
Worst Period-5.59-7.59
Standard Deviation4.417.99
Gain Standard Deviation2.183.81
Loss Standard Deviation2.093.93
Sharpe Ratio (1%)0.070.53
Average Gain / Average Loss2.101.90
Profit / Loss Ratio1.263.80
Downside Deviation (10%)2.713.84
Downside Deviation (5%)2.503.33
Downside Deviation (0%)2.453.21
Sortino Ratio (10%)0.000.85
Sortino Ratio (5%)0.131.27
Sortino Ratio (0%)0.161.40

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.