R72 Capital Management, LLC : Harmonic Exchange Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance 0.00% Min Investment $ 10k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 13.41% Sharpe (RFR=1%) -0.76 CAROR - Assets $ 4k Worst DD -16.97 S&P Correlation -0.09 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since3/2018 Harmonic Exchange 0.00 - - - - - - -15.60 S&P 500 2.04 - - - - - - 42.22 +/- S&P 500 -2.04 - - - - - - -57.82 Strategy Description SummaryR72 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% Composition Currency FX 100.00% SummaryR72 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 StrategyThe 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 activitiesRisk ManagementThe 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. 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 Depth Length (Mos.) Recovery (Mos.) Peak Valley -16.97 14 - 7/1/2018 9/1/2019 -6.73 1 3 3/1/2018 4/1/2018 Show More 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 Show More 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 -2.19 6 5/1/2019 10/1/2019 -1.22 1 6/1/2018 6/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods20.0018.0015.009.00 Percent Profitable30.0016.670.000.00 Average Period Return-0.77-2.38-5.94-10.62 Average Gain2.092.92 Average Loss-2.54-3.44-5.94-10.62 Best Period6.007.79-0.64-3.11 Worst Period-13.95-13.18-15.57-16.62 Standard Deviation3.875.045.545.53 Gain Standard Deviation2.144.21 Loss Standard Deviation4.214.595.545.53 Sharpe Ratio (1%)-0.22-0.52-1.16-2.10 Average Gain / Average Loss0.820.85 Profit / Loss Ratio0.450.17 Downside Deviation (10%)3.695.899.9716.47 Downside Deviation (5%)3.555.278.3712.74 Downside Deviation (0%)3.525.138.0011.83 Sortino Ratio (10%)-0.32-0.61-0.84-0.95 Sortino Ratio (5%)-0.24-0.50-0.77-0.91 Sortino Ratio (0%)-0.22-0.46-0.74-0.90 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