Flyberry Capital, LLC : Systematic Big Data Program

archived programs
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

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 Since
3/2013
Systematic Big Data Program 3.02 - - - - - - 5.81
S&P 500 -0.42 - - - - - - 120.80
+/- S&P 500 3.44 - - - - - - -114.98

Strategy Description

Summary

Flyberry'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%
Strategy Pie Chart

Composition

Currency Futures
33.00%
Interest Rates
33.00%
Energy
22.00%
Precious Metals
6.00%
Stock Indices
6.00%
Composition Pie Chart

Summary

Flyberry'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 Strategy

We 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 Management

Positions 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.

   

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
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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
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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
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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
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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.