Macrocapital Limited : Macrocapital AVS Macro

Year-to-Date
1.26%
Aug Performance
-2.62%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
9.13%
Sharpe (RFR=1%)
0.14
CAROR
-
Assets
$ 626k
Worst DD
-5.62
S&P Correlation
0.59

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2021
Macrocapital AVS Macro -2.62 -3.82 1.26 - - - - 1.26
S&P 500 3.04 7.72 24.49 - - - - 19.90
+/- S&P 500 -5.66 -11.54 -23.22 - - - - -18.63

Strategy Description

Summary

An enhanced program designed to perform in bullish or bearish markets. It is using an AVS (Adapting Volatility strategy) overlay together with a general Macro strategy trading.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 30.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 40.00%
1-3 Months 40.00%
1-30 Days 10.00%
Intraday 0%

Decision-Making

Discretionary 60.00%
Systematic 40.00%

Strategy

Fundamental
5.00%
Momentum
20.00%
Option-purchasing
20.00%
Option-writing
5.00%
Seasonal/cyclical
5.00%
Technical
20.00%
Trend-following
5.00%
Other
20.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Other
20.00%
Currency FX
10.00%
Energy
10.00%
VIX
10.00%
Composition Pie Chart

Summary

An enhanced program designed to perform in bullish or bearish markets. It is using an AVS (Adapting Volatility strategy) overlay together with a general Macro strategy trading.

Investment Strategy

We use a combination of statistical signals, technical analysis, and Macroeconomic trend signals. Discretion is applied to the implementation.

Risk Management

We are typically long options and sell covered options only. Futures and Forwards have trailing stops.

   

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
-5.62 3 - 5/1/2021 8/1/2021
-2.93 1 2 1/1/0001 1/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
10.53 4 2/1/2021 5/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.62 3 6/1/2021 8/1/2021
-2.93 1 1/1/2021 1/1/2021
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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.