James River Capital Corp. : James River Navigator Fund Ltd., Class 2X

archived programs
Year-to-Date
N / A
Jul Performance
1.63%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
24.64%
Sharpe (RFR=1%)
-0.54
CAROR
-14.25%
Assets
$ 4.5M
Worst DD
-49.17
S&P Correlation
0.04

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
1/2009
James River Navigator Fund Ltd., Class 2X 1.63 - - - - - -28.24 -42.35
S&P 500 1.26 - - - - - 51.28 319.45
+/- S&P 500 0.37 - - - - - -79.52 -361.80

Strategy Description

Summary

The Navigator Fund invests in the Navigator trading program (Navigator Program), a systematic managed futures trading program managed directly by James River. The Navigator Program consists of independent trading strategies that are evaluated... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 900 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough -31.93%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 33.00%
4-12 Months 33.00%
1-3 Months 34.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
14.00%
Interest Rates
14.00%
Stock Indices
14.00%
Industrial Metals
12.00%
Energy
12.00%
Grains
10.00%
Softs
10.00%
Livestock
8.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

The Navigator Fund invests in the Navigator trading program (Navigator Program), a systematic managed futures trading program managed directly by James River. The Navigator Program consists of independent trading strategies that are evaluated individually as well as within the entire portfolio. All strategies trade diverse currency, commodity and financial futures markets worldwide. James River utilizes technical analysis of price action and market volatility as a means of predicting market opportunity and discovering any repeating patterns in past historical prices. James River emphasizes risk-control and money management principles in an attempt to conserve capital during unfavorable, trendless periods in the markets so as to maintain an equity base sufficient to generate substantial overall capital appreciation when markets are trending higher or lower.
• Each strategy manages its own risk relative to its allocation of capital based on systematic stops.
• Each trade is allocated a small percentage of risk capital with positions sized such that each position within any strategy risks the same percentage of portfolio capital as any other position within that strategy?s portfolio.
• Trades are balanced to have equal risk among sectors.
• Positions are sized within the long-term and medium-term strategies so as to have approximately equal volatility between the two strategies.
• Position size limits are placed on individual trades to keep the fund from overtrading in times of abnormally low volatility.
• Each strategy is specifically selected for its own discrete method of entering and exiting trades. This independent approach minimizes concentration risk when markets are in crisis and become highly correlated.
• The combination of both different time frames and different trading approaches are intended to produce a smoother return profile than single strategy funds or than multiple strategy funds that only differ by their timeframe.
• If the total portfolio earns excessive gains, the Navigator Program will systematically take profits by reducing all positions across both strategies. We believe that when a majority of markets become overextended, a reversal will soon follow. After that reversal, the Navigator Program will reinitiate its position sizes. We have found that this overlay significantly reduces volatility and drawdowns and sacrifices very little return.
• If the volatility of an individual market becomes excessive relative to the volatility of the individual market when the trade was initiated and its price is overextended, then the system stop is dramatically accelerated and profits can be realized with a relatively small retracement in price. If a trade is then re-entered, such trade will be entered at a size consistent with the current level of market volatility.

   

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
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Sharpe Ratio: (RF=1%)
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Compound RoR:
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Risk
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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
-49.17 14 - 4/1/2011 6/1/2012
-31.93 11 13 2/1/2009 1/1/2010
-4.47 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
39.31 3 12/1/2010 2/1/2011
19.29 3 2/1/2010 4/1/2010
12.58 3 8/1/2010 10/1/2010
7.56 2 11/1/2009 12/1/2009
6.39 1 4/1/2011 4/1/2011
6.29 2 1/1/2009 2/1/2009
4.58 2 8/1/2009 9/1/2009
3.68 2 7/1/2011 8/1/2011
3.02 1 11/1/2011 11/1/2011
1.63 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.94 5 3/1/2009 7/1/2009
-26.94 7 12/1/2011 6/1/2012
-25.07 2 5/1/2011 6/1/2011
-13.14 3 5/1/2010 7/1/2010
-13.07 2 9/1/2011 10/1/2011
-10.14 1 1/1/2010 1/1/2010
-6.63 1 11/1/2010 11/1/2010
-4.47 1 3/1/2011 3/1/2011
-3.87 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable46.5136.5934.2146.8838.4650.00
Average Period Return-1.02-3.06-4.45-4.01-0.82-1.30
Average Gain4.9510.5216.4415.9624.5210.30
Average Loss-6.22-10.89-15.32-21.63-16.65-12.90
Best Period19.5439.3136.6648.3549.0626.65
Worst Period-17.22-26.24-32.46-41.69-43.09-25.13
Standard Deviation7.1113.1118.5823.6124.9014.89
Gain Standard Deviation4.5510.1813.5214.4816.608.53
Loss Standard Deviation4.266.509.0313.8713.169.81
Sharpe Ratio (1%)-0.16-0.25-0.27-0.21-0.09-0.22
Average Gain / Average Loss0.800.971.070.741.470.80
Profit / Loss Ratio0.690.560.560.650.920.80
Downside Deviation (10%)5.7210.9016.1221.7821.5418.02
Downside Deviation (5%)5.5210.2214.7019.1917.4012.44
Downside Deviation (0%)5.4710.0514.3518.5616.4511.25
Sortino Ratio (10%)-0.25-0.39-0.43-0.41-0.39-0.64
Sortino Ratio (5%)-0.20-0.32-0.34-0.26-0.13-0.27
Sortino Ratio (0%)-0.19-0.30-0.31-0.22-0.05-0.12

Top Performer Badges

Index Award Type Rank Performance Period

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