Triaxiom Capital, LLC : Global Symmetry Fund

Year-to-Date
3.98%
Aug Performance
-2.38%
Min Investment
$ 1,000k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
9.18%
Sharpe (RFR=1%)
-0.18
CAROR
-
Assets
$ 3.6M
Worst DD
-5.54
S&P Correlation
-0.08

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
8/2019
Global Symmetry Fund -2.38 -1.47 3.98 -1.78 - - - -1.12
S&P 500 7.01 14.98 8.34 19.61 - - - 19.61
+/- S&P 500 -9.39 -16.45 -4.36 -21.39 - - - -20.73

Strategy Description

Summary

Triaxiom builds upon a 13-year BGI/BlackRock tenure developing and executing systematic strategies to deliver consistent alpha. As BlackRock’s Global Head of Research in Beta Strategies, Dr Lee's team was responsible for developing alpha strategies for all alpha products managed by... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor
Management Fee 1.75%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 10 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD -12.00%
Worst Peak-to-Trough 5.62%
Sector Focus Diversified 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

Technical
100.00%
Strategy Pie Chart

Composition

Industrial Metals
20.00%
Energy
20.00%
Grains
20.00%
Livestock
20.00%
Softs
20.00%
Composition Pie Chart

Summary

Triaxiom builds upon a 13-year BGI/BlackRock tenure developing and executing systematic strategies to deliver consistent alpha. As BlackRock’s Global Head of Research in Beta Strategies, Dr Lee's team was responsible for developing alpha strategies for all alpha products managed by the group, 45bil total AUM. Triaxiom Global Symmetry Fund is the generation of alpha to the absolute best of our abilities and knowledge.

Investment Strategy

Triaxiom Global Symmetry Fund is a fully systematic market neutral fund that invests across global futures markets. Relative value trades focus on extracting returns from the dynamics of futures curves. The strategy is designed to deliver returns not correlated to major market indices or other alternative investment strategies, including Commodity Trading Advisor managed futures. The managers target a 13% annual return net of all fees and expenses and an annualized volatility of 10%. The fund trades in assets globally.

Risk Management

At Triaxiom, risk is at least as important as alpha. We target a strict absolute annualized risk level of 10%. (This number did not exceed 12% during the peak of the COVID-19 market collapse.) Every strategy is created with risk considerations designed in from the start. Fully automated implementation of systematic strategies minimizes human behavioral biases. Exit criteria on all trades are pre-defined before execution. Proprietary risk models developed in-house monitoring assets, signals, and markets. Daily risk model generation with position limits. State of the art double redundancy monitoring system is cloud-based. Intraday time-scale risk monitoring to detect signal distortion and deviation from models in real-time. All strategies actively monitored for strategy decay. Pre-trade liquidity monitoring. Proprietary trading cost models manage execution risks as well as inform our trade decisions.

   

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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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
-5.54 4 1 8/1/2019 12/1/2019
-5.18 4 - 4/1/2020 8/1/2020
-0.49 1 1 2/1/2020 3/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
7.50 2 1/1/2020 2/1/2020
2.52 1 4/1/2020 4/1/2020
1.27 1 6/1/2020 6/1/2020
0.67 1 8/1/2019 8/1/2019
0.55 1 11/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.73 2 9/1/2019 10/1/2019
-3.77 1 5/1/2020 5/1/2020
-2.70 2 7/1/2020 8/1/2020
-1.39 1 12/1/2019 12/1/2019
-0.49 1 3/1/2020 3/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable46.1536.3687.50
Average Period Return-0.050.382.90
Average Gain2.075.393.78
Average Loss-1.88-2.48-3.27
Best Period6.366.978.74
Worst Period-3.77-4.21-3.27
Standard Deviation2.654.233.83
Gain Standard Deviation2.211.643.15
Loss Standard Deviation1.241.47
Sharpe Ratio (1%)-0.050.030.63
Average Gain / Average Loss1.102.171.16
Profit / Loss Ratio0.951.248.10
Downside Deviation (10%)1.883.152.26
Downside Deviation (5%)1.672.431.34
Downside Deviation (0%)1.622.261.16
Sortino Ratio (10%)-0.25-0.270.19
Sortino Ratio (5%)-0.080.051.80
Sortino Ratio (0%)-0.030.172.51

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.