dormouse Limited : dormouse Fund B Shares

Year-to-Date
2.96%
Sep Performance
3.68%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
8.20%
Sharpe (RFR=1%)
0.10
CAROR
-
Assets
$ 17.2M
Worst DD
-8.38
S&P Correlation
-0.10

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
8/2016
dormouse Fund B Shares 3.68 8.94 2.96 1.74 - - - 1.73
S&P 500 1.93 3.96 12.36 16.01 - - - 15.87
+/- S&P 500 1.75 4.98 -9.40 -14.27 - - - -14.14

Strategy Description

Investment Strategy

dormouse applies statistical arbitrage methodology to the futures markets. By neutralizing exposures to the beta risk factors typical of most futures managers and modeling the relationships between markets, this approach has enabled dormouse to produce consistent returns... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
$0
Available to US Investors
Yes

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
7500 RT/YR/$M
Avg. Margin-to-Equity
21%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
25.00%
Counter-trend
5.00%
Fundamental
20.00%
Pattern Recognition
5.00%
Trend-following
15.00%
Other
30.00%
Strategy Pie Chart

Composition

Other
62.00%
Currency Futures
23.00%
Stock Indices
15.00%
Composition Pie Chart

Investment Strategy

dormouse applies statistical arbitrage methodology to the futures markets. By neutralizing exposures to the beta risk factors typical of most futures managers and modeling the relationships between markets, this approach has enabled dormouse to produce consistent returns with a low correlation to CTA indices. These techniques are applied to a diverse set of the most liquid futures markets in fixed income, equity indices, currencies and commodities.

Risk Management

Diversification of asset classes is our goal so each of the major asset gets an equal proportion of the risk. We cap signals to ensure no large values or allocations. We have an overall risk per security limit No manual intervention Reduced number of parameters, even allocation to asset classes and more static approach to allocation of risk increases robustness and reduces the chance of overfit.

   

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
-8.38 7 - 11/1/2016 6/1/2017
-0.55 1 2 1/1/0001 8/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
8.94 3 7/1/2017 9/1/2017
2.49 3 9/1/2016 11/1/2016
2.45 1 1/1/2017 1/1/2017
1.23 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.56 2 2/1/2017 3/1/2017
-3.06 1 12/1/2016 12/1/2016
-2.47 2 5/1/2017 6/1/2017
-0.55 1 8/1/2016 8/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable57.1450.0033.33
Average Period Return0.15-0.21-2.30
Average Gain1.862.853.34
Average Loss-2.13-3.27-5.13
Best Period3.688.947.55
Worst Period-4.27-5.41-7.37
Standard Deviation2.374.084.77
Gain Standard Deviation1.133.283.64
Loss Standard Deviation1.391.851.54
Sharpe Ratio (1%)0.03-0.11-0.59
Average Gain / Average Loss0.870.870.65
Profit / Loss Ratio1.160.870.33
Downside Deviation (10%)1.853.416.33
Downside Deviation (5%)1.672.764.73
Downside Deviation (0%)1.622.604.34
Sortino Ratio (10%)-0.14-0.42-0.75
Sortino Ratio (5%)0.04-0.17-0.59
Sortino Ratio (0%)0.09-0.08-0.53

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.