Jaguar Investments Ltd : Aegir Capital Strategy

Year-to-Date
23.13%
Jul Performance
1.18%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.40%
Sharpe (RFR=1%)
1.36
CAROR
14.18%
Assets
$ 14.1M
Worst DD
-6.31
S&P Correlation
-0.08

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Aegir Capital Strategy 1.18 2.69 23.13 26.66 31.72 33.46 - 212.06
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 146.71
+/- S&P 500 -4.33 -9.63 21.88 16.91 0.45 -20.44 - 65.35

Strategy Description

Summary

The AEGIR CAPITAL Strategy adopts an algorithmic approach to exploiting price inefficiencies in the exchange-traded energy futures markets. The strategy is a forward-looking, dynamic investment model that evolves as the market evolves. The strategy utilises a proprietary knowledge-base... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 10000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 80.00%
Intraday 10.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Arbitrage
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The AEGIR CAPITAL Strategy adopts an algorithmic approach to exploiting price inefficiencies in the exchange-traded energy futures markets. The strategy is a forward-looking, dynamic investment model that evolves as the market evolves. The strategy utilises a proprietary knowledge-base containing multiple trade structures that are executed in specific scenarios. The strategy does not use options.

   

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
-6.31 2 10 2/1/2013 4/1/2013
-3.36 5 10 9/1/2017 2/1/2018
-2.86 3 4 12/1/2018 3/1/2019
-2.67 7 2 12/1/2016 7/1/2017
-1.99 1 8 9/1/2015 10/1/2015
-1.45 1 1 10/1/2016 11/1/2016
-0.81 1 1 4/1/2020 5/1/2020
-0.25 1 1 1/1/2015 2/1/2015
-0.20 2 1 9/1/2014 11/1/2014
-0.01 1 1 7/1/2019 8/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
76.94 10 1/1/2012 10/1/2012
23.36 8 9/1/2019 4/1/2020
14.85 14 8/1/2013 9/1/2014
10.43 2 1/1/2013 2/1/2013
8.74 7 3/1/2015 9/1/2015
3.64 4 4/1/2019 7/1/2019
3.53 2 6/1/2020 7/1/2020
3.36 5 6/1/2016 10/1/2016
3.27 2 8/1/2017 9/1/2017
2.73 2 5/1/2013 6/1/2013
2.10 2 11/1/2018 12/1/2018
1.96 1 12/1/2016 12/1/2016
1.90 2 12/1/2014 1/1/2015
1.73 2 7/1/2018 8/1/2018
1.69 6 11/1/2015 4/1/2016
1.69 3 3/1/2018 5/1/2018
1.17 1 3/1/2017 3/1/2017
0.56 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.31 2 3/1/2013 4/1/2013
-3.36 5 10/1/2017 2/1/2018
-2.86 3 1/1/2019 3/1/2019
-2.06 2 1/1/2017 2/1/2017
-1.99 1 10/1/2015 10/1/2015
-1.72 2 9/1/2018 10/1/2018
-1.50 1 7/1/2017 7/1/2017
-1.45 1 11/1/2016 11/1/2016
-0.84 2 4/1/2017 5/1/2017
-0.81 1 5/1/2020 5/1/2020
-0.67 1 7/1/2013 7/1/2013
-0.63 1 5/1/2016 5/1/2016
-0.30 1 6/1/2018 6/1/2018
-0.25 1 2/1/2015 2/1/2015
-0.20 2 10/1/2014 11/1/2014
-0.01 1 8/1/2019 8/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods103.00101.0098.0092.0086.0080.0068.0056.0044.00
Percent Profitable71.8477.2381.6388.0490.7095.00100.00100.00100.00
Average Period Return1.153.526.9311.2414.2417.7925.3233.0142.42
Average Gain1.934.898.8312.8915.8518.7825.3233.0142.42
Average Loss-0.93-1.15-1.52-0.92-1.53-1.15
Best Period15.6236.5558.8186.1388.0692.29116.16134.08143.43
Worst Period-5.90-3.85-4.15-2.16-2.84-1.620.964.1815.97
Standard Deviation2.716.8412.4718.1819.5922.3329.3233.8236.05
Gain Standard Deviation2.747.2213.0718.7819.8722.4829.3233.8236.05
Loss Standard Deviation1.200.981.060.720.740.51
Sharpe Ratio (1%)0.390.480.520.560.650.710.760.861.04
Average Gain / Average Loss2.084.255.7913.9410.3516.32
Profit / Loss Ratio5.7114.4025.75102.67100.92310.05
Downside Deviation (10%)0.921.251.902.894.225.497.367.745.54
Downside Deviation (5%)0.800.810.970.731.000.860.43
Downside Deviation (0%)0.770.710.790.400.510.28
Sortino Ratio (10%)0.801.842.352.161.581.371.301.482.67
Sortino Ratio (5%)1.334.036.6014.0812.7418.2851.75
Sortino Ratio (0%)1.494.928.8028.2027.7864.54

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 3 8.22 4/2020
Systematic Trader Index Month 3 8.22 4/2020
IASG CTA Index Month 3 8.22 4/2020
Systematic Trader Index Month 3 8.22 4/2020
IASG CTA Index 5 Year 4 143.43 2011 - 2016
IASG CTA Index Sharpe 7 1.66 2016
IASG CTA Index Sharpe 2 2.48 2015
IASG CTA Index 5 Year 2 238.90 2010 - 2015

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