Pan Capital Management : Pan Capital Energy Strategy (Nat Gas)

Year-to-Date
27.54%
Sep Performance
-1.93%
Min Investment
$ 20,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.13%
Sharpe (RFR=1%)
1.36
CAROR
25.38%
Assets
$ 330.0M
Worst DD
-18.59
S&P Correlation
0.06

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
7/2011
Pan Capital Energy Strategy (Nat Gas) -1.93 21.28 27.54 42.61 113.83 127.11 - 710.21
S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 157.55
+/- S&P 500 1.99 12.81 23.45 29.63 81.50 53.74 - 552.65

Strategy Description

Investment Strategy

PAN CAPITAL MANAGEMENT's manager seeks to generate absolute returns by trading financial instruments associated with the US Natural Gas market. The Manager's target is to produce net 25% uncorrelated annualized returns while minimizing risk of loss. Proprietary fundamental... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
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 1000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Energy
100.00%
Composition Pie Chart

Investment Strategy

PAN CAPITAL MANAGEMENT's manager seeks to generate absolute returns by trading financial instruments associated with the US Natural Gas market. The Manager's target is to produce net 25% uncorrelated annualized returns while minimizing risk of loss. Proprietary fundamental research and analytical models to identify short to intermediate term mispricing and trading opportunities in the US natural gas market. The Manager expresses its view via outright price and calendar spreads and applies directional, relative value and option strategies. The fund trades the liquid exchange cleared instruments such as futures and options on futures. Most risk will be isolated in the first 12 months of the curve and positions will be constantly reviewed and rebalanced. The Manager monitors real time key pricing drivers and adjusts the risk based on its risk reward expectation.

   

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
-18.59 3 9 4/1/2013 7/1/2013
-10.45 15 5 1/1/2015 4/1/2016
-8.17 12 3 10/1/2016 10/1/2017
-7.86 3 2 4/1/2018 7/1/2018
-7.19 2 1 12/1/2019 2/1/2020
-6.47 4 2 4/1/2019 8/1/2019
-6.04 2 2 4/1/2020 6/1/2020
-5.85 3 2 5/1/2014 8/1/2014
-4.19 2 1 2/1/2012 4/1/2012
-1.93 1 - 8/1/2020 9/1/2020
-0.87 1 1 2/1/2019 3/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
141.85 12 5/1/2012 4/1/2013
54.79 7 8/1/2018 2/1/2019
37.94 8 7/1/2011 2/1/2012
23.67 2 7/1/2020 8/1/2020
20.60 2 3/1/2020 4/1/2020
19.56 5 9/1/2014 1/1/2015
18.70 4 9/1/2019 12/1/2019
15.28 4 7/1/2016 10/1/2016
12.12 2 1/1/2014 2/1/2014
9.61 4 8/1/2013 11/1/2013
8.46 1 11/1/2017 11/1/2017
7.18 4 1/1/2018 4/1/2018
6.60 1 8/1/2017 8/1/2017
6.04 2 3/1/2017 4/1/2017
3.87 2 4/1/2014 5/1/2014
2.66 1 5/1/2016 5/1/2016
2.28 1 4/1/2019 4/1/2019
1.35 1 3/1/2015 3/1/2015
0.94 2 12/1/2016 1/1/2017
0.34 1 11/1/2015 11/1/2015
0.20 1 7/1/2019 7/1/2019
0.14 1 1/1/2016 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.59 3 5/1/2013 7/1/2013
-7.86 3 5/1/2018 7/1/2018
-7.19 2 1/1/2020 2/1/2020
-6.51 2 9/1/2017 10/1/2017
-6.35 3 5/1/2017 7/1/2017
-6.32 2 5/1/2019 6/1/2019
-6.04 2 5/1/2020 6/1/2020
-5.85 3 6/1/2014 8/1/2014
-5.84 3 2/1/2016 4/1/2016
-5.83 1 2/1/2017 2/1/2017
-4.52 1 12/1/2017 12/1/2017
-4.19 2 3/1/2012 4/1/2012
-3.78 7 4/1/2015 10/1/2015
-2.39 1 11/1/2016 11/1/2016
-1.98 1 2/1/2015 2/1/2015
-1.93 1 9/1/2020 9/1/2020
-1.07 1 6/1/2016 6/1/2016
-0.98 1 12/1/2015 12/1/2015
-0.87 1 3/1/2019 3/1/2019
-0.85 1 3/1/2014 3/1/2014
-0.36 1 8/1/2019 8/1/2019
-0.12 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods111.00109.00106.00100.0094.0088.0076.0064.0052.00
Percent Profitable61.2667.8972.6488.0094.6898.86100.00100.00100.00
Average Period Return2.026.2812.8426.2739.7949.6567.8084.47108.14
Average Gain4.7811.1019.1430.5142.2150.2367.8084.47108.14
Average Loss-2.34-3.91-3.91-4.85-3.37-0.75
Best Period17.6237.4265.64141.85188.62162.10228.46260.19254.31
Worst Period-15.77-18.59-10.86-8.80-6.22-0.751.9716.4423.80
Standard Deviation4.9510.7317.7930.6144.1948.3463.1065.3166.71
Gain Standard Deviation3.949.4816.9630.2244.1748.3163.1065.3166.71
Loss Standard Deviation2.733.962.633.052.46
Sharpe Ratio (1%)0.390.560.690.830.870.991.031.231.54
Average Gain / Average Loss2.042.844.906.2912.5366.78
Profit / Loss Ratio3.236.0113.0146.15223.035809.55
Downside Deviation (10%)2.403.663.633.673.223.294.061.080.71
Downside Deviation (5%)2.263.232.672.261.240.390.12
Downside Deviation (0%)2.223.132.451.960.930.08
Sortino Ratio (10%)0.671.382.865.799.9911.9612.8258.31113.35
Sortino Ratio (5%)0.861.874.6211.1630.88122.60520.18
Sortino Ratio (0%)0.912.015.2413.4042.86619.19

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 17.62 8/2020
Discretionary Trader Index Month 1 17.62 8/2020

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