CTA Profiles

Manager List » J8 Capital Management LLP »

J8 Capital Management LLP - J8 Global Absolute Return Strategy

Principal(s): Dr. Tillmann Sachs, Ian Fridlington, Sandy Chu, & Maximilian
Head of Trading Vishal Sharma
Strategy: Systematic / Quantitative / Liquid Exchange Traded Futures
Request Disclosure Document
Investment Restrictions: 4.7 Exempt - QEPs Only++

Statistics & Program Information

Nov Return 3.00%	Worst Drawdown ⁽²⁾ -17.55%	Minimum Investment $1,000,000
YTD Return -8.99%	Losing Streak ⁽³⁾ -15.07 %	AUM⁽⁵⁾ $88,700,000
Annualized CROR ⁽¹⁾ 4.38	Sharpe Ratio ⁽⁴⁾ 0.37	Calmar Ratio ⁽⁶⁾ 0.13

Trading Methodology 100% Systematic	Style Sub-Categories Fundamental Arbitrage Quantitative Spread Long Short Absolute Return Relative Value	Trading Style 50% Trend Following 20% Spread Trading 30% 15% FX Carry 15% Commodity Basis
Market Sector 33% Currencies 33% Financials 20% Metals 8% Energies 8% Agriculturals 8% Softs	Holding Period 60% Long Term 25% Medium Term 15% Short Term	Sector Global Contracts Futures

Start Date Jan-2015	Currency US Dollars	Margin ⁽⁷⁾ 3 - 15%
New Money Yes	AUM ⁽⁵⁾ $88,700,000	Management Fee 0.00%
Min Investment $1,000,000	Annualized CROR ⁽¹⁾ 4.38	Incentive Fee 0.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -15.07 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -17.55 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.37	Max Comm ⁽⁹⁾ $1 give-in fee
NFA Number 0516343	Calmar Ratio ⁽⁶⁾ 0.13	Round Turns ⁽¹⁰⁾ 1,000

Starting Date: Jan-2015	Currency: US Dollars
Open to New Investors: Yes	Current Assets: $88,700,000
Open to US Investors: Yes	Annualized CROR: 4.38%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -17.55
Minimum Managed Account: $1,000,000	Current Losing Streak: -15.07 %
Domocile:	Calmar: 0.13
Subscriptions: N/A	Sharpe Ratio: 0.37
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 0.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: CTA Services

Correlations: AG CTA Index: 0.561 AG Systematic CTA Index: 0.596

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: 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 a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annualized Compounded Rate of Return ("Annualized CROR") represents the compounded rate of return or 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst 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 value. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The 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 Annualized 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. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description:

The J8 Global Absolute Return Strategy ("J8 GARS") is a liquid alternative investment solution. Capital preservation and capital growth are at its core. The program's portfolio diversification properties and alternative streams of returns make it a compelling contributor to existing investments. J8 GARS only trades highly liquid exchange traded futures on commodity, currency, and government bond markets. It captures distinct and independent streams of returns within a systematic and formulaic investment process. The program is derived from J8's proprietary research.

Risk Strategy:

The risk strategy consists of four independent elements:
a) creation of rolling futures time series as underlying assets to avoid physical delivery and to choose a consistent investment point on the futures contract curve,
b) risk weighted asset allocation to allocate more to the less risky ad less to the more risky markets,
c) target volatility to manage the embedded leverage dynamically with the objective to achieve for the overall portfolio a constant long-term volatility profile, and
d) drawdown control to reduce risk of outsized drawdowns.

Background:

Dr. Tillmann Sachs: CEO, Chief Investment Officer, Head of Research
2012: Founding of J8 Capital Management LLP.
2006-2012: Origination/Sales of systematic investment strategies and structured derivatives with Barclays, UBS, and AIG-FP.
Education: PhD in quantifying political risk in infrastructure projects form Nanyang Technological University in Singapore, Dipl.-Ing. in Civil Engineering from RWTH Aachen in Germany, and M.S. in Construction Management from Hanyang University in Korea.

Ian Fridlington: Compliance Officer, MLRO, Chief Risk Officer
Prior: 35 years experience in providing investment management solutions to UK and global wealth management businesses. Previously a Partner with private equity firm CopperTree Capital Management Ltd, Private Client Director with Veritas Asset Management (UK) Ltd and Head of Investment Strategy at Ansbacher & Co Limited.
Education: Investment Management Certificate from the CFA UK, and Associate of the London Institute of Banking & Finance.

Sandy Chu: Chief Operating & Finance Officer, Compliance Director, IT Systems & Cyber Security
2012: J8's Chief Operating, Finance, Administrative, and Technology Officer.
Prior: 18 years executive management experience in timing and workflow automation in the international shipping industry including Maersk Line and Team Lines.
Education: She holds an Investment Management Certificate from the CFA UK and a Bachelor of Business in Actuarial Science from the Nanyang Technological University in Singapore.

Maximilian Sachs: Systems
Maximilian Sachs is the founder of Arkmon, a systematic crypto investment boutique in The Netherlands.
He joined J8 in February 2023 to further build out the systems and trading infrastructure.
Maximilian holds a MSc in Management of Technologies and a BSc in Aeronautical/Space Engineering from Delft University of Technology in The Netherlands.

Vishal Sharma: Head of Trading, Portfolio Manager
Vishal Sharma joined J8 in December 2020 and is appointed Head of Trading and Portfolio Manager since April 2024. Vishal has been developing and trading quantitative short-term intraday trading strategies since 2009 with Ion Asset Architecture and ARB Trading Group. Vishal holds a Bachelor of Engineering in Electrical Engineering form the Indian Institute of Technology in Kanpur, India.

Accounting Notes:

Live performance of the J8 Global Absolute Return Strategy (J8 GARS) since 1st January 2015. From Jan15 to Feb18, J8 GARS was implemented in the J8 Futures Fund (MT7000006235) with UCITS constraints. From Feb18 to May19, J8 GARS was implemented in the J8 Global Absolute Return UCITS Fund (LU1604204997) with synthetic replication of the commodity component as ESMA compliant financial index swaps. The performance of J8 GARS in these investment funds serves as basis for this performance calculation from Jan15 until and including May19 whereby the funds' structural and operational expenses and any interest earned on non-margin cash are excluded from this calculation, but 0.5% p.a. management fee and 12.5% high-water-mark performance fee are included as an average fee estimate. Since Jun19, J8 GARS is implemented in separated managed accounts (SMA) only and the performance displayed here is the same as reported to the National Futures Association (NFA). The Net Asset Value (NAV) of J8 GARS and SG CTA Index are calculated using USD 100 as starting value on 1st January 2015. *Trading in the strategy was paused during May20 and Jun20

Performance

Please see Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-3.50%	3.38%	1.71%	-1.12%	-4.74%	0.96%	-4.51%	-2.52%	-0.85%	-0.77%	3.00%		-8.99%	-12.92%
2023	2.38%	-0.90%	-3.39%	3.35%	0.36%	0.13%	-2.08%	2.92%	4.83%	-3.40%	-2.07%	-1.36%	0.36%	-6.69%
2022	2.98%	6.82%	5.98%	3.36%	2.46%	-2.78%	-1.49%	2.21%	-1.79%	2.27%	-2.53%	-2.14%	15.8%	-6.22%
2021	-0.51%	2.99%	-0.80%	5.20%	2.62%	-0.72%	-0.50%	-1.35%	2.66%	3.09%	-4.67%	1.03%	9%	-4.67%
2020	-3.79%	0.06%	10.26%	0.02%	0.00%	0.00%	2.85%	-0.58%	-3.44%	1.14%	0.65%	5.08%	12.15%	-4%
2019	0.26%	2.85%	0.87%	0.49%	-4.89%	1.57%	-0.29%	-0.58%	-3.84%	-2.51%	1.01%	3.14%	-2.25%	-10.23%
2018	2.10%	-1.72%	0.65%	0.89%	4.10%	-1.62%	-1.81%	-0.58%	2.51%	-2.31%	-2.32%	-0.56%	-0.91%	-6.58%
2017	-0.47%	1.02%	-1.31%	-1.79%	-1.36%	-0.67%	2.40%	0.04%	1.27%	1.80%	1.43%	3.67%	6.01%	-5.05%
2016	3.96%	3.47%	-0.60%	-1.01%	0.20%	4.65%	2.53%	-1.03%	1.36%	-2.52%	-0.35%	-3.45%	7.05%	-6.22%
2015	9.00%	-1.17%	1.86%	-6.47%	-0.17%	-3.24%	1.86%	-4.94%	-0.80%	3.13%	8.67%	0.82%	7.59%	-13.22%

Annual Performance

Years	2015	2016	2017	2018	2019	2020
ROR	7.59%	7.05%	6.01%	-0.91%	-2.25%	12.15%
Max DD	-13.22%	-6.22%	-5.05%	-6.58%	-10.23%	-4.00%

Years	2021	2022	2023	2024 YTD
ROR	9.00%	15.80%	0.36%	-8.99%
Max DD	-4.67%	-6.22%	-6.69%	-12.92%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX 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 THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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, OPTIONS AND FOREX 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 YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE 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.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.