Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
An enhanced program designed to perform in bullish or bearish markets. It is using an AVS (Adapting Volatility strategy) overlay together with a general Macro strategy trading.
Investment Strategy
We use a combination of statistical signals, technical analysis, and Macroeconomic trend signals. Discretion is applied to the implementation.
Risk Management
We are typically long options and sell covered options only. Futures and Forwards have trailing stops.
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
Macrocapital Limited Macrocapital AVS Macro
Average RoR
1.32%
Max Gain
23.03%
Gain Frequency
58.33%
Average Gain
3.50%
Gain Deviation
4.86%
Risk
Standard Deviation
4.58%
Worst Loss
-4.91%
Loss Frequency
41.67%
Average Loss
-1.73%
Loss Deviation
1.22%
Reward/Risk
Sharpe (RFR=1%)
0.27
Skewness
3.17
Kurtosis
14.29
Reward
Macrocapital Limited Macrocapital AVS Macro
Compound RoR
15.78%
Average RoR
16.23%
Max Gain
25.96%
Gain Frequency
100.00%
Average Gain
16.23%
Gain Deviation
16.84%
Risk
Standard Deviation
15.86%
Worst Loss
Loss Frequency
0.00%
Average Loss
Loss Deviation
Reward/Risk
Sharpe (RFR=1%)
0.94
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
1.32
4.53
9.66
23.89
50.04
55.19
Min
-4.91
-7.86
-7.89
-0.97
23.20
55.19
Max
23.03
40.74
55.23
48.40
59.73
55.19
% Positive
58.33
67.65
64.52
96.00
100.00
100.00
Avg. Pos. Period
3.50
8.26
16.41
24.93
50.04
55.19
Avg. Neg. Period
-1.73
-3.26
-2.62
-0.97
0.00
0.00
# of Periods
36.00
34.00
31.00
25.00
13.00
1.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-10.09
4
—
5/2022
9/2022
-5.62
3
4
5/2021
8/2021
-2.93
1
2
—
1/2021
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
55.23
6
12/2021
5/2022
10.53
4
2/2021
5/2021
9.81
5
10/2022
2/2023
2.77
2
9/2021
10/2021
1.60
1
4/2023
4/2023
1.15
1
8/2023
8/2023
0.94
1
6/2023
6/2023
0.56
1
10/2023
10/2023
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-10.09
4
6/2022
9/2022
-5.62
3
6/2021
8/2021
-2.93
1
1/2021
1/2021
-2.20
1
7/2023
7/2023
-1.62
1
11/2021
11/2021
-1.30
1
9/2023
9/2023
-0.74
1
5/2023
5/2023
-0.54
1
3/2023
3/2023
-0.51
2
11/2023
12/2023
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.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.