Sagat Capital Ltd : Diversified Systematic Program (Client)

archived programs
Year-to-Date
N / A
Jun Performance
-0.69%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
4.80%
Sharpe (RFR=1%)
-3.28
CAROR
-
Assets
$ 947k
Worst DD
-7.52
S&P Correlation
-0.64

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
1/2015
Diversified Systematic Program (Client) -0.69 - - - - - - -7.18
S&P 500 -2.10 - - - - - - 73.67
+/- S&P 500 1.41 - - - - - - -80.85

Strategy Description

Summary

SAGAT Capital is a short-term systematic managed futures firm. Our trading ethos is centred on Evolved Momentum Persistence that exploits trends and price reversals in the world's futures and forex markets. SAGAT Capital successfully fuses global macro methods with systematic trading... Read More

Account & Fees

Type Managed Account
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 Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.07%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Currency Futures
15.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Energy
15.00%
Stock Indices
15.00%
Grains
10.00%
Interest Rates
10.00%
Softs
5.00%
Composition Pie Chart

Summary

SAGAT Capital is a short-term systematic managed futures firm. Our trading ethos is centred on Evolved Momentum Persistence that exploits trends and price reversals in the world's futures and forex markets. SAGAT Capital successfully fuses global macro methods with systematic trading techniques.

Investment Strategy

Our methodology has been developed by its traders on the basis of over 25 years of institutional global macro/RV trading experience in commodities, fixed income and foreign exchange. We look to emulate how a global macro trader operates within any particular market through our algorithms. We recognize that trend following and mean reversion are the two main techniques that a directional trader employs. However, a discretionary trader would employ them at will depending upon the price environment that is prevalent within a chosen market. We build algorithms that allow us to emulate this mode of action. Our algorithms will operate as trend followers when necessary and mean reversion players when the price environment dictates. We have systematized the process and capture the mathematical edge that these algorithms have identified over time.

Risk Management

Risk management is an important element of the Program and is an integral feature of the investment process. We operate a true reversal, non-accumulating system. Our models always have a live position in the market (either long or short) without any pyramiding.

New models are added to the Program only if they satisfy pre-determined criteria of having both attractive risk-adjusted returns and a low correlation to the incumbent models. Our aim is to have as close to zero net exposure across markets as possible. In this way, we reduce our exposure to concentration risk. Various real-time indicators are utilized to monitor concentration and risk levels over a number of time horizons.

   

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%)
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Reward
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
-7.52 5 - 1/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
0.36 1 1/1/2015 1/1/2015
0.05 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.92 3 2/1/2015 4/1/2015
-0.69 1 6/1/2015 6/1/2015
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable33.330.00
Average Period Return-1.23-4.51
Average Gain0.21
Average Loss-1.94-4.51
Best Period0.36-2.21
Worst Period-3.19-6.92
Standard Deviation1.381.99
Gain Standard Deviation0.22
Loss Standard Deviation1.061.99
Sharpe Ratio (1%)-0.95-2.38
Average Gain / Average Loss0.11
Profit / Loss Ratio0.05
Downside Deviation (10%)2.075.99
Downside Deviation (5%)1.825.06
Downside Deviation (0%)1.764.83
Sortino Ratio (10%)-0.79-0.96
Sortino Ratio (5%)-0.72-0.94
Sortino Ratio (0%)-0.70-0.93

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.