Managed Futures Database, Resource & Tools

Program Details

PDFPermalink

R72 Capital Management, LLC 

Harmonic Exchange

Manager: Daniel Pihl

Address: 18851 NE 29th Avenue SUITE 700, Aventura, FL, 33180, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Mar 1, 2018
AUM:$25,155
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$10,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:2.34%3.78%
Annual ROR:5.70%9.30%
YTD:2.34%5.34%
1 Year:2.34%13.94%
Alpha:-0.02
Beta:0.76
Statistics Program S&P 500
Average Monthly Gain:3.40%1.63%
Average Monthly Loss:-3.72%-2.69%
Winning Months:34
Losing Months:21
Current DD:0.000.00
Max DD:6.550.00
Sharpe Ratio (RF 1%):0.29
Annualized Std Dev:16.46

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Counter Trend:17%
Mean Reversion:17%
Momentum:17%
Pattern Recognition:17%
Technical Analysis:16%
Trend Following:16%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20181.06-6.556.20-0.882.942.34

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The strategy uses a systematic approach that is fully automated to analyze market data with a set of pre-programmed instructions to execute trades once certain price movement patterns have been identified. The Buy and Sell signals generated do not take into consideration any fundamental analysis or macroeconomic views. Instead are based on a proprietary technical trading system to identify profitable trading opportunities in the Forex market. The portfolio seeks an absolute return regardless of direction and uncorrelated to other market activities.

The current risk management uses a fixed percent per trade to determine on a trade per basis how much capital is at risk. Currently the fixed percent per trade is set at 2%. The max total trades opened at any given time is 4 trades. Due to rounding of lots in some cases it will come out slightly higher and or lower than 2% risk per trade. The same goes for max leverage, with an average Max Leverage for all open positions combined totaling 1:5 but can be substantially higher. An additional risk management filter has been applied to close out all trades if the open float reaches 8% to ensure that rounding of lots on a combined max open trade basis doesn’t exceed 8% of trade capital at risk. The algorithms create the buy signal, the sell signal, place the stop loss and take profit or loss on each trade. As the open trade progresses the algorithms will then manage the risk of the trades, reducing risk over time by adjusting the stop loss, locking in gains and eventually closing out all open trades by 4pm on Friday. There are no trades held over the weekend.

Company Info

R72 Capital Management helps meet the needs of investors looking to diversify away from traditional asset classes and maybe more importantly away from the traditional investment strategies implemented on their behalf by those who manage their money.

We offer a non-traditional approach to investing, driven by data and technology to make better investment decisions. Our data driven solution to investing is available as a managed account for both retail and institutional clients.

R72 Capital Management is a Commodity Trade Advisor registered with the Commodity Futures Trading Commission (“CFTC") and a member of the National Futures Association (“NFA"). Commodity Trading Involves Substantial Risk of Loss.

Manager Info

The Principal and Chief Executive Officer of R72 Capital Management is Daniel Pihl. Daniel has worked in the financial industry for over 10 years gaining experience and knowledge at Wealth Management firms such as Merrill Lynch and Morgan Stanley. Where he modeled out comprehensive strategies and solutions to meet the financial objectives of the clients.

Mr. Pihl is also the Founder of R72 Technologies a separate entity which develops algorithmic trading strategies using machine learning techniques, an emerging field of Artificial Intelligence. Often you will hear Daniel say, “It’s not what you build, it’s what you do with it” Daniel believes through technology financial exploration can begin and old methods of investing will eventually be replaced with newly discovered more efficient means. Daniel transfers his background in the financial industry and his underlining passion for technology to R72 Capital Management in every aspect of the business.