J8 Capital Management LLP : J8 Global Absolute Return Strategy

Year-to-Date: 3.58%
Dec Performance: 3.06%

Min Investment: $ 500k
Mgmt. Fee: 1.00%
Perf. Fee: 15.00%

Annualized Vol: 9.75%
Sharpe (RFR=1%): 0.20
CAROR: 2.54%

Assets: $ 2.0M
Worst DD: -13.67
S&P Correlation: 0.18

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2015
J8 Global Absolute Return Strategy	3.06	1.31	-3.58	-3.58	0.08	13.36	-	13.36
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	60.30
+/- S&P 500	0.20	-7.22	-32.45	-32.45	-42.75	-41.97	-	-46.94

Strategy Description

Summary

CTA / liquid alternative / multi risk premia... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 3.00
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: 1200 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 20.00%
4-12 Months: 70.00%
1-3 Months: 10.00%
1-30 Days: 0%
Intraday: 0%

Summary

CTA / liquid alternative / multi risk premia

Investment Strategy

The systematic J8 Global Absolute Return Strategy (J8 GARS) trades liquid exchange-traded futures in 20 commodity markets, futures on G10 currencies, and futures on North American and German government bond markets. It trades no futures on equity markets. It uses long-term price trends, demand and supply dislocations in the term structure, interest rate differentials, and inventory signals to generate returns. The risk-weighted portfolio returns are managed to a target volatility. The investment process is governed by rigorous risk management rules.

Risk Management

The Strategy allocates less to more risky and more to less risky markets. It reduces leverage during more volatile market environments and increases leverage during less volatile markets and the maximum leverage is capped.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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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
-13.67	17	-	5/1/2018	10/1/2019
-13.45	6	4	3/1/2015	9/1/2015
-10.80	9	7	9/1/2016	6/1/2017
-1.76	1	3	1/1/2018	2/1/2018
-1.69	2	2	2/1/2016	4/1/2016
-1.20	1	1	1/1/2015	2/1/2015
-1.07	1	1	7/1/2016	8/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
21.07	5	10/1/2015	2/1/2016
10.36	5	9/1/2017	1/1/2018
8.70	1	1/1/2015	1/1/2015
7.18	3	5/1/2016	7/1/2016
5.47	3	3/1/2018	5/1/2018
4.35	4	1/1/2019	4/1/2019
4.02	2	11/1/2019	12/1/2019
2.46	1	9/1/2018	9/1/2018
2.35	1	7/1/2017	7/1/2017
1.81	1	7/1/2015	7/1/2015
1.77	1	3/1/2015	3/1/2015
1.29	1	9/1/2016	9/1/2016
0.98	1	2/1/2017	2/1/2017
0.90	1	6/1/2019	6/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.78	3	4/1/2015	6/1/2015
-7.39	4	7/1/2019	10/1/2019
-6.82	4	10/1/2016	1/1/2017
-5.78	2	8/1/2015	9/1/2015
-5.23	3	10/1/2018	12/1/2018
-5.20	4	3/1/2017	6/1/2017
-4.94	1	5/1/2019	5/1/2019
-4.09	3	6/1/2018	8/1/2018
-1.76	1	2/1/2018	2/1/2018
-1.69	2	3/1/2016	4/1/2016
-1.20	1	2/1/2015	2/1/2015
-1.07	1	8/1/2016	8/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	60.00	58.00	55.00	49.00	43.00	37.00	25.00	13.00
Percent Profitable	50.00	46.55	50.91	59.18	74.42	91.89	76.00	100.00
Average Period Return	0.25	0.39	1.08	3.73	5.19	6.32	10.09	14.09
Average Gain	2.35	4.98	6.99	9.78	8.64	7.28	14.68	14.09
Average Loss	-1.92	-3.60	-5.04	-5.05	-4.82	-4.61	-4.45
Best Period	8.70	13.65	20.29	27.83	19.27	18.13	31.14	22.07
Worst Period	-6.51	-9.78	-13.45	-10.04	-12.87	-5.09	-7.51	3.83
Standard Deviation	2.81	5.23	7.53	9.42	7.89	5.46	11.48	5.60
Gain Standard Deviation	2.09	3.64	5.32	7.28	5.54	4.55	8.97	5.60
Loss Standard Deviation	1.59	2.27	3.43	3.00	4.25	0.47	3.07
Sharpe Ratio (1%)	0.06	0.03	0.08	0.29	0.47	0.79	0.61	1.79
Average Gain / Average Loss	1.22	1.38	1.39	1.94	1.79	1.58	3.30
Profit / Loss Ratio	1.27	1.20	1.44	2.81	5.21	17.91	10.44
Downside Deviation (10%)	1.95	3.89	5.80	6.79	7.18	6.36	11.52	9.20
Downside Deviation (5%)	1.77	3.25	4.54	4.29	3.81	1.93	3.96	0.06
Downside Deviation (0%)	1.72	3.10	4.25	3.73	3.19	1.32	2.58
Sortino Ratio (10%)	-0.08	-0.21	-0.24	-0.19	-0.33	-0.62	-0.49	-0.81
Sortino Ratio (5%)	0.09	0.04	0.13	0.64	0.97	2.23	1.78	155.45
Sortino Ratio (0%)	0.14	0.13	0.26	1.00	1.63	4.80	3.91

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.

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Program Name	CAROR
J8 Global Absolute Return Strategy	2.54%

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J8 Capital Management LLP : J8 Global Absolute Return Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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