J8 Capital Management LLP : Commodity Term Structure Arbitrage Strategy

Year-to-Date
6.93%
Apr Performance
5.12%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
11.15%
Sharpe (RFR=1%)
0.57
CAROR
-
Assets
$ 500k
Worst DD
-9.02
S&P Correlation
0.23

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
5/2020
Commodity Term Structure Arbitrage Strategy 5.12 3.52 6.93 6.99 - - - 6.99
S&P 500 5.24 16.22 14.93 48.22 - - - 41.80
+/- S&P 500 -0.12 -12.70 -8.00 -41.23 - - - -34.81

Strategy Description

Summary

The J8 Commodity Term Structure Arbitrage Strategy (“J8 CTSAS”) is a systematic, diversified commodity program. The strategy forms part of other portfolios since 2012. First full month of trading the strategy as stand-alone was May 2020.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 15.00%
Average Commission
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 1500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 40.00%
1-30 Days 10.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Energy
33.00%
Grains
27.00%
Softs
20.00%
Livestock
13.00%
Industrial Metals
7.00%
Composition Pie Chart

Summary

The J8 Commodity Term Structure Arbitrage Strategy (“J8 CTSAS”) is a systematic, diversified commodity program. The strategy forms part of other portfolios since 2012. First full month of trading the strategy as stand-alone was May 2020.

Investment Strategy

The strategy collects the risk premium of roll yield differentials on the commodity curve by trading calendar spreads. It tactically closes out the short leg when the premium collapses. The strategy is holding a long position in the deferred and a short position in the near-by commodity contract. The risk premium may collapse when the curve structure inverts and swings from contango into backwardation. To manage the risk, the strategy closes out the short leg when the near-by contract is in strong positive momentum. When in backwardation, futures held in the long position may roll up the contract curve. When the curve swings back into contango, the strategy takes again the market neutral calendar spread position. The strategy constituents are equally notional weighted. The strategy portfolio is managed to a target volatility. The strategy is trading 15 commodity markets: • Energy: WTI Crude Oil, Brent Oil, Heating Oil, Gasoline, Natural Gas. • Grains: Wheat, Corn, Soybeans, Soybean Oil. • Softs: Coffee, Sugar, Cotton. • Livestock: Lean Hogs, Live Cattle, • Metals: Copper. We exclude Gold and Silver as they show near linear term structures and therefore offer limited roll yield arbitrage opportunities. The strategy is derived from our original research.

Risk Management

please also see above: - short-leg close-out to manage curve-inversion-risk and - target-volatility mechanism to manage the exposure risk

   

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

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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
-9.02 6 2 1/1/0001 10/1/2020
-1.98 1 1 2/1/2021 3/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
14.13 4 11/1/2020 2/1/2021
5.12 1 4/1/2021 4/1/2021
0.37 2 6/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.70 3 8/1/2020 10/1/2020
-3.87 1 5/1/2020 5/1/2020
-1.98 1 3/1/2021 3/1/2021
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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.