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

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
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

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... 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%
Strategy Pie Chart

Composition

Industrial Metals
40.00%
Precious Metals
30.00%
Energy
30.00%
Composition Pie Chart

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

   

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
-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
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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
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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
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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.