Old Park Capital : SI8 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance -1.81% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 6.36% Sharpe (RFR=1%) 0.47 CAROR - Assets $ 3.5M Worst DD -2.02 S&P Correlation 0.37 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since10/2014 SI8 -1.81 - - - - - - 4.88 S&P 500 -1.75 - - - - - - 93.00 +/- S&P 500 -0.06 - - - - - - -88.12 Strategy Description SummarySI8 is founded on the axiom that the markets display a large degree of randomness and are fundamentally inefficient. At the core, this strategy is based on the hypothesis that while markets can display directional biases some of the time, their price actions are essentially random.... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 250k CTA Max Funding Factor 4.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 9100 RT/YR/$M Avg. Margin-to-Equity 11% Targeted Worst DD -2.00% Worst Peak-to-Trough -2.75% Sector Focus Diversified 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 Counter-trend 10.00% Momentum 90.00% Composition Interest Rates 33.00% Stock Indices 21.00% Industrial Metals 17.00% Precious Metals 17.00% Currency Futures 6.00% Energy 6.00% SummarySI8 is founded on the axiom that the markets display a large degree of randomness and are fundamentally inefficient. At the core, this strategy is based on the hypothesis that while markets can display directional biases some of the time, their price actions are essentially random. Despite these erratic price movements, there is one constant: markets continuously expand and contract in terms of volatility. This strategy generates profits by anticipating these expansions and contractions. From an operational perspective, no more than two trades per day are ever executed in each market and no overnight positions are held. These features ensure liquidity and minimize risks against periodic market shocks and systemic risks.Investment StrategySI8 is divided into 2 stages: pre-market and post market-open stages. At the pre-market stage, we quantitatively analyze the markets through 5 filters, namely, volatility, prevailing bias/trend, support and resistance areas, time factors and strategy behavioural analysis. This analysis generates the parameters to be deployed in each market the following day. From the parameters, over 20 different scenarios can emerge and hence the mere fact of a buy signal, for instance, being generated does not mean it will be taken. At the core, SI8 attempts to predict whether the following day will be an expansionary day or contractionary day. In the case of the former, the model is allowed more latitude in terms of exits while in the case of the latter it will seek to exit at dynamically generated levels for profit taking and stops. The exit mechanism is a key differentiating factor of our model. In short, the model plays defensively when a contractionary day is expected and when an expansionary day is expected, it trades aggressively. Between 70 to 75% of time, the model is set for a contractionary day and 25 to 30% of time, for an expansionary day but the latter accounts for 60% or more of profits on average.Risk ManagementThe SI8 investment strategy invests only in highly liquid exchange traded derivatives (futures only). SI8 applies fixed price stops in every market so that the maximum aggregate loss on any given day is set at a maximum of 2.5% of the total portfolio NAV. In reality, however, this 2.5% daily limit is never reached as the model’s parameters prevent it from trading all the market in a single day and therefore the actual risk exposure is noticeably less than 2.5%. In addition to the maximum loss set via fixed price stops, SI8 may also exit positions through dynamically generated soft stops in response to price actions, thus further limiting potential losses on any given day. The largest daily loss experienced to date is -1.13%. Furthermore, the model also has a time stop as the third layer of an exit point. The average holding period of our positions is less than 3 hours with no overnight positions. 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 Consecutive Gains Run-up Length (Mos.) Start End Show More Consecutive Losses Run-up Length (Mos.) Start End Show More 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