Incipit Capital Partners LLP : Incipit Capital Partners LLP Global Asset Program

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-2.14%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.31%
Sharpe (RFR=1%)
-1.89
CAROR
-
Assets
$ 429k
Worst DD
-14.28
S&P Correlation
-0.32

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2017
Incipit Capital Partners LLP Global Asset Program -2.14 - - - - - - -14.28
S&P 500 2.16 - - - - - - 35.91
+/- S&P 500 -4.30 - - - - - - -50.19

Strategy Description

Summary

The program trades Equity, Fixed Income, Foreign Exchange and Commodity Futures, systematically, with a short term turnover. We strive to deliver returns displaying low correlation against all major CTA indices and the market overall, absolute Alpha via optimal dynamic allocation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
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 10000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Seasonal/cyclical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Stock Indices
30.00%
Currency Futures
15.00%
Livestock
10.00%
Energy
8.00%
Industrial Metals
7.00%
Composition Pie Chart

Summary

The program trades Equity, Fixed Income, Foreign Exchange and Commodity Futures, systematically, with a short term turnover. We strive to deliver returns displaying low correlation against all major CTA indices and the market overall, absolute Alpha via optimal dynamic allocation of capital to market risk premia, and a set of non-replicable strategies based on cutting edge quantitative techniques.

Investment Strategy

Diversified, Short-term Systematic. Our purpose is to continuously identify the most important market features and achieve an optimal allocation accordingly. We are non-correlated and non-replicable, as a result of this dynamic and diversified allocation. We use the most recent innovations in a variety of fields, nonlinear time-series, theory of processes, information theory, machine learning and artificial intelligence.

Risk Management

Risk management departs from the standard mean-variance approach in order to capture heavy-tails risks associated to large and unexpected market events.  We use proprietary algorithms combining machine learning and information theory.  Target volatility and VaR are monitored daily, and rigorous constraints are imposed at portfolio level accordingly.

   

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
-14.28 -1 - 1/1/0001 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
5.05 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.89 5 10/1/2017 2/1/2018
-9.45 2 4/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable12.5016.67
Average Period Return-1.85-3.87
Average Gain5.053.81
Average Loss-2.84-5.40
Best Period5.053.81
Worst Period-7.47-8.82
Standard Deviation3.554.18
Gain Standard Deviation
Loss Standard Deviation2.382.04
Sharpe Ratio (1%)-0.54-0.98
Average Gain / Average Loss1.780.71
Profit / Loss Ratio0.250.14
Downside Deviation (10%)3.676.28
Downside Deviation (5%)3.425.42
Downside Deviation (0%)3.365.21
Sortino Ratio (10%)-0.62-0.81
Sortino Ratio (5%)-0.57-0.76
Sortino Ratio (0%)-0.55-0.74

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.