Palomar Capital Management LLC : Palomar

archived programs
Year-to-Date
N / A
Dec Performance
0.57%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
2.83%
Sharpe (RFR=1%)
0.50
CAROR
2.41%
Assets
$ 21.0M
Worst DD
-2.88
S&P Correlation
-0.01

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 Since
7/2012
Palomar 0.57 - - - 7.76 12.89 - 16.74
S&P 500 -9.18 - - - 21.41 34.26 - 151.19
+/- S&P 500 9.75 - - - -13.65 -21.36 - -134.45

Strategy Description

Summary

Palomar operates a systematic futures strategy (CTA) with a track record of stable positive returns with very low volatility and with a low correlation to hedge fund and market benchmarks.The Founding Partners Patrick Boyle and Jesse McDougall Boyle first worked together in 2004 while... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 10.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 1

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -3.00%
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Palomar operates a systematic futures strategy (CTA) with a track record of stable positive returns with very low volatility and with a low correlation to hedge fund and market benchmarks.The Founding Partners Patrick Boyle and Jesse McDougall Boyle first worked together in 2004 while studying at London Business School researching alternative investment strategies. Patrick Boyle has managed systematic futures strategies since 2001, initially for Victor Niederhoffer, an innovator in statistical/quantitative trading. Jesse McDougall Boyle has been trading since 2005, first researching and managing money for 5 years in Barclays Capital’s Equity Derivatives Arbitrage Group running both long/short equities and systematic futures strategies. Palomar Fund brings together the best risk-return strategies of the Partners’ investment experience. The strategy is based on short-term market behaviours that recur over time statistically, and it performed very well throughout the credit crisis. The Partners have substantial portion of their net worth invested. Palomar Fund is a Cayman Islands-domiciled hedge fund founded in 2012, with Palomar Capital Management LLP acting as UK Investment Advisor to the fund.

Investment Strategy

Palomar’s strategy involves searching for statistically defined market behaviors that recur over time, enabling us to produce consistent returns across market conditions. Palomar trades must meet strict risk/return requirements, be statistically significant, and have a high win rate. Each position taken has strictly defined entry and exit parameters, as such, tight risk management controls are built in from the start. Palomar focuses research on, and trades only in, highly liquid, developed market futures contracts, enabling the Fund to offer monthly liquidity. Palomar targets returns of 10-15% per year with a fraction of the volatility of the S&P500. It is a pattern-based strategy not widely used in the hedge fund community, based on the Founders’ proprietary research, operating in an un-crowded investment space. We have an extensive live track record with a Sharpe ratio above 2. Positions are held between 30 minutes and 5 days, driven by behaviourally-based, statistically significant anomalies and patterns in prices. The strategy uses very little leverage, with maximum notional positions of 1.5x invested assets. Low volatility is achieved by volatility and conviction-sizing all positions, leading to a steady return profile.

Risk Management

Risk management is embedded in the research process. Trades are generated through backtesting hypotheses of market behaviours and include fully systematic price and time-based stop outs.

   

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
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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
-2.88 11 14 11/1/2013 10/1/2014
-2.19 10 2 1/1/2017 11/1/2017
-1.28 4 3 3/1/2013 7/1/2013
-1.22 1 2 1/1/2018 2/1/2018
-0.91 1 1 12/1/2015 1/1/2016
-0.79 1 1 7/1/2018 8/1/2018
-0.38 1 1 11/1/2016 12/1/2016
-0.26 1 1 12/1/2012 1/1/2013
-0.21 1 2 6/1/2016 7/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
5.22 5 3/1/2018 7/1/2018
4.28 6 7/1/2012 12/1/2012
3.58 5 2/1/2016 6/1/2016
2.56 4 9/1/2018 12/1/2018
2.40 4 9/1/2015 12/1/2015
2.39 2 12/1/2017 1/1/2018
2.07 2 1/1/2015 2/1/2015
1.78 4 8/1/2013 11/1/2013
1.61 4 8/1/2016 11/1/2016
1.12 2 2/1/2013 3/1/2013
0.96 4 3/1/2014 6/1/2014
0.69 1 9/1/2014 9/1/2014
0.55 2 4/1/2015 5/1/2015
0.44 1 11/1/2014 11/1/2014
0.41 1 1/1/2017 1/1/2017
0.41 1 7/1/2015 7/1/2015
0.40 1 5/1/2013 5/1/2013
0.35 1 4/1/2017 4/1/2017
0.28 1 1/1/2014 1/1/2014
0.25 2 8/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.14 1 8/1/2015 8/1/2015
-2.12 1 10/1/2014 10/1/2014
-1.98 2 2/1/2017 3/1/2017
-1.42 1 2/1/2014 2/1/2014
-1.22 1 2/1/2018 2/1/2018
-0.94 2 6/1/2013 7/1/2013
-0.91 1 1/1/2016 1/1/2016
-0.79 1 8/1/2018 8/1/2018
-0.74 1 4/1/2013 4/1/2013
-0.71 1 12/1/2013 12/1/2013
-0.68 2 10/1/2017 11/1/2017
-0.56 2 7/1/2014 8/1/2014
-0.38 1 12/1/2016 12/1/2016
-0.29 1 12/1/2014 12/1/2014
-0.26 1 1/1/2013 1/1/2013
-0.21 1 7/1/2016 7/1/2016
-0.13 3 5/1/2017 7/1/2017
-0.12 1 6/1/2015 6/1/2015
-0.12 1 3/1/2015 3/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable67.9571.0564.3871.6481.9787.27100.00100.00
Average Period Return0.200.581.101.772.252.914.816.42
Average Gain0.591.182.132.822.903.424.816.42
Average Loss-0.66-0.88-0.77-0.87-0.69-0.54
Best Period2.474.165.588.017.776.9010.2513.57
Worst Period-2.14-1.97-1.85-2.50-1.91-1.430.882.02
Standard Deviation0.821.251.872.492.342.192.493.19
Gain Standard Deviation0.540.881.482.122.061.852.493.19
Loss Standard Deviation0.680.690.580.860.700.45
Sharpe Ratio (1%)0.150.270.320.310.320.410.710.74
Average Gain / Average Loss0.911.342.763.234.216.35
Profit / Loss Ratio2.003.285.008.1619.1343.57
Downside Deviation (10%)0.711.282.184.025.827.6511.2315.45
Downside Deviation (5%)0.550.710.841.121.091.080.480.62
Downside Deviation (0%)0.520.600.570.640.410.24
Sortino Ratio (10%)-0.29-0.50-0.63-0.80-0.92-0.96-0.98-0.98
Sortino Ratio (5%)0.220.470.720.690.680.843.713.80
Sortino Ratio (0%)0.390.981.922.755.5312.00

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.