Zafiro Capital Sárl : Zafiro Capital Commodities Trading Fund

archived programs
Year-to-Date
N / A
Apr Performance
-17.77%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
52.91%
Sharpe (RFR=1%)
0.33
CAROR
5.14%
Assets
$ 1.3M
Worst DD
-50.13
S&P Correlation
0.32

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
Zafiro Capital Commodities Trading Fund -17.77 - - - - 13.14 - 13.34
S&P 500 0.91 - - - - 70.55 - 67.57
+/- S&P 500 -18.68 - - - - -57.41 - -54.23

Strategy Description

Summary

Zafiro Capital Commodities Trading Fund is based in the Cayman Islands and was launched on 3rd November 2014. The oil-focused commodities strategy will utilise futures and options to generate superior absolute returns. The strategy is both discretionary and fundamental with mostly... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
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 QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 30.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
80.00%
Industrial Metals
8.00%
Precious Metals
7.00%
Grains
3.00%
Softs
2.00%
Composition Pie Chart

Summary

Zafiro Capital Commodities Trading Fund is based in the Cayman Islands and was launched on 3rd November 2014. The oil-focused commodities strategy will utilise futures and options to generate superior absolute returns. The strategy is both discretionary and fundamental with mostly micro-reasoned positions to create diversity and de-correlation from other managers, strategies and the macro environment.

Investment Strategy

Our strategy will be to concentrate on investing and trading in exchange traded commodity futures, along with a smaller involvement in exchange traded options on commodity futures. The use of options may often be employed to protect the portfolio from the possibility of exogenous economic, geopolitical and weather events, while it can also be used to take advantage of the potential for incalculable volatility events during times of political or seasonal-weather related uncertainty. We anticipate that the majority of our risk (around 70%) will be in energy, and the remaining 30% will be split between base and precious metals, and agricultural commodities. However, we may make use of diversified strategies if the appropriate opportunity arises.

Risk Management

The board has ultimate control of the risk management of the fund, while the CFO/COO, Tony Simmonds, is responsible for the risk management of the Investment Manager. Tony is an ex-colleague of the IM, Stephen Smethurst, and has 25 years experience in a wide array of financial and operational roles. Extensive support with regards to risk management, including daily and intra-day internal risk reporting, will also be provided from the fund administrators, SS&C GlobeOp. We will employ a number of active risk management techniques to ensure we effectively balance long-term performance with shorter-term volatility. 5% of AUM is the hard VaR limit, at a 95% confidence level. We anticipate on running at around half this level in the medium to long term.

   

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
-50.13 4 7 10/1/2015 2/1/2016
-25.75 2 - 2/1/2017 4/1/2017
-18.32 5 5 12/1/2014 5/1/2015
-5.78 1 1 9/1/2016 10/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
75.75 2 3/1/2016 4/1/2016
74.04 4 6/1/2016 9/1/2016
30.83 4 11/1/2016 2/1/2017
24.19 5 6/1/2015 10/1/2015
4.37 2 11/1/2014 12/1/2014
1.82 1 2/1/2015 2/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-50.13 4 11/1/2015 2/1/2016
-25.75 2 3/1/2017 4/1/2017
-23.30 1 5/1/2016 5/1/2016
-18.16 3 3/1/2015 5/1/2015
-5.78 1 10/1/2016 10/1/2016
-1.97 1 1/1/2015 1/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable60.0057.1452.0057.8969.23
Average Period Return1.545.5313.9720.5120.71
Average Gain10.2220.7542.4248.3237.42
Average Loss-11.47-14.77-16.86-17.73-16.90
Best Period37.9764.1299.18189.1766.86
Worst Period-35.21-46.73-47.30-49.32-30.13
Standard Deviation15.2823.5040.6354.1034.07
Gain Standard Deviation11.6417.0636.4055.4825.41
Loss Standard Deviation9.8713.1212.8115.5114.04
Sharpe Ratio (1%)0.100.220.330.360.56
Average Gain / Average Loss0.891.412.522.722.21
Profit / Loss Ratio1.341.872.733.754.98
Downside Deviation (10%)9.6013.3115.8617.5015.28
Downside Deviation (5%)9.4412.8214.7215.3712.24
Downside Deviation (0%)9.4012.6914.4414.8711.55
Sortino Ratio (10%)0.120.320.720.890.86
Sortino Ratio (5%)0.150.410.911.271.57
Sortino Ratio (0%)0.160.440.971.381.79

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 2.38 2/2017
Discretionary Trader Index Month 1 7.00 12/2016
Discretionary Trader Index Month 1 18.76 11/2016
Discretionary Trader Index Month 1 17.78 9/2016
Discretionary Trader Index Month 4 5.47 8/2016
Discretionary Trader Index Month 1 32.12 7/2016

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