Sagat Capital Ltd : Diversified Systematic Program (Client) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since1/2015 Diversified Systematic Program (Client) -0.69 - - - - - - -7.18 S&P 500 -2.10 - - - - - - 103.51 +/- S&P 500 1.41 - - - - - - -110.70 Strategy Description SummarySAGAT 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% SummarySAGAT 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 StrategyOur 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 ManagementRisk 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. 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 -7.52 5 - 1/1/2015 6/1/2015 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel