Oceanic Investment Management : Oceanic Systematic Program

Year-to-Date
15.81%
Sep Performance
-0.78%
Min Investment
$ 500k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
16.09%
Sharpe (RFR=1%)
0.89
CAROR
-
Assets
$ 8.0M
Worst DD
-5.55
S&P Correlation
-0.02

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2018
Oceanic Systematic Program -0.78 7.51 15.81 17.38 - - - 22.12
S&P 500 1.72 1.19 18.74 2.15 - - - 10.03
+/- S&P 500 -2.50 6.32 -2.93 15.23 - - - 12.09

Strategy Description

Summary

The Oceanic Systematic Program is a fundamental systematic methodology which also has a momentum overlay which focuses on the most liquid FFA (Forward Freight Agreements) and other derivative / futures contracts. The strategy aim is to generate pure alpha through the combination of... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.75%
Performance Fee
20.00%
Average Commission
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
8 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
5.50%
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
80.00%
Momentum
10.00%
Seasonal/cyclical
10.00%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

Summary

The Oceanic Systematic Program is a fundamental systematic methodology which also has a momentum overlay which focuses on the most liquid FFA (Forward Freight Agreements) and other derivative / futures contracts. The strategy aim is to generate pure alpha through the combination of its fundamental and momentum based factors

Investment Strategy

The Oceanic Systematic Program seeks to generate high quality, risk adjusted returns which are uncorrelated with returns to all other major asset classes.

Risk Management

A multi model approach where each model has its own risk and positional controls. The portfolio employs a number of techniques to ensure program diversification and to limit potential losses on both individual trade and overall portfolio perspective

   

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
-5.55 1 2 5/1/2019 6/1/2019
-4.94 2 1 10/1/2018 12/1/2018
-4.68 4 1 5/1/2018 9/1/2018
-0.78 1 - 8/1/2019 9/1/2019
-0.63 1 2 1/1/2019 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
11.58 1 1/1/2019 1/1/2019
9.15 1 5/1/2018 5/1/2018
8.36 2 7/1/2019 8/1/2019
6.63 1 10/1/2018 10/1/2018
2.86 3 3/1/2019 5/1/2019
1.34 1 8/1/2018 8/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.55 1 6/1/2019 6/1/2019
-4.94 2 11/1/2018 12/1/2018
-3.92 2 6/1/2018 7/1/2018
-2.11 1 9/1/2018 9/1/2018
-0.78 1 9/1/2019 9/1/2019
-0.63 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable52.9473.3391.67
Average Period Return1.283.116.79
Average Gain4.424.887.66
Average Loss-2.25-1.76-2.83
Best Period11.5811.1013.38
Worst Period-5.55-3.05-2.83
Standard Deviation4.644.385.29
Gain Standard Deviation4.013.664.55
Loss Standard Deviation2.011.32
Sharpe Ratio (1%)0.260.651.19
Average Gain / Average Loss1.972.772.71
Profit / Loss Ratio2.217.6229.83
Downside Deviation (10%)2.231.681.69
Downside Deviation (5%)2.051.190.96
Downside Deviation (0%)2.011.080.82
Sortino Ratio (10%)0.391.122.56
Sortino Ratio (5%)0.582.406.52
Sortino Ratio (0%)0.642.878.32

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.