Seven Capital Management : Seven Absolute Return

Year-to-Date: 5.84%
Dec Performance: -1.84%

Min Investment: € 100k
Mgmt. Fee: 1.00%
Perf. Fee: 10.00%

Annualized Vol: 8.42%
Sharpe (RFR=1%): 0.26
CAROR: 2.91%

Assets: € 30.0M
Worst DD: -13.65
S&P Correlation: 0.17

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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	2019	1yr	3yr	5yr	10yr	Since 6/2009
Seven Absolute Return	-1.84	-4.26	5.84	5.84	17.19	13.34	32.49	35.42
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	247.80
+/- S&P 500	-4.70	-12.79	-23.02	-23.02	-25.64	-41.98	-154.24	-212.38

Strategy Description

Summary

Seven Absolute Return is a medium-term Trend Following CTA program.
- 6-year Track Record
- Innovative proprietary trading program
- Active on more than 28 Contracts diversified futures
- Long and/or Short Exposure to Equity Index & Fixed income only
-... Read More

Account & Fees

Type: Fund
Minimum Investment: € 100k
Trading Level Incremental Increase: € 0k
CTA Max Funding Factor: 3.00
Management Fee: 1.00%
Performance Fee: 10.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 1-7 Days
Redemption Frequency: 1-7 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 1800 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Financial & Metals Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 100.00%
Intraday: 0%

Summary

Investment Strategy

Medium-Term Trend Following Strategy

Risk Management

The Historical Volatility Curv of each market is used to adjust the exposure on a daily Basis.

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Index: Chart Type:

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:

Monthly Annual

Reward
Average RoR:
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Average Gain:
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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
-13.65	10	17	2/1/2015	12/1/2015
-11.89	10	7	1/1/2018	11/1/2018
-11.41	23	11	9/1/2011	8/1/2013
-6.98	4	-	8/1/2019	12/1/2019
-4.23	5	5	10/1/2010	3/1/2011
-3.69	1	4	5/1/2017	6/1/2017
-2.65	2	3	8/1/2014	10/1/2014
-1.80	1	1	9/1/2009	10/1/2009
-0.92	1	4	11/1/2009	12/1/2009
-0.78	1	1	4/1/2010	5/1/2010
-0.77	1	1	11/1/2017	12/1/2017
-0.39	1	1	6/1/2009	7/1/2009
-0.37	1	1	6/1/2019	7/1/2019

Consecutive Gains

Run-up	Length (Mos.)	Start	End
10.89	5	6/1/2010	10/1/2010
10.28	5	4/1/2014	8/1/2014
9.90	2	1/1/2016	2/1/2016
9.83	4	2/1/2017	5/1/2017
7.65	4	9/1/2013	12/1/2013
7.01	2	10/1/2017	11/1/2017
6.22	2	12/1/2018	1/1/2019
6.20	2	5/1/2019	6/1/2019
6.16	1	3/1/2019	3/1/2019
4.58	3	7/1/2011	9/1/2011
4.46	2	5/1/2016	6/1/2016
4.33	1	1/1/2018	1/1/2018
4.30	2	1/1/2015	2/1/2015
3.77	2	11/1/2016	12/1/2016
3.26	2	3/1/2013	4/1/2013
3.23	2	7/1/2017	8/1/2017
2.95	1	11/1/2009	11/1/2009
2.92	1	8/1/2019	8/1/2019
2.66	2	6/1/2012	7/1/2012
2.59	2	4/1/2011	5/1/2011
2.46	1	7/1/2013	7/1/2013
2.36	1	9/1/2015	9/1/2015
2.30	4	1/1/2010	4/1/2010
2.21	1	11/1/2014	11/1/2014
2.21	1	2/1/2012	2/1/2012
1.81	1	2/1/2014	2/1/2014
1.58	2	4/1/2018	5/1/2018
1.45	2	8/1/2009	9/1/2009
1.44	1	12/1/2010	12/1/2010
1.35	1	11/1/2011	11/1/2011
1.21	1	7/1/2018	7/1/2018
0.97	1	6/1/2009	6/1/2009
0.81	3	11/1/2012	1/1/2013
0.76	1	2/1/2011	2/1/2011

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.98	6	3/1/2015	8/1/2015
-7.03	4	8/1/2018	11/1/2018
-6.99	3	8/1/2012	10/1/2012
-6.98	4	9/1/2019	12/1/2019
-6.66	4	7/1/2016	10/1/2016
-6.57	2	2/1/2018	3/1/2018
-5.24	3	10/1/2015	12/1/2015
-4.29	2	5/1/2013	6/1/2013
-3.69	1	6/1/2017	6/1/2017
-3.69	1	10/1/2011	10/1/2011
-3.44	2	3/1/2016	4/1/2016
-3.31	3	3/1/2012	5/1/2012
-3.22	1	11/1/2010	11/1/2010
-3.11	1	3/1/2011	3/1/2011
-2.90	1	1/1/2014	1/1/2014
-2.65	2	9/1/2014	10/1/2014
-2.61	1	8/1/2013	8/1/2013
-1.87	1	2/1/2019	2/1/2019
-1.80	1	10/1/2009	10/1/2009
-1.66	2	12/1/2011	1/1/2012
-1.64	1	2/1/2013	2/1/2013
-1.33	1	9/1/2017	9/1/2017
-1.32	1	6/1/2018	6/1/2018
-1.22	1	12/1/2014	12/1/2014
-0.92	1	12/1/2009	12/1/2009
-0.78	1	5/1/2010	5/1/2010
-0.77	1	12/1/2017	12/1/2017
-0.72	1	6/1/2011	6/1/2011
-0.42	1	4/1/2019	4/1/2019
-0.39	1	7/1/2009	7/1/2009
-0.37	1	7/1/2019	7/1/2019
-0.37	1	3/1/2014	3/1/2014
-0.18	1	1/1/2017	1/1/2017
-0.08	1	1/1/2011	1/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	127.00	125.00	122.00	116.00	110.00	104.00	92.00	80.00	68.00
Percent Profitable	53.54	57.60	63.93	68.97	65.45	71.15	89.13	95.00	91.18
Average Period Return	0.27	0.82	1.75	3.31	4.37	5.56	7.47	9.61	12.97
Average Gain	1.98	3.35	4.73	7.07	8.94	9.54	8.70	10.30	14.40
Average Loss	-1.70	-2.62	-3.52	-5.04	-4.28	-4.26	-2.58	-3.68	-1.86
Best Period	6.27	9.24	15.12	19.37	19.87	22.64	24.14	31.22	28.47
Worst Period	-6.08	-9.56	-10.98	-9.94	-9.71	-10.68	-6.52	-5.80	-4.72
Standard Deviation	2.43	3.82	5.19	6.89	7.51	7.69	6.58	7.44	8.55
Gain Standard Deviation	1.62	2.54	3.63	4.46	4.56	5.04	5.85	6.95	7.51
Loss Standard Deviation	1.57	2.24	2.75	2.66	2.93	2.35	2.01	2.07	1.52
Sharpe Ratio (1%)	0.08	0.15	0.24	0.34	0.38	0.46	0.67	0.74	0.92
Average Gain / Average Loss	1.16	1.28	1.34	1.40	2.09	2.24	3.37	2.80	7.75
Profit / Loss Ratio	1.34	1.74	2.38	3.12	3.96	5.52	27.64	53.25	80.04
Downside Deviation (10%)	1.79	2.91	4.00	5.91	7.48	8.57	10.42	13.98	16.94
Downside Deviation (5%)	1.61	2.36	2.92	3.67	3.81	3.60	2.06	2.03	2.50
Downside Deviation (0%)	1.57	2.24	2.67	3.17	3.04	2.60	1.06	0.91	0.69
Sortino Ratio (10%)	-0.08	-0.14	-0.18	-0.29	-0.43	-0.55	-0.80	-0.85	-0.87
Sortino Ratio (5%)	0.11	0.24	0.43	0.63	0.75	0.99	2.15	2.73	3.15
Sortino Ratio (0%)	0.17	0.37	0.66	1.05	1.44	2.13	7.07	10.50	18.82

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	9	2.45	5/2017
Trend Following Strategy Index	Month	3	6.27	2/2017
IASG CTA Index	Month	4	6.27	2/2017
Systematic Trader Index	Month	4	6.27	2/2017
Trend Following Strategy Index	Month	9	2.98	12/2016
Trend Following Strategy Index	Month	10	0.53	5/2016
Trend Following Strategy Index	Month	7	3.99	9/2013
Trend Following Strategy Index	Month	10	1.32	6/2012
Trend Following Strategy Index	Month	10	0.64	5/2011

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

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

MAY
2017

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More Programs by Seven Capital Management

Program Name	CAROR
Seven Absolute Return	2.91%

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Blends 10
Portfolios 7
Watchlists 12

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Seven Capital Management : Seven Absolute Return

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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