Helford Capital Partners LLP : Helford Diversified Systematic Alpha 1

Year-to-Date
5.70%
Nov Performance
0.64%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.84%
Sharpe (RFR=1%)
-0.34
CAROR
-1.14%
Assets
$ 386k
Worst DD
-12.06
S&P Correlation
0.58

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
4/2015
Helford Diversified Systematic Alpha 1 0.64 1.39 5.70 2.86 7.79 - - -5.20
S&P 500 3.40 7.33 25.29 13.79 41.40 - - 49.08
+/- S&P 500 -2.76 -5.94 -19.58 -10.93 -33.60 - - -54.28

Strategy Description

Summary

Helford Capital Partners LLP was established by Christophe Sailland and Nick Moran. Christophe and Nick have decades of experience in the world of futures trading. Christophe spent 5 years at Bankers Trust in London and NY and 14 years at Bank of Montreal in London. Christophe's portfolio... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
1

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-11.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
60.00%
1-3 Months
30.00%
1-30 Days
10.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Stock Indices
25.00%
Softs
14.00%
Precious Metals
10.00%
Grains
10.00%
Currency FX
4.00%
Energy
4.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

Helford Capital Partners LLP was established by Christophe Sailland and Nick Moran. Christophe and Nick have decades of experience in the world of futures trading. Christophe spent 5 years at Bankers Trust in London and NY and 14 years at Bank of Montreal in London. Christophe's portfolio and risk management skills were so well recognized at Bank of Montreal that he was asked to take over the management of a $5 billion portfolio during the height of the credit crisis. Nick had his own CTA style business in Europe and has previously been the CFO and COO of multi-billion $ AUM hedge fund businesses based in London including Buchanan Partners, FRM and Schroders NewFinance. The product is available for investment in Helford's flagship fund, Helford Global I, which has been established specifically to offer access to Helford's quantitative trading and research skills in a Cayman fund format. The program is also available in a bespoke managed account format starting at $1m.

Investment Strategy

The investment strategy is a systematic trend following program utilizing a proprietary quantitative model. The model produces automatic trading signals in multiple time frames across a portfolio of 25 liquid instruments including equity indices, interest rates, FX, metals, energy, agriculture and softs. The model is a proprietary application at Helford derived from several years of quantitative research and in-house development. Helford Global I is a Cayman master-feeder fund. Valuations are produced monthly by its independent administrator, Apex Fund Services. There are no expenses for investors in the Fund other than the standard management and performance fees, as formation and running costs are borne wholly by the management share class. The management team at Helford have their own money invested in the Fund.

Risk Management

Risk management is an integral part of the strategy and is embedded within the model to ensure systematic management of risk exposures including portfolio diversification, margin to equity ratios, volatility and value at risk.

   

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
-12.06 -1 - 1/1/0001 11/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
6.45 5 9/1/2017 1/1/2018
4.98 1 7/1/2015 7/1/2015
3.62 2 10/1/2015 11/1/2015
3.34 3 12/1/2016 2/1/2017
3.18 3 5/1/2016 7/1/2016
2.69 6 4/1/2018 9/1/2018
2.29 4 1/1/2019 4/1/2019
1.85 1 6/1/2019 6/1/2019
1.66 2 10/1/2019 11/1/2019
1.44 1 8/1/2019 8/1/2019
1.21 2 4/1/2017 5/1/2017
0.50 1 7/1/2017 7/1/2017
0.11 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.10 5 12/1/2015 4/1/2016
-6.18 3 10/1/2018 12/1/2018
-5.78 4 8/1/2016 11/1/2016
-4.49 2 8/1/2015 9/1/2015
-4.17 2 2/1/2018 3/1/2018
-3.50 1 4/1/2015 4/1/2015
-2.98 1 6/1/2015 6/1/2015
-1.35 1 5/1/2019 5/1/2019
-0.71 1 6/1/2017 6/1/2017
-0.51 1 8/1/2017 8/1/2017
-0.26 1 9/1/2019 9/1/2019
-0.07 1 3/1/2017 3/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable57.1459.2645.1040.0046.1563.6442.86
Average Period Return-0.08-0.17-0.36-0.98-0.730.08-0.80
Average Gain1.031.672.613.433.242.152.54
Average Loss-1.64-2.85-2.79-3.92-4.13-3.54-3.30
Best Period4.983.675.918.906.925.027.79
Worst Period-3.63-6.27-6.64-9.69-9.34-9.18-6.91
Standard Deviation1.682.643.204.364.483.403.72
Gain Standard Deviation1.071.041.402.372.281.542.55
Loss Standard Deviation1.071.831.942.452.722.632.13
Sharpe Ratio (1%)-0.10-0.16-0.27-0.45-0.50-0.57-1.03
Average Gain / Average Loss0.630.580.930.880.780.610.77
Profit / Loss Ratio0.880.850.770.580.671.060.58
Downside Deviation (10%)1.472.864.197.339.4210.7116.96
Downside Deviation (5%)1.292.292.824.244.593.745.14
Downside Deviation (0%)1.242.152.503.563.602.622.93
Sortino Ratio (10%)-0.33-0.49-0.68-0.82-0.88-0.95-0.98
Sortino Ratio (5%)-0.13-0.19-0.30-0.47-0.49-0.52-0.75
Sortino Ratio (0%)-0.07-0.08-0.14-0.27-0.200.03-0.27

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 1.01 10/2019
Trend Following Strategy Index Month 10 0.22 9/2018
Trend Following Strategy Index Month 7 0.86 9/2017
Trend Following Strategy Index Month 9 1.09 1/2017

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