Meliora Capital LLP : Commodity Absolute Return (1x)

Year-to-Date
5.80%
Aug Performance
-0.88%
Min Investment
$ 250k
Mgmt. Fee
1.25%
Perf. Fee
20.00%
Annualized Vol
7.33%
Sharpe (RFR=1%)
0.65
CAROR
5.64%
Assets
$ 11.7M
Worst DD
-7.18
S&P Correlation
-0.05

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
11/2014
Commodity Absolute Return (1x) -0.88 1.30 5.80 12.47 11.69 - - 30.38
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 40.10
+/- S&P 500 0.93 -5.03 -10.93 11.62 -21.74 - - -9.72

Strategy Description

Summary

100% systematic, 100% intraday, 100% commodities Strategy: The Strategy aims to provide absolute return regardless of the market state through a fully systematic approach. The Strategy is a proprietary computer-based trading system that will take short-term exposure on commodity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
5.00
Management Fee
1.25%
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
2500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Softs
50.00%
Grains
30.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

100% systematic, 100% intraday, 100% commodities Strategy: The Strategy aims to provide absolute return regardless of the market state through a fully systematic approach. The Strategy is a proprietary computer-based trading system that will take short-term exposure on commodity futures. It trades intraday with no over-night market exposure and use strict risk management rules. Objectives: To generate an annualized performance of 12% with a volatility of 10% and peak-to-valley drawdowns that do not exceed 10%. Team: Our management team has a combined experience of over 100 years in the absolute return / systematic space and we are heavily co-invested alongside investors in the Commodity program, ensuring the interest of the team are fully aligned with the investors.

Investment Strategy

The Strategy will trade in a breakout behavior when a volatility dislocation occurs in the Commodity futures market. The market exposure will be closed before the closing of the market, in order to keep an intraday exposure.

Risk Management

Each trade has a stop loss. The Strategy can only trade twice a day per markets. The portfolio of systems is put together in order to reduce the overall's performance 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
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
-7.18 7 4 12/1/2017 7/1/2018
-6.78 5 2 6/1/2015 11/1/2015
-4.50 4 8 12/1/2016 4/1/2017
-3.24 1 3 4/1/2016 5/1/2016
-2.66 1 1 2/1/2016 3/1/2016
-2.00 1 1 2/1/2015 3/1/2015
-1.75 1 1 11/1/2014 12/1/2014
-1.60 1 2 8/1/2016 9/1/2016
-1.44 1 1 2/1/2019 3/1/2019
-0.88 1 - 7/1/2019 8/1/2019
-0.75 1 1 11/1/2018 12/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
10.31 3 12/1/2015 2/1/2016
8.17 4 8/1/2018 11/1/2018
6.56 3 4/1/2015 6/1/2015
6.25 4 4/1/2019 7/1/2019
6.06 4 9/1/2017 12/1/2017
4.83 1 4/1/2016 4/1/2016
4.69 3 5/1/2017 7/1/2017
4.30 3 10/1/2016 12/1/2016
3.50 2 1/1/2015 2/1/2015
3.39 1 11/1/2014 11/1/2014
2.90 1 6/1/2016 6/1/2016
2.06 1 8/1/2016 8/1/2016
1.93 2 1/1/2019 2/1/2019
1.15 2 3/1/2018 4/1/2018
0.99 1 2/1/2017 2/1/2017
0.86 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.25 3 5/1/2018 7/1/2018
-4.16 2 10/1/2015 11/1/2015
-3.97 2 3/1/2017 4/1/2017
-3.56 2 7/1/2015 8/1/2015
-3.24 1 5/1/2016 5/1/2016
-3.16 2 1/1/2018 2/1/2018
-2.66 1 3/1/2016 3/1/2016
-2.65 1 8/1/2017 8/1/2017
-2.00 1 3/1/2015 3/1/2015
-1.75 1 12/1/2014 12/1/2014
-1.60 1 9/1/2016 9/1/2016
-1.53 1 1/1/2017 1/1/2017
-1.44 1 3/1/2019 3/1/2019
-0.88 1 8/1/2019 8/1/2019
-0.75 1 12/1/2018 12/1/2018
-0.28 1 7/1/2016 7/1/2016
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Time Windows Analysis

 5 Year1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods152.00128.0058.0056.0053.0047.0041.0035.0023.00
Percent Profitable100.00100.0062.0769.6475.4780.8590.2497.14100.00
Average Period Return174.98311.350.481.382.624.656.688.7913.41
Average Gain174.98311.351.862.944.496.017.679.0713.41
Average Loss-1.78-2.18-3.15-1.12-2.52-0.70
Best Period348.79513.995.0610.319.3316.1215.2017.9421.75
Worst Period36.46114.46-3.24-5.25-6.68-4.16-3.67-0.705.12
Standard Deviation84.26115.522.123.124.044.504.385.084.34
Gain Standard Deviation84.26115.521.312.242.483.853.284.884.34
Loss Standard Deviation0.841.491.701.201.09
Sharpe Ratio (1%)2.022.630.190.360.520.811.181.332.39
Average Gain / Average Loss1.051.351.435.363.0413.04
Profit / Loss Ratio1.713.094.3922.6328.10443.22
Downside Deviation (10%)1.442.062.943.103.824.494.45
Downside Deviation (5%)1.251.561.981.051.300.60
Downside Deviation (0%)1.211.441.760.700.840.12
Sortino Ratio (10%)0.050.080.05-0.11-0.24-0.33-0.53
Sortino Ratio (5%)0.320.731.073.463.9811.39
Sortino Ratio (0%)0.400.961.496.687.9374.75

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 4 2.08 7/2019
Agricultural Trader Index Month 9 0.12 6/2019
Agricultural Trader Index Month 4 2.08 4/2019
Agricultural Trader Index Month 4 2.08 4/2019
Agricultural Trader Index Month 6 0.23 2/2019
Agricultural Trader Index Month 6 0.23 2/2019
Agricultural Trader Index Month 6 0.23 2/2019
Agricultural Trader Index Month 6 0.23 2/2019
Agricultural Trader Index Month 3 1.70 1/2019
Agricultural Trader Index Month 1 5.06 11/2018
Systematic Trader Index Month 9 5.06 11/2018
Agricultural Trader Index Month 10 0.43 10/2018
Agricultural Trader Index Month 5 1.51 9/2018
Agricultural Trader Index Month 5 1.51 9/2018
Agricultural Trader Index Month 6 0.99 8/2018
Agricultural Trader Index Month 7 1.08 3/2018
Agricultural Trader Index Month 3 3.27 12/2017
Agricultural Trader Index Month 5 0.88 10/2017
Systematic Trader Index Month 5 1.78 9/2017
Agricultural Trader Index Month 4 1.78 9/2017
Agricultural Trader Index Month 3 2.69 7/2017
Agricultural Trader Index Month 7 1.34 5/2017
Agricultural Trader Index Month 5 0.97 2/2017
Agricultural Trader Index Month 6 0.81 12/2016
Agricultural Trader Index Month 4 1.94 11/2016
Agricultural Trader Index Month 4 1.49 10/2016
Systematic Trader Index Month 6 2.06 8/2016
Agricultural Trader Index Month 7 2.06 8/2016

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