Jaguar Investments Ltd : Aegir Capital Strategy

Year-to-Date
1.87%
Oct Performance
0.20%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.01%
Sharpe (RFR=1%)
1.23
CAROR
12.37%
Assets
$ 1.0M
Worst DD
-6.31
S&P Correlation
-0.06

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
1/2012
Aegir Capital Strategy 0.20 1.18 1.87 4.01 2.90 16.28 - 149.28
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 124.51
+/- S&P 500 -1.84 -0.74 -19.30 -8.00 -38.51 -32.71 - 24.78

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.

Investment Strategy

Please contact directly for more information

Risk Management

Please contact directly for more information

   

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
-0.25 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
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
3.36 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
1.19 2 9/1/2019 10/1/2019
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
-0.67 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 Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00
Percent Profitable70.2175.0079.7886.7589.6194.37100.00100.00100.00
Average Period Return1.013.126.3210.6914.0417.8626.6335.6746.69
Average Gain1.804.548.3012.4615.8419.0026.6335.6746.69
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 Deviation2.606.7212.6718.7620.3923.4631.0136.1039.19
Gain Standard Deviation2.637.2113.4819.5620.8023.6731.0136.1039.19
Loss Standard Deviation1.230.981.060.720.740.51
Sharpe Ratio (1%)0.360.430.460.520.610.680.760.881.06
Average Gain / Average Loss1.933.945.4513.4810.3416.51
Profit / Loss Ratio4.9111.8221.5088.2289.21276.46
Downside Deviation (10%)0.951.311.993.034.425.767.427.535.12
Downside Deviation (5%)0.830.851.020.771.060.920.46
Downside Deviation (0%)0.800.750.830.420.540.29
Sortino Ratio (10%)0.631.451.931.871.461.321.461.873.72
Sortino Ratio (5%)1.123.385.6912.6511.8717.3151.04
Sortino Ratio (0%)1.264.167.6525.4725.9261.06

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 4 143.43 2011 - 2016
IASG CTA Index Sharpe 7 1.66 2015 - 2016
IASG CTA Index Sharpe 2 2.48 2014 - 2015
IASG CTA Index 5 Year Rolling 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.