Jaguar Investments Ltd : Vario Capital Strategy

Year-to-Date: 2.05%
Oct Performance: -0.17%

Min Investment: $ 1,000k
Mgmt. Fee: 1.50%
Perf. Fee: 20.00%

Annualized Vol: 1.80%
Sharpe (RFR=1%): -1.29
CAROR: -1.34%

Assets: $ 2.9M
Worst DD: -7.84
S&P Correlation: 0.03

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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	2019	1yr	3yr	5yr	10yr	Since 5/2016
Vario Capital Strategy	-0.17	-0.64	-2.05	-2.25	-4.98	-	-	-4.61
S&P 500	2.04	1.92	21.16	12.01	41.41	-	-	40.51
+/- S&P 500	-2.21	-2.56	-23.21	-14.25	-46.39	-	-	-45.12

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 1,000k
CTA Max Funding Factor
Management Fee: 1.50%
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: 500 RT/YR/$M
Avg. Margin-to-Equity: 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 50.00%
Intraday: 50.00%

Decision-Making

Discretionary: 5.00%
Systematic: 95.00%

Strategy

Other: 100.00%

Composition

Industrial Metals: 40.00%
Precious Metals: 30.00%
Energy: 30.00%

Summary

The VARIO CAPITAL Strategy adopts a fundamental/macro-based systematic approach to trading short-term, directional exchange-traded futures. The investment universe includes seven of the worlds most liquid metal and energy markets. The philosophy is to capture both short-term price fluctuations and longer-term trends while imposing a strict risk management overlay. The program is designed to perform in all market conditions, including sideways price action. The strategy does not use options.

From May 2016, the VARIO strategy has traded with $4m of proprietary (non-client) capital.

Investment Strategy

Please contact directly for more information

Risk Management

Please contact directly for more information

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

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Index:

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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
-7.84	23	-	11/1/2017	10/1/2019
-1.66	3	3	1/1/2017	4/1/2017
-0.30	1	5	7/1/2016	8/1/2016
-0.28	1	1	5/1/2016	6/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
4.05	7	5/1/2017	11/1/2017
0.79	2	12/1/2016	1/1/2017
0.64	1	7/1/2016	7/1/2016
0.24	1	5/1/2016	5/1/2016
0.19	1	9/1/2016	9/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.84	23	12/1/2017	10/1/2019
-1.66	3	2/1/2017	4/1/2017
-0.30	1	8/1/2016	8/1/2016
-0.28	1	6/1/2016	6/1/2016
-0.13	2	10/1/2016	11/1/2016

Time Windows Analysis

	4 Year	5 Year		1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	100.00	88.00	64.00	42.00	40.00	37.00	31.00	25.00	19.00
Percent Profitable	43.00	50.00	34.38	28.57	32.50	35.14	25.81	20.00	0.00
Average Period Return	1.61	1.19	1.90	-0.11	-0.34	-0.70	-1.52	-2.65	-3.69
Average Gain	10.29	6.37	14.83	0.49	0.88	1.14	1.75	1.75
Average Loss	-4.94	-3.98	-4.87	-0.35	-0.93	-1.70	-2.65	-3.75	-3.69
Best Period	36.25	23.21	25.93	0.91	2.45	3.31	3.14	3.26	-0.94
Worst Period	-11.44	-8.03	-9.53	-1.49	-3.00	-4.77	-5.85	-6.76	-7.16
Standard Deviation	10.35	7.11	10.64	0.52	1.12	1.77	2.43	2.75	1.83
Gain Standard Deviation	10.22	6.50	7.57	0.33	0.78	1.07	0.96	1.35
Loss Standard Deviation	3.11	2.27	2.85	0.36	0.71	1.16	1.60	1.68	1.83
Sharpe Ratio (1%)	-0.24	-0.55	-0.50	-0.37	-0.52	-0.68	-1.03	-1.51	-3.12
Average Gain / Average Loss	2.08	1.60	3.05	1.39	0.95	0.67	0.66	0.47
Profit / Loss Ratio	1.57	1.60	1.60	0.56	0.46	0.36	0.23	0.12
Downside Deviation (10%)	22.28	27.36	40.22	0.72	1.90	3.62	6.94	10.59	14.05
Downside Deviation (5%)	7.23	6.82	10.14	0.48	1.12	2.00	3.42	4.93	5.97
Downside Deviation (0%)	4.39	3.23	4.56	0.42	0.95	1.65	2.65	3.66	4.09
Sortino Ratio (10%)	-0.89	-0.97	-0.96	-0.72	-0.82	-0.88	-0.94	-0.97	-0.99
Sortino Ratio (5%)	-0.34	-0.57	-0.52	-0.41	-0.52	-0.60	-0.73	-0.84	-0.95
Sortino Ratio (0%)	0.37	0.37	0.42	-0.26	-0.36	-0.43	-0.57	-0.72	-0.90

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	2	9.58	5/2006
Systematic Trader Index	Month	2	9.58	5/2006
Diversified Trader Index	Month	2	9.58	5/2006
Diversified Trader Index	Month	3	3.36	2/2006
Systematic Trader Index	Month	4	3.36	2/2006
IASG CTA Index	Month	8	3.36	2/2006
IASG CTA Index	Month	9	3.82	12/2004
Systematic Trader Index	Month	7	3.82	12/2004
Diversified Trader Index	Month	7	3.82	12/2004

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

^#2

Top Performer

IASG CTA INDEX

MAY
2006

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Watchlists 14

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Jaguar Investments Ltd : Vario Capital Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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