Stable Asset Management LTD : Arctic Blue 3x Share Class

archived programs
Year-to-Date
N / A
Jun Performance
-0.75%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
23.03%
Sharpe (RFR=1%)
0.21
CAROR
3.31%
Assets
$ 104.4M
Worst DD
-40.82
S&P Correlation
-0.09

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 3x Share Class -0.75 -6.53 - -40.82 18.25 - - 10.57
S&P 500 0.33 2.41 - 15.29 23.44 - - 23.44
+/- S&P 500 -1.08 -8.94 - -56.11 -5.19 - - -12.87

Strategy Description

Summary

Arctic Blue 3x Program is a specialist, systematic commodity-focused strategy designed to provide consistent, uncorrelated returns. Traded for 5 years at Caisse de Depot et Placement de Quebec, CIBC and Millienium, the strategy was launched as a standalone program in June 2014.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$1,200.00
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
1200 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
30.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
30.00%
1-3 Months
70.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
40.00%
Momentum
40.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
30.00%
Grains
30.00%
Softs
20.00%
Precious Metals
10.00%
VIX
10.00%
Composition Pie Chart

Summary

Arctic Blue 3x Program is a specialist, systematic commodity-focused strategy designed to provide consistent, uncorrelated returns. Traded for 5 years at Caisse de Depot et Placement de Quebec, CIBC and Millienium, the strategy was launched as a standalone program in June 2014.

Investment Strategy

The portfolio is constructed using both traditional and proprietary custom built indicators read in both a traditional and contrarian fashion. The strategy aims to identify recurrent price action patterns that are inherent to the underlying commodity market. Of the three strategy building blocks, two systems belong to the trend following family - the trend and breakout models. The third group of models – reversal - is also directional in nature but based on mean-reversion principles. The core of the strategy therefore remains aligned with the well-established and robust trend following approach, yet has a number of unique facets that differentiate the strategy, which we discuss below under ‘Edge’. The entry signals for trades are volatility adaptive, and thus volatile ‘choppy’ price action is avoided. The models filter out narrow sideways patterns to produce a profitable ratio between consecutive winning and losing trades. This helps the strategy achieve a smoother drawdown without the usual limitation to total profit. The strategy trades ten underlying investment products across three models (breakout, trend and reversal) and across three time horizons (short, medium and long term). This totals 8 distinct model systems, as the reversal model is not run on a short term time horizon since commodity markets typically do not generate sufficiently profitable price reversal signals on a short term basis. The models have not been modified since inception in January 2008: the original design of the strategy is based on exploiting recurrent opportunities that are inherent to the behaviour of the underlying markets it trades, and therefore the opportunity set available has not been eroded in the five years the strategy has been live. The models have demonstrated their ability to remain robust throughout the life of the strategy.

Risk Management

Risk management is central to the strategy. Pre-determined dollar limits are placed per trade. Maximum downside is capped.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
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
-40.82 12 - 6/1/2016 6/1/2017
-13.11 3 5 3/1/2015 6/1/2015
-7.34 2 2 1/1/0001 7/1/2014
-6.97 1 1 4/1/2016 5/1/2016
-3.30 1 1 1/1/2015 2/1/2015
-2.50 1 1 11/1/2015 12/1/2015
-0.50 1 1 2/1/2016 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
53.56 6 8/1/2014 1/1/2015
16.24 2 1/1/2016 2/1/2016
12.47 2 7/1/2015 8/1/2015
11.29 1 6/1/2016 6/1/2016
9.40 1 3/1/2015 3/1/2015
6.28 2 10/1/2015 11/1/2015
3.40 1 4/1/2016 4/1/2016
1.80 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.31 5 7/1/2016 11/1/2016
-16.58 6 1/1/2017 6/1/2017
-13.11 3 4/1/2015 6/1/2015
-7.34 2 6/1/2014 7/1/2014
-6.97 1 5/1/2016 5/1/2016
-3.30 1 2/1/2015 2/1/2015
-2.50 1 12/1/2015 12/1/2015
-1.00 1 9/1/2015 9/1/2015
-0.50 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable43.2451.4359.3865.3860.0050.00
Average Period Return0.482.335.249.2318.3720.95
Average Gain6.5712.9820.3827.4741.4654.83
Average Loss-4.16-8.96-16.88-25.23-16.27-12.94
Best Period16.1035.1553.5656.2585.0599.83
Worst Period-14.36-25.26-29.06-40.82-28.02-21.41
Standard Deviation6.6513.7022.4228.9535.6943.99
Gain Standard Deviation4.449.0114.6315.0026.3238.22
Loss Standard Deviation3.537.039.2311.249.197.25
Sharpe Ratio (1%)0.070.160.220.300.490.45
Average Gain / Average Loss1.581.451.211.092.554.24
Profit / Loss Ratio1.211.531.762.063.824.24
Downside Deviation (10%)4.318.5413.5718.8416.1317.22
Downside Deviation (5%)4.097.9212.2916.3712.0610.94
Downside Deviation (0%)4.077.8512.1516.1011.6410.30
Sortino Ratio (10%)0.020.130.200.220.670.62
Sortino Ratio (5%)0.110.280.410.531.461.82
Sortino Ratio (0%)0.120.300.430.571.582.03

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 11.29 6/2016
Systematic Trader Index Month 6 11.29 6/2016
Systematic Trader Index Month 3 12.20 2/2016
Diversified Trader Index Month 3 12.20 2/2016

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