InCube Capital : InCube Commodity Relative Value Fund

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-1.12%
Min Investment
$ 1k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.91%
Sharpe (RFR=1%)
-0.85
CAROR
-4.10%
Assets
$ 1.8M
Worst DD
-20.25
S&P Correlation
0.03

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
12/2010
InCube Commodity Relative Value Fund -1.12 0.22 - -6.84 - - - -10.26
S&P 500 -1.50 2.36 - 17.92 - - - 27.70
+/- S&P 500 0.38 -2.14 - -24.76 - - - -37.96

Strategy Description

Summary

The InCube Commodity Relative Value (CRV) Fund is a systematic and market neutral managed futures program on a portfolio of highly liquid commodity futures. ... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
750 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
32.00%
Softs
28.00%
Grains
26.00%
Livestock
8.00%
Industrial Metals
6.00%
Composition Pie Chart

Summary

The InCube Commodity Relative Value (CRV) Fund is a systematic and market neutral managed futures program on a portfolio of highly liquid commodity futures.

Investment Strategy

The strategy systematically exploits price distortions across commodity futures curves. These price distortions are caused mainly by the roll behavior of commodity index products (funds, ETFs, ETNs, ETPs). The Fund offers weekly liquidity terms and the potential for returns independent of traditional forms of investment. Multiple proprietary trading indicators are used to detect over/undervaluation of spreads, take advantage of steepening or flattening term structure curves and to detect anomalies in the curvature of the term structure. Investment objectives: annualized net return > 15%, volatility < 10%, maximum drawdown < 10%, low/negative correlation to equities, bonds and other hedge fund strategies

Risk Management

Systematic and disciplined risk management are implemented to reduce drawdowns.

   

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
-20.25 24 - 4/1/2011 4/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
12.17 5 12/1/2010 4/1/2011
1.45 1 5/1/2013 5/1/2013
1.26 2 11/1/2011 12/1/2011
0.49 1 2/1/2013 2/1/2013
0.11 1 10/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.35 9 1/1/2012 9/1/2012
-7.28 6 5/1/2011 10/1/2011
-3.71 3 11/1/2012 1/1/2013
-1.12 1 6/1/2013 6/1/2013
-1.09 2 3/1/2013 4/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable32.2624.1415.3820.007.14
Average Period Return-0.33-1.06-3.20-7.96-12.14
Average Gain1.504.416.533.310.08
Average Loss-1.21-2.80-4.97-10.78-13.08
Best Period3.9010.4011.485.230.08
Worst Period-3.75-7.38-10.22-14.14-17.09
Standard Deviation1.714.095.216.305.22
Gain Standard Deviation1.444.153.962.11
Loss Standard Deviation0.982.062.972.674.02
Sharpe Ratio (1%)-0.24-0.32-0.71-1.42-2.61
Average Gain / Average Loss1.241.571.320.310.01
Profit / Loss Ratio0.590.500.240.080.00
Downside Deviation (10%)1.553.937.3414.3520.36
Downside Deviation (5%)1.323.185.6910.7914.54
Downside Deviation (0%)1.273.015.299.9213.14
Sortino Ratio (10%)-0.48-0.58-0.77-0.90-0.97
Sortino Ratio (5%)-0.32-0.41-0.65-0.83-0.94
Sortino Ratio (0%)-0.26-0.35-0.60-0.80-0.92

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.