J8 Capital Management LLP : J8 Global Absolute Return Strategy

Year-to-Date
6.67%
Mar Performance
10.99%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
10.76%
Sharpe (RFR=1%)
0.30
CAROR
3.68%
Assets
$ 2.0M
Worst DD
-13.69
S&P Correlation
-0.04

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
J8 Global Absolute Return Strategy 10.99 - 6.67 3.84 9.53 26.75 - 20.92
S&P 500 -12.51 - -20.00 -8.82 8.28 23.72 - 73.67
+/- S&P 500 23.50 - 26.67 12.66 1.26 3.04 - -52.75

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
-13.69 21 - 5/1/2018 2/1/2020
-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
10.99 1 3/1/2020 3/1/2020
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
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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
-3.89 2 1/1/2020 2/1/2020
-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 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable49.2145.9050.0055.7769.5787.5071.4387.50
Average Period Return0.350.470.933.164.355.379.0211.43
Average Gain2.635.047.039.788.647.0914.3313.53
Average Loss-1.92-3.41-5.16-5.20-5.44-6.67-4.28-3.28
Best Period10.9913.6520.2927.8319.2718.1331.1422.07
Worst Period-6.51-9.78-13.45-10.06-12.87-10.56-7.51-4.88
Standard Deviation3.115.177.539.488.336.3811.427.89
Gain Standard Deviation2.573.595.237.285.544.638.875.77
Loss Standard Deviation1.612.323.343.154.302.902.632.26
Sharpe Ratio (1%)0.090.040.060.230.340.530.520.93
Average Gain / Average Loss1.371.481.361.881.591.063.354.13
Profit / Loss Ratio1.371.251.362.373.637.448.3728.90
Downside Deviation (10%)1.983.815.907.188.027.7412.1612.68
Downside Deviation (5%)1.803.184.624.604.473.244.162.66
Downside Deviation (0%)1.753.024.324.023.772.532.641.29
Sortino Ratio (10%)-0.03-0.20-0.26-0.26-0.40-0.63-0.55-0.80
Sortino Ratio (5%)0.150.070.090.470.641.041.442.77
Sortino Ratio (0%)0.200.150.220.791.152.123.428.87

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 10.99 3/2020
Trend Following Strategy Index Month 7 3.06 12/2019

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