Wraith Capital LLP : Wraith Dynamic Futures Fund

archived programs
Year-to-Date
N / A
Sep Performance
1.20%
Min Investment
$ 100k
Mgmt. Fee
2.40%
Perf. Fee
20.00%
Annualized Vol
15.26%
Sharpe (RFR=1%)
0.53
CAROR
8.25%
Assets
$ 5.3M
Worst DD
-18.06
S&P Correlation
-0.06

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Wraith Dynamic Futures Fund 1.20 1.07 - 9.70 2.82 - - 34.64
S&P 500 -1.55 0.62 - 17.29 74.30 - - 53.33
+/- S&P 500 2.75 0.45 - -7.59 -71.49 - - -18.70

Strategy Description

Summary

Wraith Capital's approach involves identifying price behaviour inefficiencies and exploiting these via systematic, fully automated trading. The company emphasis is on technology, specifically using modern computer technology and highly optimised software to find opportunities and to... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.40%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
Worst Peak-to-Trough
12.30%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
8.00%
Intraday
92.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
7.00%
Momentum
74.00%
Trend-following
19.00%
Strategy Pie Chart

Composition

Precious Metals
22.00%
Stock Indices
21.00%
Currency Futures
17.00%
Interest Rates
16.00%
Energy
14.00%
Grains
8.00%
Softs
2.00%
Composition Pie Chart

Summary

Wraith Capital's approach involves identifying price behaviour inefficiencies and exploiting these via systematic, fully automated trading. The company emphasis is on technology, specifically using modern computer technology and highly optimised software to find opportunities and to exploit them as efficiently as possible. Trading is medium to high frequency and limited to highly liquid futures markets. Execution of strategies is automated via DMA for speed and accuracy but risk and portfolio construction is discretionary

Investment Strategy

CTA/Managed Futures Systematic, diversified, fully automated trade execution. Combination - trend following. mean reversion, momentum, spreads. Time frequencies: Short, medium and long term. Multiple strategies, multiple time frames. Portfolio trades 45+ markets. Currencies, Equity Indices, Fixed Income, Commodities (energy, metals and softs).

Risk Management

Risk management is based on a proprietary volatility risk measure and used to adjust position sizing on a day-to-day basis. The risk measure is similar to a VAR calculation but is calculated from 30-minute interval data and uses a proprietary smoothing technique that introduces much less lag than with a standard average. The resulting risk measure provides an up to the minute view of risk. In addition to this, we have produced a set of exposure measures that define the tail-risk for each position. These have been calculated from a deep history of 30-40 years of price data and capture the most extreme moves that have occurred in this time. The exposure measures are used per-market and aggregated up to the portfolio level to keep the exposure to extreme events within defined limits. These risk measures are incorporated into our proprietary OEMS so that we have a real-time view of the current trading risk.

   

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
-18.06 8 - 6/1/2013 2/1/2014
-12.26 7 8 1/1/2012 8/1/2012
-4.37 1 2 4/1/2011 5/1/2011
-3.99 3 1 9/1/2011 12/1/2011
-0.48 1 1 1/1/2011 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
25.14 4 6/1/2011 9/1/2011
23.81 8 11/1/2012 6/1/2013
15.30 3 3/1/2014 5/1/2014
6.84 2 6/1/2012 7/1/2012
5.96 1 1/1/2012 1/1/2012
5.91 1 9/1/2012 9/1/2012
5.12 1 1/1/2011 1/1/2011
4.59 2 3/1/2011 4/1/2011
3.98 2 10/1/2013 11/1/2013
3.97 1 3/1/2012 3/1/2012
1.90 1 1/1/2014 1/1/2014
1.20 1 9/1/2014 9/1/2014
0.61 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.25 3 7/1/2013 9/1/2013
-8.98 1 8/1/2012 8/1/2012
-7.72 2 4/1/2012 5/1/2012
-5.97 1 2/1/2012 2/1/2012
-5.89 1 2/1/2014 2/1/2014
-4.38 1 10/1/2012 10/1/2012
-4.37 1 5/1/2011 5/1/2011
-3.92 3 6/1/2014 8/1/2014
-2.70 1 12/1/2011 12/1/2011
-1.92 1 10/1/2011 10/1/2011
-1.87 1 12/1/2013 12/1/2013
-0.48 1 2/1/2011 2/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable62.2260.4750.0061.7685.7168.18
Average Period Return0.762.104.335.347.8911.35
Average Gain3.566.7313.6312.349.6018.28
Average Loss-4.09-4.98-4.96-5.98-2.35-3.49
Best Period9.2321.1524.3926.7323.8838.64
Worst Period-8.98-16.25-14.55-9.10-5.76-6.27
Standard Deviation4.417.7710.8611.077.4313.98
Gain Standard Deviation2.445.816.348.046.5411.37
Loss Standard Deviation2.544.164.472.202.322.35
Sharpe Ratio (1%)0.150.240.350.390.860.67
Average Gain / Average Loss0.871.352.752.064.095.23
Profit / Loss Ratio1.522.072.753.3324.5211.21
Downside Deviation (10%)3.064.676.097.004.738.22
Downside Deviation (5%)2.894.164.944.511.653.34
Downside Deviation (0%)2.854.034.673.921.172.32
Sortino Ratio (10%)0.110.190.310.050.060.13
Sortino Ratio (5%)0.230.450.780.963.872.80
Sortino Ratio (0%)0.270.520.931.366.764.89

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 9.23 4/2014
Diversified Trader Index Month 3 9.23 4/2014
IASG CTA Index Month 4 9.23 4/2014
IASG CTA Index Month 5 5.91 9/2012
Diversified Trader Index Month 6 5.91 9/2012
Systematic Trader Index Month 8 5.91 9/2012

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