InCube Capital : IFR InCube Augura Fund

archived programs
Year-to-Date
N / A
Sep Performance
-0.83%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
10.30%
Sharpe (RFR=1%)
-0.40
CAROR
-
Assets
$ 5.7M
Worst DD
-14.86
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
12/2011
IFR InCube Augura Fund -0.83 2.82 - -11.85 - - - -6.44
S&P 500 2.97 4.69 - 16.72 - - - 33.71
+/- S&P 500 -3.80 -1.87 - -28.57 - - - -40.15

Strategy Description

Summary

Augura is a 100% systematic and highly liquid long-only managed futures program. The Augura Fund trades a diversified set of commodity, currency and interest rate futures markets. ... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 20k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
30.00%
4-12 Months
50.00%
1-3 Months
15.00%
1-30 Days
5.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Precious Metals
20.00%
Interest Rates
20.00%
Energy
10.00%
Grains
10.00%
Softs
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

Augura is a 100% systematic and highly liquid long-only managed futures program. The Augura Fund trades a diversified set of commodity, currency and interest rate futures markets.

Investment Strategy

The strategy benefits from hedging pressure caused by large commercial market participants. Its algorithm tries to detect markets which exhibit large hedging pressure and thus attract significant investment flows. The Fund offers daily liquidity and the potential for returns independent of traditional forms of investment.

Risk Management

Investment objectives: annualized net return > 10%, volatility < 15%, maximum drawdown < 15%, low correlation to equities, bonds and large CTAs.

   

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
-14.86 9 - 8/1/2012 5/1/2013
-6.29 3 3 2/1/2012 5/1/2012
-0.50 1 1 1/1/0001 12/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
8.99 3 6/1/2012 8/1/2012
4.64 2 1/1/2012 2/1/2012
4.22 3 6/1/2013 8/1/2013
1.47 1 1/1/2013 1/1/2013
1.27 1 11/1/2012 11/1/2012
0.86 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.12 2 4/1/2013 5/1/2013
-6.29 3 3/1/2012 5/1/2012
-4.68 2 9/1/2012 10/1/2012
-3.48 1 12/1/2012 12/1/2012
-2.82 1 2/1/2013 2/1/2013
-0.83 1 9/1/2013 9/1/2013
-0.50 1 12/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable50.0040.0029.419.09
Average Period Return-0.26-1.01-3.05-5.83
Average Gain1.934.202.702.64
Average Loss-2.45-4.48-5.45-6.68
Best Period6.428.995.202.64
Worst Period-6.76-7.64-11.80-11.85
Standard Deviation2.975.104.754.70
Gain Standard Deviation1.733.171.57
Loss Standard Deviation2.252.383.263.98
Sharpe Ratio (1%)-0.12-0.25-0.75-1.45
Average Gain / Average Loss0.790.940.500.40
Profit / Loss Ratio0.790.630.210.04
Downside Deviation (10%)2.524.777.1611.72
Downside Deviation (5%)2.344.075.648.16
Downside Deviation (0%)2.303.905.277.31
Sortino Ratio (10%)-0.26-0.47-0.77-0.92
Sortino Ratio (5%)-0.15-0.31-0.63-0.84
Sortino Ratio (0%)-0.11-0.26-0.58-0.80

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.