H2O AM LLP : Force 10 (USD)

Year-to-Date
25.34%
Sep Performance
-2.33%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
15.38%
Sharpe (RFR=1%)
0.46
CAROR
7.01%
Assets
$ 616.8M
Worst DD
-34.47
S&P Correlation
0.30

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
3/2011
Force 10 (USD) -2.33 -2.33 -25.34 -23.85 -18.22 -17.42 - 91.39
S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 170.32
+/- S&P 500 1.59 -10.80 -29.43 -36.83 -50.55 -90.79 - -78.94

Strategy Description

Investment Strategy

The investment philosophy of H2O is based on the conviction that value diversification is the most stable and robust source of alpha over time. All-out diversification not only across assets, but also by investment horizon and manager expertise, gives us the ability to... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

The investment philosophy of H2O is based on the conviction that value diversification is the most stable and robust source of alpha over time. All-out diversification not only across assets, but also by investment horizon and manager expertise, gives us the ability to make better decisions and to produce more consistent risk-adjusted performance. To generate alpha, H2O AM follows a top-down qualitative investment process and monitors the risk associated to calibrate the highly diversified strategies. No single position in itself has any meaning outside this overall risk/return context. Each view is based on a set of factors - macro, valuation, flows/positioning, and technical - and input is provided by the entire 17-member investment team. The qualitative views are then translated into quantitative forecasts taking into account past volatilities and correlations and using Black & Litterman methodology as the key instrument enabling the conversion of views into positions. H2O AM fund managers take directional, relative value and specific/thematic positions in fixed income, currency and equity markets (no credit, no commodity exposure). The exposures are first decided in respect of each asset class: G4 govies, USD and equity markets. Relative value strategies are then constructed independently from the directional positions: they are "exposure-neutral". Finally, specific or thematic calls may be implemented separately. All the above strategies are invested using preferably derivatives. Disclaimer: H2O AM LLP is authorised and regulated by the Financial Conduct Authority (FCA) and is listed on the UK Financial Services Register under firm reference number 529105. This message is provided for information purposes and should not be construed as a solicitation or offer to buy or sell any securities or related financial instruments. This information is solely for the attention of institutional, professional, qualified or sophisticated investors and distributors who qualify as qualified purchasers under the Investment Company Act of 1940 and as accredited investors under Rule 501 of SEC Regulation D. It is not to be communicated or distributed to the general public, private customers or retail investors in any jurisdiction whatsoever. Differences between product-specific constraints or fees and those of a similarly managed mandate would affect performance results. This material, which is not a contract, is based on sources that H2O considers to be reliable. Data, opinions and estimates may be changed without notice. H2O accepts no liability whatsoever, whether direct or indirect, that may arise from the use of information contained in this material. H2O can in no way be held responsible for any decision or investment made on the basis of information contained in this material. Investment involves risk. Past performance and simulations based on thereon are not indicative of future results nor are they reliable indicators of future performance. The value of an investment may fluctuate according to market conditions and cause the value of an investment to go up or down. As a result, you may lose the amount originally invested. The allocations and weightings, as well as the views and opinions of the investment team, are as of the date shown and are subject to change. All investors should seek the advice of their legal and/or tax counsel or their financial advisor prior to any investment decision in order to determine its suitability. H2O AM LLP is a registered Investment Adviser with the SEC (028-19276) and a registered commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission (CFTC) and an approved member of the National Futures Association (NFA) - NFA ID 0484274. Company Name & Business Office: H2O AM LLP, 2nd floor, 10 Old Burlington Street, London W1S 3AG, United Kingdom. Company Number OC356207.

   

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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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
-34.47 3 - 12/1/2019 3/1/2020
-21.39 7 16 11/1/2015 6/1/2016
-12.04 4 8 4/1/2018 8/1/2018
-7.96 4 2 4/1/2019 8/1/2019
-7.23 4 3 3/1/2011 7/1/2011
-5.60 2 4 10/1/2017 12/1/2017
-3.74 1 3 9/1/2014 10/1/2014
-3.38 1 1 5/1/2014 6/1/2014
-2.89 2 1 7/1/2015 9/1/2015
-2.88 1 2 3/1/2012 4/1/2012
-2.64 1 1 5/1/2015 6/1/2015
-1.97 2 1 1/1/2013 3/1/2013
-1.58 1 1 3/1/2015 4/1/2015
-0.55 1 1 1/1/2014 2/1/2014
-0.50 1 1 7/1/2014 8/1/2014
-0.38 1 1 7/1/2013 8/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
23.03 8 8/1/2011 3/1/2012
22.66 9 5/1/2012 1/1/2013
18.17 4 4/1/2013 7/1/2013
13.54 3 4/1/2020 6/1/2020
12.44 3 10/1/2016 12/1/2016
12.44 5 11/1/2014 3/1/2015
12.04 4 9/1/2019 12/1/2019
11.04 4 9/1/2018 12/1/2018
9.19 4 1/1/2018 4/1/2018
8.59 2 10/1/2015 11/1/2015
8.49 2 7/1/2016 8/1/2016
8.44 4 3/1/2017 6/1/2017
8.24 1 9/1/2014 9/1/2014
7.22 2 6/1/2018 7/1/2018
6.96 5 9/1/2013 1/1/2014
6.76 1 7/1/2015 7/1/2015
5.92 2 9/1/2017 10/1/2017
5.05 1 4/1/2019 4/1/2019
4.64 1 5/1/2016 5/1/2016
4.19 3 3/1/2014 5/1/2014
3.58 1 7/1/2014 7/1/2014
3.50 1 8/1/2020 8/1/2020
3.16 1 5/1/2015 5/1/2015
2.65 1 3/1/2011 3/1/2011
1.60 1 2/1/2019 2/1/2019
0.58 1 7/1/2019 7/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.47 3 1/1/2020 3/1/2020
-15.58 5 12/1/2015 4/1/2016
-11.01 1 6/1/2016 6/1/2016
-10.13 1 8/1/2018 8/1/2018
-8.71 1 5/1/2018 5/1/2018
-7.23 4 4/1/2011 7/1/2011
-5.60 2 11/1/2017 12/1/2017
-4.38 2 5/1/2019 6/1/2019
-4.30 1 8/1/2019 8/1/2019
-4.14 2 1/1/2017 2/1/2017
-3.74 1 10/1/2014 10/1/2014
-3.38 1 6/1/2014 6/1/2014
-2.89 2 8/1/2015 9/1/2015
-2.88 1 4/1/2012 4/1/2012
-2.68 1 9/1/2016 9/1/2016
-2.64 1 6/1/2015 6/1/2015
-2.33 1 9/1/2020 9/1/2020
-2.06 1 3/1/2019 3/1/2019
-1.97 2 2/1/2013 3/1/2013
-1.58 1 4/1/2015 4/1/2015
-0.73 1 7/1/2020 7/1/2020
-0.57 2 7/1/2017 8/1/2017
-0.55 1 2/1/2014 2/1/2014
-0.50 1 8/1/2014 8/1/2014
-0.38 1 8/1/2013 8/1/2013
-0.26 1 1/1/2019 1/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00
Percent Profitable64.3570.8076.3677.8882.6590.2290.0092.6587.50
Average Period Return0.672.004.019.5215.4521.6133.3044.7153.87
Average Gain2.925.358.2815.3320.9925.6338.6848.8463.36
Average Loss-3.40-6.12-9.81-10.97-10.94-15.40-15.20-7.37-12.63
Best Period8.6515.4720.9637.7448.8769.7887.72130.79106.69
Worst Period-26.00-34.47-31.44-30.90-27.05-29.63-23.01-14.20-19.34
Standard Deviation4.447.3510.0614.2718.2822.7330.8436.9536.06
Gain Standard Deviation2.273.614.979.2014.4019.9127.5535.1627.41
Loss Standard Deviation4.527.809.999.069.6610.426.886.374.16
Sharpe Ratio (1%)0.130.240.350.600.760.860.981.101.35
Average Gain / Average Loss0.860.870.841.401.921.662.546.625.02
Profit / Loss Ratio1.552.122.734.929.1415.3522.9083.4435.13
Downside Deviation (10%)3.505.757.658.658.849.0310.449.5114.49
Downside Deviation (5%)3.385.396.917.016.496.266.123.496.41
Downside Deviation (0%)3.355.316.746.636.005.715.222.534.67
Sortino Ratio (10%)0.080.130.200.520.891.261.682.441.81
Sortino Ratio (5%)0.170.320.511.222.153.134.9511.657.60
Sortino Ratio (0%)0.200.380.591.432.573.786.3817.6911.54

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.