Flyberry Capital, LLC : Systematic Big Data Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 3.02% Min Investment $ 2,000k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 5.26% Sharpe (RFR=1%) 0.42 CAROR - Assets $ 3.0M Worst DD -3.89 S&P Correlation -0.33 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since3/2013 Systematic Big Data Program 3.02 - - - - - - 5.81 S&P 500 -0.42 - - - - - - 158.74 +/- S&P 500 3.44 - - - - - - -152.93 Strategy Description SummaryFlyberry's big data program is systematic, quantitative managed futures program that exploits short-term price moves in response to high-impact information shocks as manifested in news and events. Nearly 60 trading models are in production. The current portfolio comprises 18 well... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 500k CTA Max Funding Factor 3.00 Management Fee 0% Performance Fee 30.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 4250 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -10.00% Worst Peak-to-Trough 4.10% 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 Fundamental 90.00% Technical 10.00% Composition Currency Futures 33.00% Interest Rates 33.00% Energy 22.00% Precious Metals 6.00% Stock Indices 6.00% SummaryFlyberry's big data program is systematic, quantitative managed futures program that exploits short-term price moves in response to high-impact information shocks as manifested in news and events. Nearly 60 trading models are in production. The current portfolio comprises 18 well regulated, highly liquid exchange traded futures encompassing 5 market sectors.Investment StrategyWe approach investing from the standpoint that news and sentiment are critical drivers of asset prices. We evaluate and transform vast amounts of important macro- and micro-economic news events and generate trading signals to buy and sell. Our investment models are carefully tested and optimized over a broad range of market conditions before they are permitted to risk investor capital. All investment decisions are made in the context of a rigorous empirical approach that seeks to carefully identify and weigh potential risks and rewards. Our research team works with massive data sets — from government and business statistics, to social media and sentiment opinion, to weather and seismic measurements. We seek to synthesize these quantitative and qualitative information sources to generate new investment insights. This disciplined, "big data" approach to investment management catalyzes insightful trading decisions that seek to generate real alpha while effectively managing risk. Risk ManagementPositions are sized according to each model’s historical VaR. Risk to the portfolio per trade ranges between 0.5% and 2.0% at the 97.5th percentile and is conditional to a model’s opportunity sets and recent performance. Maximum portfolio-wide risk (“risk-to-stop”) is set to 5% of NAV. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -3.89 8 - 9/1/2013 5/1/2014 -1.10 1 2 3/1/2013 4/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 6.47 5 5/1/2013 9/1/2013 3.26 3 6/1/2014 8/1/2014 3.02 1 12/1/2014 12/1/2014 2.52 4 1/1/2014 4/1/2014 0.64 1 3/1/2013 3/1/2013 0.01 1 11/1/2013 11/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.49 1 5/1/2014 5/1/2014 -2.34 3 9/1/2014 11/1/2014 -2.15 1 10/1/2013 10/1/2013 -1.10 1 4/1/2013 4/1/2013 -0.74 1 12/1/2013 12/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods22.0020.0017.0011.00 Percent Profitable68.1865.0070.5981.82 Average Period Return0.270.611.271.94 Average Gain1.051.842.172.57 Average Loss-1.40-1.67-0.90-0.91 Best Period3.023.335.306.03 Worst Period-3.49-2.86-1.79-0.95 Standard Deviation1.522.032.012.27 Gain Standard Deviation0.941.191.631.99 Loss Standard Deviation1.100.960.830.06 Sharpe Ratio (1%)0.120.180.380.41 Average Gain / Average Loss0.751.102.422.83 Profit / Loss Ratio1.602.055.8112.73 Downside Deviation (10%)1.181.832.123.73 Downside Deviation (5%)1.021.250.860.89 Downside Deviation (0%)0.981.120.630.39 Sortino Ratio (10%)-0.12-0.34-0.57-0.82 Sortino Ratio (5%)0.180.290.901.05 Sortino Ratio (0%)0.270.552.014.99 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. x {{title}} x {{title}} Add Cancel