R72 Capital Management, LLC : Harmonic Exchange

Year-to-Date
2.34%
Jun Performance
-1.33%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.03%
Sharpe (RFR=1%)
-0.81
CAROR
-
Assets
$ 4k
Worst DD
-16.62
S&P Correlation
-0.09

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
3/2018
Harmonic Exchange -1.33 -1.77 -2.34 -16.62 - - - -15.24
S&P 500 6.89 3.78 17.34 8.21 - - - 12.85
+/- S&P 500 -8.22 -5.56 -19.68 -24.83 - - - -28.09

Strategy Description

Summary

R72 Capital Management helps meet the needs of investors looking to diversify away from traditional asset classes and maybe more importantly away from the traditional investment strategies implemented on their behalf by those who manage their money. We offer a non-traditional approach... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
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
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

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

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

R72 Capital Management helps meet the needs of investors looking to diversify away from traditional asset classes and maybe more importantly away from the traditional investment strategies implemented on their behalf by those who manage their money. We offer a non-traditional approach to investing, driven by data and technology to make better investment decisions. Our data driven solution to investing is available as a managed account for both retail and institutional clients. R72 Capital Management is a Commodity Trade Advisor registered with the Commodity Futures Trading Commission (“CFTC") and a member of the National Futures Association (“NFA"). Commodity Trading Involves Substantial Risk of Loss.

Investment Strategy

The strategy uses a systematic approach that is fully automated to analyze market data with a set of pre-programmed instructions to execute trades once certain price movement patterns have been identified. The Buy and Sell signals generated do not take into consideration any fundamental analysis or macroeconomic views. Instead are based on a proprietary technical trading system to identify profitable trading opportunities in the Forex market. The portfolio seeks an absolute return regardless of direction and uncorrelated to other market activities

Risk Management

The current risk management uses a fixed percent per trade to determine on a trade per basis how much capital is at risk. Currently the fixed percent per trade is set at 2%. The max total trades opened at any given time is 4 trades. Due to rounding of lots in some cases it will come out slightly higher and or lower than 2% risk per trade. The same goes for max leverage, with an average Max Leverage for all open positions combined totaling 1:5 but can be substantially higher. An additional risk management filter has been applied to close out all trades if the open float reaches 8% to ensure that rounding of lots on a combined max open trade basis doesn’t exceed 8% of trade capital at risk. The algorithms create the buy signal, the sell signal, place the stop loss and take profit or loss on each trade. As the open trade progresses the algorithms will then manage the risk of the trades, reducing risk over time by adjusting the stop loss, locking in gains and eventually closing out all open trades by 4pm on Friday. There are no trades held over the weekend.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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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
-16.62 11 - 7/1/2018 6/1/2019
-6.73 1 3 3/1/2018 4/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
6.00 1 5/1/2018 5/1/2018
2.94 1 7/1/2018 7/1/2018
1.58 1 4/1/2019 4/1/2019
1.12 1 3/1/2018 3/1/2018
0.89 2 9/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.95 1 8/1/2018 8/1/2018
-6.73 1 4/1/2018 4/1/2018
-3.75 5 11/1/2018 3/1/2019
-1.77 2 5/1/2019 6/1/2019
-1.22 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods16.0014.0011.00
Percent Profitable37.5021.430.00
Average Period Return-0.93-2.78-7.65
Average Gain2.092.92
Average Loss-2.75-4.33-7.65
Best Period6.007.79-1.20
Worst Period-13.95-13.18-15.57
Standard Deviation4.345.695.55
Gain Standard Deviation2.144.21
Loss Standard Deviation4.375.115.55
Sharpe Ratio (1%)-0.23-0.53-1.47
Average Gain / Average Loss0.760.67
Profit / Loss Ratio0.460.18
Downside Deviation (10%)4.126.5611.42
Downside Deviation (5%)3.975.939.71
Downside Deviation (0%)3.935.789.30
Sortino Ratio (10%)-0.33-0.61-0.89
Sortino Ratio (5%)-0.26-0.51-0.84
Sortino Ratio (0%)-0.24-0.48-0.82

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.