Huygens Capital LLC : Navigator

archived programs
Year-to-Date
N / A
Jun Performance
0.88%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
10.97%
Sharpe (RFR=1%)
-0.38
CAROR
-3.73%
Assets
$ 1.3M
Worst DD
-20.79
S&P Correlation
0.47

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
2/2012
Navigator 0.88 0.52 - -11.05 -12.24 - - -12.18
S&P 500 -2.10 -0.23 - 5.25 51.46 - - 51.07
+/- S&P 500 2.98 0.75 - -16.30 -63.70 - - -63.25

Strategy Description

Summary

Huygens Capital’s Navigator systematic managed futures strategy is designed to give clients long exposure to the US equity market with built-in tail risk protection. Navigator’s objective is to achieve positive returns during severe equity market downturns while capturing some of... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$4.02
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
290 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
5.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
10.00%
Pattern Recognition
50.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Huygens Capital’s Navigator systematic managed futures strategy is designed to give clients long exposure to the US equity market with built-in tail risk protection. Navigator’s objective is to achieve positive returns during severe equity market downturns while capturing some of stocks’ gains during less volatile periods. We offer the strategy through separately managed accounts; clients have full transparency, direct access to their assets, and daily liquidity.

Investment Strategy

Navigator is a systematic directional investment strategy that is designed to anticipate periods of equity market stress using proprietary quantitative indicators. These indicators are derived from metrics of equity index hedging and other equity market activity. Client capital is invested long or short the highly liquid nearest-month Russell 2000 index futures contracts based upon the algorithm's investment decision, which is updated once each day. Navigator’s proprietary indicators were developed from analysis of more than two decades of equity market and option market activity. Patterns in equity option prices have been shown to have significant ability to signal future equity price direction. The Navigator 100% systematic strategy is a dispassionate and data-driven method of choosing whether to have long or short exposure to equities.

Risk Management

Risk management is at our core. Our Navigator strategy and our firm have been designed to minimize market, liquidity, and operational risk. Our Chief Operating Officer is an expert in enterprise risk management and regulatory compliance, with more than a decade of legal experience at the senior levels in large, publicly-traded institutional asset management firms. Our proprietary Navigator strategy indicators are designed to anticipate periods of likely equity market volatility, and to position client assets to benefit during those periods. The strategy operates within specific drawdown parameters that are set by design using more than 20 years of backtesting data (which conform to backtesting best practices regarding "in-sample" and "out-of-sample" periods) and 21 months of live trading history. Client exposure to the algorithm can be tailored to suit a particular risk budget. By trading only the highly liquid Russell 2000 contract with low frequency, the strategy significantly reduces risks related to liquidity, capacity, and operational complexity. The firm also has implemented a robust IT infrastructure to ensure operational continuity. Management does not exercise any discretion over algorithm operation under any circumstances, other than as part of our ongoing process of risk monitoring.

   

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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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-20.79 28 - 9/1/2012 1/1/2015
-2.25 4 1 3/1/2012 7/1/2012
-1.48 1 1 1/1/0001 2/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
8.56 3 1/1/2013 3/1/2013
5.94 2 2/1/2015 3/1/2015
5.67 2 5/1/2014 6/1/2014
5.57 2 8/1/2012 9/1/2012
4.91 1 5/1/2013 5/1/2013
4.64 1 8/1/2014 8/1/2014
3.23 1 2/1/2014 2/1/2014
3.10 2 11/1/2013 12/1/2013
3.09 2 5/1/2015 6/1/2015
2.40 1 3/1/2012 3/1/2012
0.88 2 5/1/2012 6/1/2012
0.31 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.02 5 9/1/2014 1/1/2015
-9.46 3 10/1/2012 12/1/2012
-6.08 1 7/1/2014 7/1/2014
-5.94 3 8/1/2013 10/1/2013
-5.29 1 4/1/2013 4/1/2013
-4.71 2 3/1/2014 4/1/2014
-3.05 1 1/1/2014 1/1/2014
-2.49 1 4/1/2015 4/1/2015
-1.68 1 4/1/2012 4/1/2012
-1.48 1 2/1/2012 2/1/2012
-1.45 1 7/1/2012 7/1/2012
-0.94 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable48.7841.0322.2220.008.330.00
Average Period Return-0.27-1.00-2.36-4.38-6.21-8.27
Average Gain2.392.673.511.822.88
Average Loss-2.80-3.55-4.03-5.94-7.04-8.27
Best Period5.008.566.853.944.75-0.48
Worst Period-6.99-9.46-11.49-13.18-18.37-14.62
Standard Deviation3.173.984.264.635.204.66
Gain Standard Deviation1.581.912.161.302.63
Loss Standard Deviation1.972.873.033.754.554.66
Sharpe Ratio (1%)-0.11-0.31-0.67-1.16-1.48-2.21
Average Gain / Average Loss0.850.750.870.310.41
Profit / Loss Ratio0.810.520.250.080.04
Downside Deviation (10%)2.684.266.3210.4314.7119.06
Downside Deviation (5%)2.483.634.787.029.2211.23
Downside Deviation (0%)2.433.484.426.247.979.42
Sortino Ratio (10%)-0.25-0.52-0.76-0.90-0.94-0.97
Sortino Ratio (5%)-0.14-0.34-0.60-0.77-0.84-0.92
Sortino Ratio (0%)-0.11-0.29-0.53-0.70-0.78-0.88

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 7 4.64 8/2014
Stock Index Trader Index Month 4 5.00 6/2014
Stock Index Trader Index Month 9 3.23 2/2014
Stock Index Trader Index Month 2 4.91 5/2013
Stock Index Trader Index Month 4 3.42 3/2013
Stock Index Trader Index Month 3 3.99 2/2013
Stock Index Trader Index Month 4 2.65 9/2012

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