Piquant Technologies LLP : Pegasus Fund

archived programs
Year-to-Date
N / A
Dec Performance
-1.83%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
9.10%
Sharpe (RFR=1%)
0.35
CAROR
3.89%
Assets
$ 160.0M
Worst DD
-13.65
S&P Correlation
0.11

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
9/2013
Pegasus Fund -1.83 -7.67 - -10.39 9.93 - - 13.55
S&P 500 1.82 3.25 - 9.54 21.13 - - 33.14
+/- S&P 500 -3.65 -10.92 - -19.93 -11.20 - - -19.59

Strategy Description

Summary

The Pegasus fund uses statistical learning procedures to analyse and trade systematically a widely diversified portfolio of global assets (futures). The program adopts both directional and market neutral positions based on a variety of different signals. Pegasus targets a fixed daily... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2600 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
35.00%
1-3 Months
60.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Seasonal/cyclical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
12.00%
Currency Futures
11.00%
Industrial Metals
11.00%
Precious Metals
11.00%
Energy
11.00%
Grains
11.00%
Livestock
11.00%
Softs
11.00%
Stock Indices
11.00%
Composition Pie Chart

Summary

The Pegasus fund uses statistical learning procedures to analyse and trade systematically a widely diversified portfolio of global assets (futures). The program adopts both directional and market neutral positions based on a variety of different signals. Pegasus targets a fixed daily risk that annualises to 10% volatility. Returns are uncorrelated to those of major asset classes. Piquant Technologies will seek to diversify Pegasus further with the addition of new trading strategies and asset classes.

   

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
-13.65 22 - 2/1/2015 12/1/2016
-4.50 2 4 11/1/2013 1/1/2014
-0.95 1 1 1/1/0001 9/1/2013
-0.50 1 1 7/1/2014 8/1/2014
-0.09 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
21.93 6 9/1/2014 2/1/2015
6.44 2 10/1/2013 11/1/2013
6.11 4 2/1/2014 5/1/2014
4.92 1 11/1/2015 11/1/2015
2.69 1 9/1/2015 9/1/2015
2.06 1 6/1/2016 6/1/2016
1.54 1 7/1/2014 7/1/2014
1.20 1 5/1/2015 5/1/2015
1.01 1 9/1/2016 9/1/2016
0.85 1 7/1/2015 7/1/2015
0.77 2 1/1/2016 2/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.67 3 10/1/2016 12/1/2016
-6.75 2 3/1/2015 4/1/2015
-4.50 2 12/1/2013 1/1/2014
-3.52 1 8/1/2015 8/1/2015
-3.47 2 7/1/2016 8/1/2016
-3.23 3 3/1/2016 5/1/2016
-1.20 1 12/1/2015 12/1/2015
-1.06 1 6/1/2015 6/1/2015
-0.95 1 9/1/2013 9/1/2013
-0.50 1 8/1/2014 8/1/2014
-0.35 1 10/1/2015 10/1/2015
-0.09 1 6/1/2014 6/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable52.5050.0062.8675.8673.9182.35
Average Period Return0.351.182.917.5310.8614.64
Average Gain2.275.337.0811.4716.7818.87
Average Loss-1.77-2.97-4.14-4.86-5.90-5.10
Best Period6.3413.7821.9330.1331.5026.36
Worst Period-5.88-7.67-9.97-10.39-7.51-8.29
Standard Deviation2.634.957.5610.6612.5210.67
Gain Standard Deviation1.653.116.138.928.495.37
Loss Standard Deviation1.702.073.253.941.693.54
Sharpe Ratio (1%)0.100.190.320.610.751.18
Average Gain / Average Loss1.281.791.712.362.853.70
Profit / Loss Ratio1.421.792.897.428.0617.25
Downside Deviation (10%)1.883.294.485.437.196.60
Downside Deviation (5%)1.712.683.413.403.863.23
Downside Deviation (0%)1.672.543.162.983.112.46
Sortino Ratio (10%)-0.03-0.010.100.470.450.66
Sortino Ratio (5%)0.160.350.711.922.423.92
Sortino Ratio (0%)0.210.460.922.523.495.94

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 1.01 9/2016

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