J8 Capital Management LLP : J8 Global Absolute Return Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 7.32% Oct Performance -2.60% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 15.00% Annualized Vol 9.82% Sharpe (RFR=1%) 0.13 CAROR 1.79% Assets $ 2.0M Worst DD -13.68 S&P Correlation 0.18 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2015 J8 Global Absolute Return Strategy -2.60 -7.04 -7.32 -10.05 -7.52 - - 8.97 S&P 500 2.04 1.92 21.16 12.01 41.41 - - 47.69 +/- S&P 500 -4.64 -8.95 -28.48 -22.05 -48.93 - - -38.73 Strategy Description SummaryCTA / 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% Decision-Making Discretionary 0% Systematic 100.00% Strategy Fundamental 20.00% Spreading/hedging 30.00% Trend-following 50.00% Composition Currency Futures 20.00% Interest Rates 20.00% Industrial Metals 10.00% Precious Metals 10.00% Energy 10.00% Grains 10.00% Livestock 10.00% Softs 10.00% SummaryCTA / liquid alternative / multi risk premiaInvestment StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -13.68 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 Show More 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 4.34 4 1/1/2019 4/1/2019 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods58.0056.0053.0047.0041.0035.0023.00 Percent Profitable48.2846.4352.8361.7078.0597.1478.26 Average Period Return0.190.481.304.115.976.9511.23 Average Gain2.385.126.999.788.637.2815.49 Average Loss-1.92-3.54-5.07-5.02-3.51-4.16-4.10 Best Period8.7013.6520.2927.8319.2718.1331.14 Worst Period-6.51-9.78-13.45-10.05-10.27-4.16-7.52 Standard Deviation2.845.277.589.427.204.8811.22 Gain Standard Deviation2.143.645.327.285.544.558.49 Loss Standard Deviation1.592.273.563.123.273.28 Sharpe Ratio (1%)0.040.040.110.330.621.010.73 Average Gain / Average Loss1.241.451.381.952.461.753.78 Profit / Loss Ratio1.191.251.543.148.7559.4713.61 Downside Deviation (10%)1.983.865.746.596.125.4610.60 Downside Deviation (5%)1.803.224.514.172.771.133.59 Downside Deviation (0%)1.753.064.233.632.190.702.35 Sortino Ratio (10%)-0.11-0.19-0.20-0.13-0.27-0.60-0.43 Sortino Ratio (5%)0.060.070.180.751.614.382.28 Sortino Ratio (0%)0.110.160.311.132.739.884.78 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. x {{title}} x {{title}} Add Cancel