Degraves Capital Management Pty Ltd : Degraves Global Diversified Program

archived programs
Year-to-Date
N / A
Apr Performance
0.05%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.12%
Sharpe (RFR=1%)
0.36
CAROR
3.90%
Assets
$ 52.0M
Worst DD
-16.02
S&P Correlation
0.02

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Degraves Global Diversified Program 0.05 -1.25 - -2.60 -5.87 10.48 - 22.61
S&P 500 0.27 -6.22 - 9.95 25.69 64.08 - 74.97
+/- S&P 500 -0.22 4.98 - -12.55 -31.56 -53.60 - -52.37

Strategy Description

Summary

Degraves Capital Management employs a fully systematic and automated intraday trading strategy across a diversified portfolio of international futures markets. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
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
8500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
4.70%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Pattern Recognition
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Stock Indices
53.00%
Currency Futures
10.00%
Interest Rates
10.00%
Energy
9.00%
Precious Metals
7.00%
Grains
7.00%
Softs
4.00%
Composition Pie Chart

Summary

Degraves Capital Management employs a fully systematic and automated intraday trading strategy across a diversified portfolio of international futures markets.

Investment Strategy

Systems are short-term in trade length and are designed to profit from intraday reversals and trends. Profitability is optimal under high intraday volatility conditions. Trading risk is confined to a single trading day as no positions are held overnight. The trading methodologies utilized by Degraves were developed by its principals through advanced statistical and mathematical analysis applied to over 10 years of historical market data.

   

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
-16.02 19 - 7/1/2016 2/1/2018
-8.92 3 4 5/1/2015 8/1/2015
-4.77 5 3 4/1/2013 9/1/2013
-4.12 3 2 4/1/2014 7/1/2014
-2.50 1 1 2/1/2013 3/1/2013
-1.74 1 1 2/1/2016 3/1/2016
-1.57 1 2 12/1/2014 1/1/2015
-0.75 1 1 5/1/2016 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
9.51 5 12/1/2013 4/1/2014
8.72 2 9/1/2015 10/1/2015
7.96 3 12/1/2015 2/1/2016
7.06 4 2/1/2015 5/1/2015
7.02 3 8/1/2014 10/1/2014
6.76 2 1/1/2013 2/1/2013
6.61 1 4/1/2013 4/1/2013
3.91 1 7/1/2016 7/1/2016
3.84 1 10/1/2013 10/1/2013
3.60 4 6/1/2017 9/1/2017
3.03 1 9/1/2016 9/1/2016
2.84 2 4/1/2016 5/1/2016
2.64 2 3/1/2017 4/1/2017
2.46 1 12/1/2014 12/1/2014
0.90 1 8/1/2013 8/1/2013
0.47 2 3/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.56 5 10/1/2016 2/1/2017
-8.92 3 6/1/2015 8/1/2015
-5.59 5 10/1/2017 2/1/2018
-4.12 3 5/1/2014 7/1/2014
-3.28 3 5/1/2013 7/1/2013
-2.99 1 8/1/2016 8/1/2016
-2.50 1 3/1/2013 3/1/2013
-2.42 1 9/1/2013 9/1/2013
-1.74 1 3/1/2016 3/1/2016
-1.57 1 1/1/2015 1/1/2015
-1.52 1 11/1/2013 11/1/2013
-0.89 1 5/1/2017 5/1/2017
-0.75 1 6/1/2016 6/1/2016
-0.52 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods64.0062.0059.0053.0047.0041.0029.0017.00
Percent Profitable54.6961.2961.0267.9272.3473.1789.66100.00
Average Period Return0.350.981.834.116.1710.0216.0515.50
Average Gain2.183.935.819.3911.9815.8718.3015.50
Average Loss-1.92-3.70-4.42-7.07-9.01-5.95-3.45
Best Period6.7410.9516.7618.0421.4228.0537.4333.52
Worst Period-5.60-9.83-13.42-12.50-15.63-12.82-5.873.59
Standard Deviation2.634.576.288.6910.9211.7013.667.96
Gain Standard Deviation1.892.623.643.915.857.0512.557.96
Loss Standard Deviation1.412.654.014.114.184.492.80
Sharpe Ratio (1%)0.100.160.210.360.430.680.951.44
Average Gain / Average Loss1.141.061.321.331.332.675.31
Profit / Loss Ratio1.421.682.062.813.487.2845.99
Downside Deviation (10%)1.793.474.977.209.149.039.029.27
Downside Deviation (5%)1.612.943.925.095.924.692.300.11
Downside Deviation (0%)1.572.813.694.595.193.801.33
Sortino Ratio (10%)-0.03-0.07-0.13-0.12-0.16-0.030.03-0.65
Sortino Ratio (5%)0.170.250.340.610.791.715.66100.37
Sortino Ratio (0%)0.230.350.500.891.192.6412.06

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 1.50 6/2017
Systematic Trader Index Month 10 2.53 3/2017
Diversified Trader Index Month 7 2.53 3/2017
IASG CTA Index Month 5 3.52 12/2015
Diversified Trader Index Month 5 3.52 12/2015
Systematic Trader Index Month 7 3.52 12/2015
IASG CTA Index Month 7 4.69 10/2015
Systematic Trader Index Month 8 4.69 10/2015
Diversified Trader Index Month 8 4.69 10/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.