James River Capital Corp. : James River Navigator Futures Fund LLC, Class A Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance 0.73% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 25.00% Annualized Vol 14.04% Sharpe (RFR=1%) 0.22 CAROR 3.13% Assets $ 4.5M Worst DD -29.24 S&P Correlation -0.15 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since9/2005 James River Navigator Futures Fund LLC, Class A 0.73 - - - - - -24.80 23.77 S&P 500 1.26 - - - - - 51.28 199.14 +/- S&P 500 -0.53 - - - - - -76.08 -175.36 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 $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 900 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD Worst Peak-to-Trough 18.62% 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% 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% 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. 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 -29.24 40 - 2/1/2009 6/1/2012 -18.61 2 5 6/1/2007 8/1/2007 -6.02 3 2 6/1/2006 9/1/2006 -5.67 2 2 6/1/2008 8/1/2008 -3.54 1 1 9/1/2005 10/1/2005 -2.26 2 1 3/1/2008 5/1/2008 -0.37 1 1 4/1/2006 5/1/2006 -0.03 1 1 11/1/2008 12/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 34.80 7 9/1/2007 3/1/2008 28.63 9 10/1/2006 6/1/2007 18.46 3 9/1/2008 11/1/2008 17.90 3 12/1/2010 2/1/2011 11.92 6 11/1/2005 4/1/2006 9.14 3 2/1/2010 4/1/2010 6.19 1 6/1/2008 6/1/2008 5.59 3 8/1/2010 10/1/2010 3.56 2 11/1/2009 12/1/2009 3.39 1 4/1/2011 4/1/2011 3.15 2 1/1/2009 2/1/2009 2.06 2 8/1/2009 9/1/2009 1.59 2 7/1/2011 8/1/2011 1.41 1 6/1/2006 6/1/2006 1.40 1 11/1/2011 11/1/2011 0.73 1 7/1/2012 7/1/2012 0.37 1 9/1/2005 9/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -18.61 2 7/1/2007 8/1/2007 -17.09 5 3/1/2009 7/1/2009 -14.62 7 12/1/2011 6/1/2012 -13.39 2 5/1/2011 6/1/2011 -7.39 3 5/1/2010 7/1/2010 -6.87 2 9/1/2011 10/1/2011 -6.02 3 7/1/2006 9/1/2006 -5.67 2 7/1/2008 8/1/2008 -5.13 1 1/1/2010 1/1/2010 -3.54 1 10/1/2005 10/1/2005 -3.46 1 11/1/2010 11/1/2010 -2.49 1 3/1/2011 3/1/2011 -2.26 2 4/1/2008 5/1/2008 -2.04 1 10/1/2009 10/1/2009 -0.37 1 5/1/2006 5/1/2006 -0.03 1 12/1/2008 12/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00 Percent Profitable57.8356.7956.4166.6766.6770.0077.0883.33 Average Period Return0.341.172.565.6310.2213.4920.5826.29 Average Gain2.946.2810.2913.4519.5922.1031.0233.60 Average Loss-3.22-5.55-7.44-10.02-8.52-6.61-14.56-10.26 Best Period11.0718.4634.6333.5761.2251.3969.5448.68 Worst Period-12.44-17.82-18.06-24.05-24.80-14.99-20.97-18.46 Standard Deviation4.057.5010.8613.9017.5518.8125.4520.24 Gain Standard Deviation2.684.977.288.5713.1115.6518.6612.57 Loss Standard Deviation2.664.234.857.946.985.155.405.16 Sharpe Ratio (1%)0.060.120.190.330.500.610.691.10 Average Gain / Average Loss0.911.131.381.342.303.352.133.27 Profit / Loss Ratio1.251.491.792.684.607.817.1616.37 Downside Deviation (10%)2.915.237.289.8310.2810.0715.0813.83 Downside Deviation (5%)2.744.696.127.797.005.468.786.16 Downside Deviation (0%)2.704.565.847.326.304.547.404.61 Sortino Ratio (10%)-0.02-0.010.010.060.260.320.320.34 Sortino Ratio (5%)0.090.200.340.591.242.102.003.61 Sortino Ratio (0%)0.130.260.440.771.622.972.785.70 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. x {{title}} x {{title}} Add Cancel