Stable Asset Management LTD : Arctic Blue 1x Share Class

archived programs
Year-to-Date
N / A
Jun Performance
-0.34%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
7.65%
Sharpe (RFR=1%)
0.04
CAROR
1.01%
Assets
$ 160.3M
Worst DD
-15.64
S&P Correlation
-0.11

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 Since
6/2014
Arctic Blue 1x Share Class -0.34 -2.48 - -15.64 5.60 - - 3.14
S&P 500 0.33 2.41 - 15.29 23.44 - - 23.44
+/- S&P 500 -0.67 -4.89 - -30.93 -17.84 - - -20.30

Strategy Description

Summary

Arctic Blue combines discretionary trading expertise with systematic rigour. The Fund investment’s philosophy is to apply the lessons learned in discretionary trading with a model that is able to identify opportunities and profit from them in a rigorous and repeatable way. The... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.50
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1100 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Momentum
20.00%
Pattern Recognition
30.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Softs
20.00%
Precious Metals
10.00%
Livestock
10.00%
VIX
10.00%
Other
10.00%
Composition Pie Chart

Summary

Arctic Blue combines discretionary trading expertise with systematic rigour. The Fund investment’s philosophy is to apply the lessons learned in discretionary trading with a model that is able to identify opportunities and profit from them in a rigorous and repeatable way. The Arctic Blue models are designed to exploit technical phenomenon inherent to commodity markets, and not the statistical inefficiencies or phenomena, which will degrade and disappear over time, that are normally targeted by CTAs. The models that Arctic Blue employs have not been changed since inception. Arctic Blue does not curve fit models and does not rely upon ultra-frequent optimization processes to update parameters. Arctic Blue operates over a trade time frame of between 2 days to 18 months and does not participate in short term, high frequency trading. Risk is also not incremental, as the sizing of the position is itself a risk management tool, as it aims to build a portfolio that can absorb the worst modelled outcome. Arctic Blue only trades USD denominated liquid instruments, either exchange listed and cleared futures or ETFs, thereby building managed risk into the portfolio. CIOs: Jean Jacques Duhot has over 22 years of experience on proprietary trading desks and designing systematic trading systems Philippe Bareges has over 14 years of experience on proprietary trading desks and researching, implementing, and maintaining systematic trading systems

Investment Strategy

Arctic Blue combines proprietary quantitative and technical concepts, read in both traditional and contrarian ways, to create a diversified portfolio of systems that benefit from different market environments Three systems (breakout, trend and reversal) operate across three time horizons (short, mid and long term), to capture different types and durations of moves. There are eight models in total, as reversal does not operate across the short term time horizon as the models do not generate significantly profitable price reversal signals. Capital is allocated to each system based on risk profile and volatility of return, thereby maximizing the probability of having multiple systems making money simultaneously The portfolio consists of 10 highly liquid and exchange cleared underlyings, which have been selected based not only on return potential but also liquidity, risk profile and profitability of signal strength.

Risk Management

Capital is divided between trades on the basis of a split by model, time period and liquidity of the underlying, so that every trade for that specific model, time period and underlying has fixed dollar risk. Capital employed is monitored on a portfolio basis and reviewed continuously for performance potential by the CIO. In addition, risk is monitored by Erik Serrano Berntsen on an intraday basis and with daily P&L and Risk report featuring risk parameters such as VaR (historical), Margin to Equity, and underlying commodity universe traded. The full Risk Committee also reviews all risk levels in the weekly risk review meeting. The trading models are run in parallel in two separate IT systems, taking the data from two separate data sources, Bloomberg and CGQ. The objective of this double confirmation process is intended to avoid any unlikely event in which either the models or the data they capture to run, are compromised. A comparison check to confirm the results of the model signals are the same is always performed prior to executing any trades. • Margin to Equity Ratio (provided by primer brokers) • VaR • Scenario stress testing

   

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%)
Skewness:
Kurtosis:
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Compound RoR:
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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
-15.64 12 - 6/1/2016 6/1/2017
-4.49 3 5 3/1/2015 6/1/2015
-2.60 2 2 1/1/0001 7/1/2014
-2.59 1 1 4/1/2016 5/1/2016
-1.19 1 1 11/1/2015 12/1/2015
-1.13 1 1 1/1/2015 2/1/2015
-0.33 1 1 2/1/2016 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
15.75 6 8/1/2014 1/1/2015
5.22 2 1/1/2016 2/1/2016
3.93 2 7/1/2015 8/1/2015
3.59 1 6/1/2016 6/1/2016
3.10 1 3/1/2015 3/1/2015
1.78 2 10/1/2015 11/1/2015
1.05 1 4/1/2016 4/1/2016
0.53 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.39 5 7/1/2016 11/1/2016
-6.36 6 1/1/2017 6/1/2017
-4.49 3 4/1/2015 6/1/2015
-2.60 2 6/1/2014 7/1/2014
-2.59 1 5/1/2016 5/1/2016
-1.19 1 12/1/2015 12/1/2015
-1.13 1 2/1/2015 2/1/2015
-0.33 1 3/1/2016 3/1/2016
-0.33 1 9/1/2015 9/1/2015
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Time Windows Analysis

 4 Year5 Year1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0034.0010.0037.0035.0032.0026.0020.0014.00
Percent Profitable100.00100.00100.0043.2451.4359.3865.3860.0050.00
Average Period Return42.1955.9289.230.110.561.162.024.394.85
Average Gain42.1955.9289.232.134.005.997.9011.2814.56
Average Loss-1.43-3.08-5.90-9.07-5.95-4.85
Best Period62.3680.89100.575.7811.0115.7516.4422.4025.19
Worst Period28.7339.0178.42-4.88-8.39-9.95-15.64-10.56-7.96
Standard Deviation8.3111.356.762.214.477.119.3210.4012.19
Gain Standard Deviation8.3111.356.761.512.974.404.437.029.74
Loss Standard Deviation1.162.373.264.553.532.72
Sharpe Ratio (1%)4.594.4812.130.030.100.130.160.350.32
Average Gain / Average Loss1.491.301.020.871.903.00
Profit / Loss Ratio1.131.381.481.652.843.00
Downside Deviation (10%)1.633.405.718.709.0911.29
Downside Deviation (5%)1.402.754.406.174.724.51
Downside Deviation (0%)1.372.684.265.904.303.86
Sortino Ratio (10%)-0.18-0.19-0.23-0.34-0.35-0.48
Sortino Ratio (5%)0.050.160.210.250.770.85
Sortino Ratio (0%)0.080.210.270.341.021.26

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.