Seven Capital Management : Seven Absolute Return

Closed to new investments
Year-to-Date
13.78%
Aug Performance
2.92%
Min Investment
€ 100k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
8.43%
Sharpe (RFR=1%)
0.36
CAROR
3.73%
Assets
€ 30.0M
Worst DD
-13.65
S&P Correlation
0.19

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
6/2009
Seven Absolute Return 2.92 6.64 13.78 11.98 24.09 19.76 43.00 45.58
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 215.04
+/- S&P 500 4.73 0.30 -2.94 11.13 -9.34 -24.83 -140.77 -169.46

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%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
30.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

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
- Uncorrelated to other CTAs

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.

   

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:
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
-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
-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
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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
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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
-6.66 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods123.00121.00118.00112.00106.00100.0088.0076.0064.00
Percent Profitable55.2859.5063.5667.8664.1570.0088.6494.7490.63
Average Period Return0.340.951.773.054.285.536.838.8812.79
Average Gain1.983.354.796.889.079.738.039.5714.30
Average Loss-1.69-2.58-3.50-5.04-4.28-4.26-2.58-3.68-1.86
Best Period6.279.2415.1219.3719.8722.6424.0931.2228.47
Worst Period-6.08-9.56-10.98-9.94-9.71-10.68-6.52-5.80-4.72
Standard Deviation2.433.805.236.847.627.795.956.898.77
Gain Standard Deviation1.622.543.674.434.645.015.156.377.74
Loss Standard Deviation1.602.272.782.662.932.352.012.071.52
Sharpe Ratio (1%)0.100.180.240.300.360.450.640.700.88
Average Gain / Average Loss1.171.301.371.362.122.283.112.607.69
Profit / Loss Ratio1.441.912.392.883.795.3324.2946.8774.34
Downside Deviation (10%)1.762.834.016.027.618.6710.6514.3517.20
Downside Deviation (5%)1.592.302.933.743.883.672.112.082.57
Downside Deviation (0%)1.552.182.683.223.092.661.080.940.71
Sortino Ratio (10%)-0.04-0.10-0.17-0.32-0.43-0.54-0.84-0.88-0.86
Sortino Ratio (5%)0.160.300.430.550.720.961.802.312.99
Sortino Ratio (0%)0.220.440.660.951.382.086.329.4618.00

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.