Salona Capital LLC : ACP

archived programs
Year-to-Date
N / A
Dec Performance
0.55%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.81%
Sharpe (RFR=1%)
2.50
CAROR
8.29%
Assets
$ 8.3M
Worst DD
-2.15
S&P Correlation
-0.05

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
1/2015
ACP 0.55 1.62 - 9.07 26.98 - - 26.98
S&P 500 3.43 5.21 - 18.21 28.55 - - 32.66
+/- S&P 500 -2.88 -3.59 - -9.15 -1.57 - - -5.68

Strategy Description

Summary

Salona Capital develops innovative alternative investment strategies that aim to complement and supplement an investor’s traditional portfolio. The Salona Capital methodology strives to provide enhanced investment returns in all three market stages. The potential to create investor... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
20.00%
1-30 Days
70.00%
Intraday
0%

Decision-Making

Discretionary
25.00%
Systematic
75.00%

Composition

Stock Indices
50.00%
Currency Futures
10.00%
Precious Metals
10.00%
Energy
10.00%
Interest Rates
10.00%
Livestock
3.00%
Softs
3.00%
Grains
2.00%
VIX
2.00%
Composition Pie Chart

Summary

Salona Capital develops innovative alternative investment strategies that aim to complement and supplement an investor’s traditional portfolio. The Salona Capital methodology strives to provide enhanced investment returns in all three market stages. The potential to create investor value regardless of whether a given market is trending, counter-trending or consolidating is the hallmark goal of Salona Capital

Investment Strategy

The All Commodity Program (“ACP”) takes the Salona Capital methodology and applies it not only to the stock indices but to over thirty different financial future and commodity markets; including but not limited to Currency, Metal, Energy, Grain, Meat, Soft and Interest Rate products. Due to an abundance of prospective trades at any given time, investment opportunities are thoroughly vetted, accounting for not only individual risk and reward but overall portfolio risk. World economies and markets are becoming more interdependent and connected by the day and a change in one can have a profound ripple effect. This provides sophisticated investors with substantial opportunities to add above average value to their portfolio, along with the corresponding risk associated with futures and options trading. The All Commodity Program primarily utilizes the writing of naked futures options but will also purchase options and open outright futures positions. It will at times engage in spread trading, day trading and intermediate term trend following in addition to writing options that normally expire within 150 days. The program is technical with a discretionary override.

Risk Management

The Advisor employs a top down multi-tiered risk management strategy that aims to minimize drawdowns by gauging market risk, overall portfolio risk, and each individual trade's risk reward and its impact on the overall risk profile of the portfolio. Proper money management and constant risk assessment are vital due to the constant flux and rapid state of change in the world’s economies and markets.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-2.15 1 2 3/1/2015 4/1/2015
-0.59 2 2 1/1/2016 3/1/2016
-0.41 1 1 8/1/2016 9/1/2016
-0.27 1 1 7/1/2015 8/1/2015
-0.24 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
8.41 9 10/1/2016 6/1/2017
6.41 3 1/1/2015 3/1/2015
3.78 3 5/1/2015 7/1/2015
3.72 5 4/1/2016 8/1/2016
3.35 5 9/1/2015 1/1/2016
2.65 5 8/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.15 1 4/1/2015 4/1/2015
-0.59 2 2/1/2016 3/1/2016
-0.41 1 9/1/2016 9/1/2016
-0.27 1 8/1/2015 8/1/2015
-0.24 1 7/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable83.3397.06100.00100.00100.00100.00
Average Period Return0.671.893.747.4511.1115.25
Average Gain0.921.953.747.4511.1115.25
Average Loss-0.61-0.16
Best Period2.446.416.9910.5213.1117.01
Worst Period-2.15-0.161.564.067.4913.13
Standard Deviation0.811.251.421.881.541.11
Gain Standard Deviation0.541.221.421.881.541.11
Loss Standard Deviation0.76
Sharpe Ratio (1%)0.721.312.283.436.2611.89
Average Gain / Average Loss1.5212.04
Profit / Loss Ratio7.58397.45
Downside Deviation (10%)0.500.380.230.190.02
Downside Deviation (5%)0.400.07
Downside Deviation (0%)0.380.03
Sortino Ratio (10%)0.521.725.6212.90145.43
Sortino Ratio (5%)1.4722.96
Sortino Ratio (0%)1.7867.99

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 8 1.05 5/2017
Option Strategy Index Month 5 1.13 2/2017
Option Strategy Index Month 8 1.47 1/2017
Option Strategy Index Month 7 0.91 11/2016

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