Trading Strategy: Systematic / Trend Following / Diversified
Principal(s): Jakub Rehor
Trading Description: The strategy identifies medium-term trends in futures markets and takes positions to benefit from persistence of these trends. The strategy utilizes only price indicators, eschewing fundamental analysis, and avoids any discretionary overlays, relying instead on purely systematic, back-tested approach. The strategy covers a broad universe of over 100 futures contracts traded on exchanges around the world, including North America (including Canada and Mexico), Europe, Asia, and Australia.
Mr. Rehor has 20 years of experience in investment management. After working as a business analyst at McKinsey & Co., he started his Wall Street career in 1997 as technology sector analyst with Sanford C. Bernstein & Co. From 2000 to 2004 he worked as equity analyst at Putnam Investments on the team managing the International Capital Opportunities Fund (PNVAX). From 2004 until 2013, he was an analyst and portfolio manager at Third Avenue Management where he was a partner and co-manager of the $1 billion+ Third Avenue International Value Fund (TAVIX). Mr. Rehor is the founder of investment company Ubival. He graduated from Yale University with a BA in Economics, summa cum laude. He is a CFA Charterholder and holds the Certificate in Quantitative Finance from CQF Institute in London.
Risk Strategy: Crystal Bay Ubitrend strategy uses quantitative risk management techniques originally used in equity markets to build the most broadly diversified portfolios. Portfolio construction maximizes diversification of exposures subject to limits on portfolio volatility, value at risk, and tail risk measures. Individual positions are also subject to stop-loss limits. The risk management process aims to generate positively skewed returns, with small losses and large gains, with a volatility above that of the benchmark (SG Trend index). The volatility target can be customized to meet individual clients’ preferences.
2% Long Term 32% Medium Term 65% Short Term 1% Intraday
100% Trend Following
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
Margin to Equity: (7)
Worst Drawdown: (3)
Current Losing Streak: (2)
Avg Commission: (8)
Sharpe Ratio 1% RF ROR: (5)
Round Turns per Mil: (9)
Calmar Ratio 36 Months: (6)
NFA Member: Yes
Third Party Accountant: Self-Prepared
NFA ID: 0418078
Other Memberships: None Listed
Peer Correlations (Autumn Gold Indexes are Non-Investable)
AG CTA Index: 0.505  AG Systematic CTA Index: 0.564
(P) - Proprietary Trading Results
(C) - Client Trading Results
1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.
The Annual Compound
Rate of Return represents the compounded rate of return
for each year or portion thereof presented. It is computed by
applying successively respective monthly rate of return for each
month beginning with the first month of that period.
Annual Rate of Return is calculated adding each month's return.
2. The Current Losing Streak represents the extent of the Adviso'rs current drawdown.
3. From Start Date of Program - The Worst
Peak-to-Valley Drawdown is defined as the greatest cumulative
percentage decline in net asset value due to losses sustained
by the trading program during any period in which the initial
net asset value is not equaled or exceeded by a subsequent asset
4. Omega Function takes all of the performance data into consideration. The flatter the distribution the more risky the investment. "The distribution mean is where the omega function equals 1. "Omega provides practitioners with an extremely useful tool since it accounts for the non-normal distributions of returns which are commonplace in finance, particularly for alternative investments. ...omega incorporates all the moments of the distribution and is therefore appropriate for investment analysis when returns are not normally distributed. Second, even for normally distributed returns, omega provides additional information since it takes into account the investor's preferences for loss and gain. Finally, omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. It can therefore reduce the estimation error risk." [Abrams, Ray, Ranjan Bhaduri, PHD, CFA, CAIA, and Elizabeth Flores, CAIA. "Litner Revisted: A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations. CME Group (May 2012): 12-14. Print]
5. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
7. Margin to Equity represents the average margin as a percent of a fully funded account.
8. The Average Commission represents the average commission
rate of the composite track record. A higher or lower commission
rate would increase or decrease the performance accordingly.
9. Round Turns per Million represent the average number of round turns that would be generated in a $1,000,000 account.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
RISK OF TRADING COMMODITY FUTURES AND OPTIONS IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY
FUTURES AND OPTIONS CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS
HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS.
YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE
YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE
FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL
COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES,
MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF
THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED
BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE
TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES,
CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE
RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S
"REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY
FUTURES AND OPTIONS TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE
STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY
READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE
AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION
AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON
THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE
ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS
ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR
CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM
SOLELY ON THE PAST PERFORMANCE PRESENTED.
ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST
ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE
TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE
MERITS AND RISKS INVOLVED.