J8 Capital Management LLP : J8 Global Absolute Return Strategy

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

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
1/2015
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

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%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
20.00%
Spreading/hedging
30.00%
Trend-following
50.00%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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
-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
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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
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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
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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.