Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The AVR Diversified Trading Program (“Trading Program”) is a systematic, diversified program that seeks to achieve long term capital appreciation with low correlation to stocks and bonds. The Trading Program is managed by AVR Capital Advisors LLC (“AVR Capital”), founded by Mr. Harsha Patwardhan in 2019. Mr. Patwardhan developed the key components of the Trading Program as a portfolio manager at Pacific Life and its subsidiaries. The Trading Program started proprietary trading on January 10, 2019.
Investment Strategy
The Trading Program comprises several underlying strategies that seek to capture primary short-term dislocations and behavioral biases. The strategies are not intended to predict market direction or volatility but instead use the current state of the market to determine whether a behavioral bias exists. The strategies are designed to remain robust and perform over a long period. The research process is based upon employing statistical analysis and to a lesser extent, fundamental analysis, to develop the strategies.
The strategies look for, amongst others, mean reversion, trend, volatility and relative value. The Trading Program takes both long and short positions and may hold positions both intraday and overnight. While overnight positions are calibrated daily, they may be between one and five trading days. Periodically, the capital allocated to each strategy is optimized using proprietary models. The systematic nature of the strategies eliminates the emotional bias especially in time of market stress.
Risk Management
AVR Capital has developed a proprietary risk management system. The Trading Program embraces short term volatility in an effort to increase the potential for long-term performance. Each individual strategy and the overall portfolio are structured with proprietary risk parameters.
AUM & Cumulative Returns
Distribution
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
AVR Capital Advisors LLC AVR Diversified Trading Program (Proprietary)
Average RoR
1.29%
Max Gain
7.47%
Gain Frequency
75.00%
Average Gain
2.46%
Gain Deviation
2.20%
Risk
Standard Deviation
2.92%
Worst Loss
-3.61%
Loss Frequency
25.00%
Average Loss
-2.19%
Loss Deviation
1.76%
Reward/Risk
Sharpe (RFR=1%)
0.42
Skewness
0.32
Kurtosis
1.14
Reward
AVR Capital Advisors LLC AVR Diversified Trading Program (Proprietary)
Compound RoR
16.16%
Average RoR
16.16%
Max Gain
16.16%
Gain Frequency
100.00%
Average Gain
16.16%
Gain Deviation
7.62%
Risk
Standard Deviation
10.10%
Worst Loss
Loss Frequency
0.00%
Average Loss
Loss Deviation
Reward/Risk
Sharpe (RFR=1%)
1.44
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.
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Average
0.02
0.94
4.03
5.17
Min
-15.14
-15.26
-10.89
-6.76
Max
7.47
9.27
15.06
16.16
% Positive
66.67
69.23
70.00
50.00
Avg. Pos. Period
2.41
4.96
8.63
15.56
Avg. Neg. Period
-4.77
-8.13
-6.71
-5.21
# of Periods
15.00
13.00
10.00
4.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-16.96
2
—
1/2020
3/2020
-3.61
1
1
4/2019
5/2019
-2.74
1
1
6/2019
7/2019
-0.22
1
1
8/2019
9/2019
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
7.47
1
8/2019
8/2019
7.30
4
10/2019
1/2020
5.66
4
1/2019
4/2019
3.99
1
6/2019
6/2019
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-16.96
2
2/2020
3/2020
-3.61
1
5/2019
5/2019
-2.74
1
7/2019
7/2019
-0.22
1
9/2019
9/2019
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.