Jaguar Investments Ltd : Vario Capital Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 0.02 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2016 Vario Capital Strategy -0.17 - - -0.87 -5.65 - - -4.61 S&P 500 2.04 - - 12.01 41.41 - - 46.34 +/- S&P 500 -2.21 - - -12.87 -47.06 - - -50.95 Strategy Description SummaryThe 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... Read More 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% SummaryThe 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 StrategyPlease contact directly for more informationRisk ManagementPlease contact directly for more information Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 4 Year5 Year1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods100.0088.0064.0042.0040.0037.0031.0025.0019.00 Percent Profitable43.0050.0034.3828.5732.5035.1425.8120.000.00 Average Period Return1.611.191.90-0.11-0.34-0.70-1.52-2.65-3.69 Average Gain10.296.3714.830.490.881.141.751.75 Average Loss-4.94-3.98-4.87-0.35-0.93-1.70-2.65-3.75-3.69 Best Period36.2523.2125.930.912.453.313.143.26-0.94 Worst Period-11.44-8.03-9.53-1.49-3.00-4.77-5.85-6.76-7.16 Standard Deviation10.357.1110.640.521.121.772.432.751.83 Gain Standard Deviation10.226.507.570.330.781.070.961.35 Loss Standard Deviation3.112.272.850.360.711.161.601.681.83 Sharpe Ratio (1%)-0.24-0.55-0.50-0.37-0.52-0.68-1.03-1.51-3.12 Average Gain / Average Loss2.081.603.051.390.950.670.660.47 Profit / Loss Ratio1.571.601.600.560.460.360.230.12 Downside Deviation (10%)22.2827.3640.220.721.903.626.9410.5914.05 Downside Deviation (5%)7.236.8210.140.481.122.003.424.935.97 Downside Deviation (0%)4.393.234.560.420.951.652.653.664.09 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%)0.370.370.42-0.26-0.36-0.43-0.57-0.72-0.90 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. x {{title}} x {{title}} Add Cancel