IStar Capital B.V. : IStar Systematic Fund

archived programs
Year-to-Date
N / A
Oct Performance
1.54%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
8.56%
Sharpe (RFR=1%)
0.04
CAROR
1.00%
Assets
$ 21.0M
Worst DD
-15.32
S&P Correlation
-0.06

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
IStar Systematic Fund 1.54 -0.46 - 1.43 20.71 - - 4.23
S&P 500 8.30 -1.16 - 3.04 47.25 - - 83.77
+/- S&P 500 -6.76 0.70 - -1.60 -26.54 - - -79.53

Strategy Description

Summary

A combination of medium term trend-following with currency carry and discretionary risk management component.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
15.00%
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
QEP
Lock-up Period
1

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
30.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
34.00%
1-3 Months
33.00%
1-30 Days
33.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Arbitrage
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency FX
33.00%
Interest Rates
17.00%
Energy
12.00%
Industrial Metals
10.00%
Grains
10.00%
Currency Futures
7.00%
Softs
7.00%
Precious Metals
2.00%
Livestock
2.00%
Composition Pie Chart

Summary

A combination of medium term trend-following with currency carry and discretionary risk management component.

Investment Strategy

90% systematic and 10% discretionary

Risk Management

Diversified over approximately 50 markets. Discretionary risk management used to reduce risk in market segments or target volatility.

   

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
-15.32 8 30 1/1/0001 4/1/2012
-9.19 5 - 3/1/2015 8/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
24.18 9 7/1/2014 3/1/2015
8.68 4 11/1/2012 2/1/2013
4.36 2 9/1/2015 10/1/2015
4.17 5 5/1/2012 9/1/2012
3.77 1 4/1/2013 4/1/2013
2.82 2 2/1/2014 3/1/2014
1.84 1 5/1/2014 5/1/2014
1.66 1 6/1/2013 6/1/2013
1.36 2 9/1/2013 10/1/2013
0.64 1 3/1/2012 3/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-13.58 6 9/1/2011 2/1/2012
-9.19 5 4/1/2015 8/1/2015
-7.16 3 11/1/2013 1/1/2014
-5.80 2 7/1/2013 8/1/2013
-2.64 1 4/1/2012 4/1/2012
-2.11 1 10/1/2012 10/1/2012
-1.53 1 6/1/2014 6/1/2014
-1.44 1 5/1/2013 5/1/2013
-0.61 1 3/1/2013 3/1/2013
-0.08 1 4/1/2014 4/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable56.0054.1753.3369.2387.8888.8993.33
Average Period Return0.110.511.975.957.987.9318.19
Average Gain1.824.168.1011.489.589.6119.82
Average Loss-2.06-3.80-5.04-6.49-3.62-5.50-4.70
Best Period4.6512.1017.7124.7921.8019.0027.31
Worst Period-8.31-11.01-13.58-13.85-6.16-8.65-4.70
Standard Deviation2.475.048.0210.527.687.359.24
Gain Standard Deviation1.333.155.357.256.705.786.98
Loss Standard Deviation1.783.003.443.812.433.88
Sharpe Ratio (1%)0.010.050.180.470.840.801.64
Average Gain / Average Loss0.881.101.611.772.651.754.22
Profit / Loss Ratio1.121.301.843.9819.1913.9759.04
Downside Deviation (10%)2.003.945.656.734.926.866.53
Downside Deviation (5%)1.833.384.434.621.952.762.07
Downside Deviation (0%)1.793.254.144.131.462.121.21
Sortino Ratio (10%)-0.15-0.18-0.090.140.08-0.340.37
Sortino Ratio (5%)0.020.080.331.073.312.147.34
Sortino Ratio (0%)0.060.160.481.445.473.7514.99

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.