Savernake Capital : Managed Futures

Year-to-Date
6.78%
Jul Performance
-3.43%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
15.45%
Sharpe (RFR=1%)
0.44
CAROR
-
Assets
$ 4.5M
Worst DD
-8.43
S&P Correlation
0.77

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
8/2018
Managed Futures -3.43 -5.75 6.78 6.92 - - - 6.92
S&P 500 1.31 1.17 18.88 5.82 - - - 2.71
+/- S&P 500 -4.74 -6.92 -12.10 1.10 - - - 4.21

Strategy Description

Summary

Systematic machine learning programme that looks to build and modify portfolios based on their potential for forward returns. Utilise a vast library of potential strategies to generate a portfolio of strategies for the next week.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
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
RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Other
20.00%
Strategy Pie Chart

Composition

Industrial Metals
20.00%
Precious Metals
20.00%
Energy
20.00%
Grains
20.00%
Stock Indices
20.00%
Composition Pie Chart

Summary

Systematic machine learning programme that looks to build and modify portfolios based on their potential for forward returns. Utilise a vast library of potential strategies to generate a portfolio of strategies for the next week.

Investment Strategy

At the core of our portfolio selection and prediction system is our Portfolio Builder. It is this component that provides us with our competitive advantage by enabling us to continually adapt to changing market conditions, continuously self-learning and improving. Our portfolio builder reviews all the profitable strategies that are available to it at a point in time, and applies an initial filter to determine which of these strategies has the greatest probability of forward return. It then utilises genetics to combine these strategies into a portfolio. The system then changes and adapts based on what it learnt from the previous period, applying this knowledge to the next forward period’s prediction methodology in order to continually improve. It is our portfolio builder’s ability to combine these strategies into an optimal portfolio and evolve increasingly rapidly over time that sets us apart from others in the industry and makes our investment proposition truly evergreen.

Risk Management

We take a multi-layered approach to risk management, which is 100% systematic with 24 hour manual oversight. Our standard programmes have predetermined risk levels for every strategy, trade and instrument, which are actively managed and monitored on every tick. We can also apply specific risk parameters to individual accounts in order to reflect different clients’ preferences. Layer 1: Portfolio Builder – In our portfolio builder, we apply leverage and volatility limits, optimising the reward to risk ratio in order to maximise return and return consistency for a level of risk. Layer 2: Exposure Limits – We apply further protection by limiting the amount of exposure to a single factor, strategy or ‘bucket’ of strategies. Layer 3: Stop Losses/Risk Rules – We have hard stop losses and risk rules, for example to cap losses at a maximum daily drawdown, or max loss per strategy. Layer 4: Operational Risk Management – We have resilient architecture with fail safes covering everything from execution management to server failures and catastrophic events. Layer 5: Alert System – Although our system manages risk entirely systematically, as a backstop we have an in-built alert system which issues warnings if we are approaching a risk limit, or if there is a problem with the system or a counterparty.

   

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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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
-8.43 1 - 4/1/2019 5/1/2019
-7.09 3 3 9/1/2018 12/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
13.30 4 1/1/2019 4/1/2019
7.77 2 8/1/2018 9/1/2018
6.58 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.43 1 5/1/2019 5/1/2019
-7.09 3 10/1/2018 12/1/2018
-3.43 1 7/1/2019 7/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable58.3360.00100.00
Average Period Return0.651.125.04
Average Gain3.844.795.04
Average Loss-3.82-4.40
Best Period6.589.8210.57
Worst Period-8.43-7.092.03
Standard Deviation4.465.663.81
Gain Standard Deviation1.463.703.81
Loss Standard Deviation2.952.40
Sharpe Ratio (1%)0.130.151.19
Average Gain / Average Loss1.011.09
Profit / Loss Ratio1.411.63
Downside Deviation (10%)3.213.800.20
Downside Deviation (5%)3.043.22
Downside Deviation (0%)2.993.08
Sortino Ratio (10%)0.08-0.0312.81
Sortino Ratio (5%)0.190.27
Sortino Ratio (0%)0.220.36

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.