J8 Capital Management LP

J8 Global Absolute Return Strategy *QEP*


Monthly Performance (%)

Date Range: 12/14 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 -3.87 -0.02 10.99 -0.08 -0.08 -0.08 2.89 -0.58 -3.44 1.14 0.65   7.00 
2019 0.22 2.81 0.81 0.45 -4.94 0.90 -0.38 -0.66 -3.92 -2.60 0.93 3.06  -3.59 
2018 2.00 -1.76 0.61 0.85 3.95 -1.67 -1.85 -0.62 2.46 -2.35 -2.36 -0.60  -1.57 
2017 -0.52 0.98 -1.36 -1.83 -1.40 -0.71 2.35 0.00 1.22 1.75 1.38 3.62  5.46 
2016 3.81 3.34 -0.65 -1.05 0.16 4.48 2.42 -1.07 1.29 -2.56 -0.39 -3.50  6.09 
2015 8.70 -1.20 1.77 -6.51 -0.22 -3.28 1.81 -4.98 -0.84 3.09 8.63 0.78  6.76 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The J8 Global Absolute Return Strategy (J8 GARS) is formulaic and fully systematic. It trades liquid exchange-traded futures on 20 commodity markets, futures on G10 currencies, and futures on North American and European government bond markets only. It does not trade futures on equity markets. It uses long- term price trends, demand and supply dislocations in the term structure, interest rate differentials, and inventory signals to generate returns. The risk-weighted portfolio returns are managed to a target volatility. The investment process is governed by rigorous risk management rules. Live performance of the J8 Global Absolute Return Strategy (J8 GARS), calculated as futures performance less realized trading costs and slippage and less indicative management and performance fee. J8 GARS was implemented in the J8 Futures Fund (MT7000006235) from Jan15 until Jan19, in the UI – J8 Global Absolute Return UCITS Fund (LU1604204997) from Jan19 until Jun19, and in a managed account since Jun19. The funds and managed account serve as basis for this performance calculation. J8 GARS and SG CTA Index are calculated using USD 100 as starting value on 1st January 2015. Note: Past performance is not necessarily indicative of future results. THE RISK OF LOSS IN COMMODITY INTEREST TRADING CAN BE SUBSTANTIAL Source: J8 Capital Management LLP, Bloomberg Financial LP.

Performance Statistics

Date Range: 12/14 - 10/20
  Program S&P 500 Coquest 40 
Total Return 20.50% 78.35% -0.84% 
Annualized Return 3.25% 10.27% -0.14% 
Annualized Std. Deviation 10.32% 14.37% 8.04% 
Correlation -0.02 0.51 
Sharpe Ratio (rf=2.5%) 0.07 0.54 -0.33 
Worst Month -6.51% -12.35% -6.10% 
Date of Worst Month 04/2015 03/2020 02/2018 
Worst Drawdown -13.70% -19.60% -13.63% 
Date of Worst Drawdown 5/18 - 2/20 12/19 - 3/20 3/15 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/14 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 7.00 2.77 -3.54 
2019 -3.59 31.50 7.53 
2018 -1.57 -4.38 -4.29 
2017 5.46 21.84 1.24 
2016 6.09 11.98 -3.13 
2015 6.76 1.41 0.09 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/14 - 10/20
Date: 10/31/2020
Perf: $974.46 Date: 9/30/2020
Perf: $977.58 Date: 8/31/2020
Perf: $992.07 Date: 7/31/2020
Perf: $1,003.41 Date: 6/30/2020
Perf: $984.60 Date: 5/31/2020
Perf: $997.37 Date: 4/30/2020
Perf: $1,009.18 Date: 3/31/2020
Perf: $1,005.86 Date: 2/29/2020
Perf: $1,005.25 Date: 1/31/2020
Perf: $1,020.46 Date: 12/31/2019
Perf: $1,010.25 Date: 11/30/2019
Perf: $1,016.56 Date: 10/31/2019
Perf: $1,006.69 Date: 9/30/2019
Perf: $1,029.44 Date: 8/31/2019
Perf: $1,058.77 Date: 7/31/2019
Perf: $1,021.78 Date: 6/30/2019
Perf: $988.09 Date: 5/31/2019
Perf: $968.71 Date: 4/30/2019
Perf: $988.08 Date: 3/31/2019
Perf: $961.63 Date: 2/28/2019
Perf: $928.31 Date: 1/31/2019
Perf: $922.40 Date: 12/31/2018
Perf: $939.50 Date: 11/30/2018
Perf: $935.57 Date: 10/31/2018
Perf: $946.94 Date: 9/30/2018
Perf: $970.92 Date: 8/31/2018
Perf: $975.31 Date: 7/31/2018
Perf: $951.06 Date: 6/30/2018
Perf: $958.24 Date: 5/31/2018
Perf: $950.26 Date: 4/30/2018
Perf: $962.68 Date: 3/31/2018
Perf: $952.39 Date: 2/28/2018
Perf: $953.25 Date: 1/31/2018
Perf: $1,015.18 Date: 12/31/2017
Perf: $981.61 Date: 11/30/2017
Perf: $971.02 Date: 10/31/2017
Perf: $969.76 Date: 9/30/2017
Perf: $930.76 Date: 8/31/2017
Perf: $950.82 Date: 7/31/2017
Perf: $935.30 Date: 6/30/2017
Perf: $931.67 Date: 5/31/2017
Perf: $959.69 Date: 4/30/2017
Perf: $957.87 Date: 3/31/2017
Perf: $963.65 Date: 2/28/2017
Perf: $977.93 Date: 1/31/2017
Perf: $957.06 Date: 12/31/2016
Perf: $969.57 Date: 11/30/2016
Perf: $962.26 Date: 10/31/2016
Perf: $972.96 Date: 9/30/2016
Perf: $998.73 Date: 8/31/2016
Perf: $1,011.78 Date: 7/31/2016
Perf: $1,039.75 Date: 6/30/2016
Perf: $1,029.25 Date: 5/31/2016
Perf: $987.29 Date: 4/30/2016
Perf: $1,004.88 Date: 3/31/2016
Perf: $1,030.75 Date: 2/29/2016
Perf: $1,061.20 Date: 1/31/2016
Perf: $1,035.73 Date: 12/31/2015
Perf: $1,000.89 Date: 11/30/2015
Perf: $1,024.46 Date: 10/31/2015
Perf: $990.68 Date: 9/30/2015
Perf: $1,008.22 Date: 8/31/2015
Perf: $986.80 Date: 7/31/2015
Perf: $1,004.18 Date: 6/30/2015
Perf: $966.39 Date: 5/31/2015
Perf: $1,019.40 Date: 4/30/2015
Perf: $1,026.79 Date: 3/31/2015
Perf: $1,068.02 Date: 2/28/2015
Perf: $1,044.93 Date: 1/31/2015
Perf: $1,046.60 Date: 12/31/2014
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,787.94 Date: 9/30/2020
Perf: $1,836.80 Date: 8/31/2020
Perf: $1,909.36 Date: 7/31/2020
Perf: $1,781.28 Date: 6/30/2020
Perf: $1,686.18 Date: 5/31/2020
Perf: $1,653.28 Date: 4/30/2020
Perf: $1,578.16 Date: 3/31/2020
Perf: $1,398.83 Date: 2/29/2020
Perf: $1,595.93 Date: 1/31/2020
Perf: $1,739.05 Date: 12/31/2019
Perf: $1,739.75 Date: 11/30/2019
Perf: $1,688.75 Date: 10/31/2019
Perf: $1,629.59 Date: 9/30/2019
Perf: $1,594.98 Date: 8/31/2019
Perf: $1,565.70 Date: 7/31/2019
Perf: $1,590.84 Date: 6/30/2019
Perf: $1,568.26 Date: 5/31/2019
Perf: $1,464.98 Date: 4/30/2019
Perf: $1,564.31 Date: 3/31/2019
Perf: $1,503.42 Date: 2/28/2019
Perf: $1,474.81 Date: 1/31/2019
Perf: $1,428.94 Date: 12/31/2018
Perf: $1,322.97 Date: 11/30/2018
Perf: $1,454.29 Date: 10/31/2018
Perf: $1,425.22 Date: 9/30/2018
Perf: $1,529.86 Date: 8/31/2018
Perf: $1,521.19 Date: 7/31/2018
Perf: $1,473.16 Date: 6/30/2018
Perf: $1,420.33 Date: 5/31/2018
Perf: $1,411.58 Date: 4/30/2018
Perf: $1,378.36 Date: 3/31/2018
Perf: $1,373.14 Date: 2/28/2018
Perf: $1,408.93 Date: 1/31/2018
Perf: $1,462.91 Date: 12/31/2017
Perf: $1,383.63 Date: 11/30/2017
Perf: $1,368.44 Date: 10/31/2017
Perf: $1,327.68 Date: 9/30/2017
Perf: $1,297.45 Date: 8/31/2017
Perf: $1,271.26 Date: 7/31/2017
Perf: $1,267.33 Date: 6/30/2017
Perf: $1,241.75 Date: 5/31/2017
Perf: $1,234.10 Date: 4/30/2017
Perf: $1,216.94 Date: 3/31/2017
Perf: $1,204.53 Date: 2/28/2017
Perf: $1,203.09 Date: 1/31/2017
Perf: $1,157.15 Date: 12/31/2016
Perf: $1,135.57 Date: 11/30/2016
Perf: $1,113.53 Date: 10/31/2016
Perf: $1,073.80 Date: 9/30/2016
Perf: $1,093.70 Date: 8/31/2016
Perf: $1,093.48 Date: 7/31/2016
Perf: $1,091.95 Date: 6/30/2016
Perf: $1,053.10 Date: 5/31/2016
Perf: $1,050.36 Date: 4/30/2016
Perf: $1,031.79 Date: 3/31/2016
Perf: $1,027.78 Date: 2/29/2016
Perf: $962.52 Date: 1/31/2016
Perf: $963.78 Date: 12/31/2015
Perf: $1,014.08 Date: 11/30/2015
Perf: $1,030.36 Date: 10/31/2015
Perf: $1,027.27 Date: 9/30/2015
Perf: $947.32 Date: 8/31/2015
Perf: $971.31 Date: 7/31/2015
Perf: $1,033.64 Date: 6/30/2015
Perf: $1,012.38 Date: 5/31/2015
Perf: $1,032.41 Date: 4/30/2015
Perf: $1,019.26 Date: 3/31/2015
Perf: $1,009.57 Date: 2/28/2015
Perf: $1,025.77 Date: 1/31/2015
Perf: $970.00 Date: 12/31/2014
Perf: $1,000.00 Date: 11/30/2020
Perf: $1,212.82 Date: 10/31/2020
Perf: $1,204.98 Date: 9/30/2020
Perf: $1,191.40 Date: 8/31/2020
Perf: $1,233.85 Date: 7/31/2020
Perf: $1,241.04 Date: 6/30/2020
Perf: $1,206.19 Date: 5/31/2020
Perf: $1,207.15 Date: 4/30/2020
Perf: $1,208.12 Date: 3/31/2020
Perf: $1,209.09 Date: 2/29/2020
Perf: $1,089.36 Date: 1/31/2020
Perf: $1,089.58 Date: 12/31/2019
Perf: $1,133.45 Date: 11/30/2019
Perf: $1,099.79 Date: 10/31/2019
Perf: $1,089.66 Date: 9/30/2019
Perf: $1,118.75 Date: 8/31/2019
Perf: $1,164.39 Date: 7/31/2019
Perf: $1,172.13 Date: 6/30/2019
Perf: $1,176.60 Date: 5/31/2019
Perf: $1,166.10 Date: 4/30/2019
Perf: $1,226.70 Date: 3/31/2019
Perf: $1,221.21 Date: 2/28/2019
Perf: $1,211.39 Date: 1/31/2019
Perf: $1,178.28 Date: 12/31/2018
Perf: $1,175.70 Date: 11/30/2018
Perf: $1,182.79 Date: 10/31/2018
Perf: $1,211.38 Date: 9/30/2018
Perf: $1,240.54 Date: 8/31/2018
Perf: $1,210.75 Date: 7/31/2018
Perf: $1,218.30 Date: 6/30/2018
Perf: $1,241.27 Date: 5/31/2018
Perf: $1,262.35 Date: 4/30/2018
Perf: $1,214.38 Date: 3/31/2018
Perf: $1,204.15 Date: 2/28/2018
Perf: $1,196.85 Date: 1/31/2018
Perf: $1,218.29 Date: 12/31/2017
Perf: $1,194.40 Date: 11/30/2017
Perf: $1,152.67 Date: 10/31/2017
Perf: $1,136.98 Date: 9/30/2017
Perf: $1,117.43 Date: 8/31/2017
Perf: $1,103.96 Date: 7/31/2017
Perf: $1,103.96 Date: 6/30/2017
Perf: $1,078.61 Date: 5/31/2017
Perf: $1,086.32 Date: 4/30/2017
Perf: $1,101.75 Date: 3/31/2017
Perf: $1,122.29 Date: 2/28/2017
Perf: $1,137.76 Date: 1/31/2017
Perf: $1,126.72 Date: 12/31/2016
Perf: $1,132.61 Date: 11/30/2016
Perf: $1,173.69 Date: 10/31/2016
Perf: $1,178.28 Date: 9/30/2016
Perf: $1,209.24 Date: 8/31/2016
Perf: $1,193.84 Date: 7/31/2016
Perf: $1,206.75 Date: 6/30/2016
Perf: $1,178.24 Date: 5/31/2016
Perf: $1,127.72 Date: 4/30/2016
Perf: $1,125.91 Date: 3/31/2016
Perf: $1,137.86 Date: 2/29/2016
Perf: $1,145.31 Date: 1/31/2016
Perf: $1,108.29 Date: 12/31/2015
Perf: $1,067.61 Date: 11/30/2015
Perf: $1,059.35 Date: 10/31/2015
Perf: $975.19 Date: 9/30/2015
Perf: $945.96 Date: 8/31/2015
Perf: $953.97 Date: 7/31/2015
Perf: $1,003.97 Date: 6/30/2015
Perf: $986.12 Date: 5/31/2015
Perf: $1,019.57 Date: 4/30/2015
Perf: $1,021.81 Date: 3/31/2015
Perf: $1,092.97 Date: 2/28/2015
Perf: $1,073.96 Date: 1/31/2015
Perf: $1,087.00 Date: 12/31/2014
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 12/14 - 10/20
Date: 11/30/2020
Return: 0.65 % Date: 10/31/2020
Return: 1.14 % Date: 9/30/2020
Return: -3.44 % Date: 8/31/2020
Return: -0.58 % Date: 7/31/2020
Return: 2.89 % Date: 6/30/2020
Return: -0.08 % Date: 5/31/2020
Return: -0.08 % Date: 4/30/2020
Return: -0.08 % Date: 3/31/2020
Return: 10.99 % Date: 2/29/2020
Return: -0.02 % Date: 1/31/2020
Return: -3.87 % Date: 12/31/2019
Return: 3.06 % Date: 11/30/2019
Return: 0.93 % Date: 10/31/2019
Return: -2.60 % Date: 9/30/2019
Return: -3.92 % Date: 8/31/2019
Return: -0.66 % Date: 7/31/2019
Return: -0.38 % Date: 6/30/2019
Return: 0.90 % Date: 5/31/2019
Return: -4.94 % Date: 4/30/2019
Return: 0.45 % Date: 3/31/2019
Return: 0.81 % Date: 2/28/2019
Return: 2.81 % Date: 1/31/2019
Return: 0.22 % Date: 12/31/2018
Return: -0.60 % Date: 11/30/2018
Return: -2.36 % Date: 10/31/2018
Return: -2.35 % Date: 9/30/2018
Return: 2.46 % Date: 8/31/2018
Return: -0.62 % Date: 7/31/2018
Return: -1.85 % Date: 6/30/2018
Return: -1.67 % Date: 5/31/2018
Return: 3.95 % Date: 4/30/2018
Return: 0.85 % Date: 3/31/2018
Return: 0.61 % Date: 2/28/2018
Return: -1.76 % Date: 1/31/2018
Return: 2.00 % Date: 12/31/2017
Return: 3.62 % Date: 11/30/2017
Return: 1.38 % Date: 10/31/2017
Return: 1.75 % Date: 9/30/2017
Return: 1.22 % Date: 8/31/2017
Return: 0.00 % Date: 7/31/2017
Return: 2.35 % Date: 6/30/2017
Return: -0.71 % Date: 5/31/2017
Return: -1.40 % Date: 4/30/2017
Return: -1.83 % Date: 3/31/2017
Return: -1.36 % Date: 2/28/2017
Return: 0.98 % Date: 1/31/2017
Return: -0.52 % Date: 12/31/2016
Return: -3.50 % Date: 11/30/2016
Return: -0.39 % Date: 10/31/2016
Return: -2.56 % Date: 9/30/2016
Return: 1.29 % Date: 8/31/2016
Return: -1.07 % Date: 7/31/2016
Return: 2.42 % Date: 6/30/2016
Return: 4.48 % Date: 5/31/2016
Return: 0.16 % Date: 4/30/2016
Return: -1.05 % Date: 3/31/2016
Return: -0.65 % Date: 2/29/2016
Return: 3.34 % Date: 1/31/2016
Return: 3.81 % Date: 12/31/2015
Return: 0.78 % Date: 11/30/2015
Return: 8.63 % Date: 10/31/2015
Return: 3.09 % Date: 9/30/2015
Return: -0.84 % Date: 8/31/2015
Return: -4.98 % Date: 7/31/2015
Return: 1.81 % Date: 6/30/2015
Return: -3.28 % Date: 5/31/2015
Return: -0.22 % Date: 4/30/2015
Return: -6.51 % Date: 3/31/2015
Return: 1.77 % Date: 2/28/2015
Return: -1.20 % Date: 1/31/2015
Return: 8.70 % Date: 12/31/2014
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/14 - 10/20
Return: 11.00 %
Count: 1 Return: -4.00 %
Count: 2 Return: -2.00 %
Count: 6 Return: 4.00 %
Count: 4 Return: 1.00 %
Count: 12 Return: 3.00 %
Count: 5 Return: -5.00 %
Count: 2 Return: -3.00 %
Count: 5 Return: -7.00 %
Count: 1 Return: 2.00 %
Count: 7 Return: -1.00 %
Count: 13 Return: 9.00 %
Count: 2 Return: 0.00 %
Count: 12

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 12/14 - 10/20
Date: 11/30/2020
Drawdown: -3.92 % Date: 10/31/2020
Drawdown: -4.54 % Date: 9/30/2020
Drawdown: -5.62 % Date: 8/31/2020
Drawdown: -2.26 % Date: 7/31/2020
Drawdown: -1.69 % Date: 6/30/2020
Drawdown: -4.45 % Date: 5/31/2020
Drawdown: -4.37 % Date: 4/30/2020
Drawdown: -4.30 % Date: 3/31/2020
Drawdown: -4.22 % Date: 2/29/2020
Drawdown: -13.70 % Date: 1/31/2020
Drawdown: -13.69 % Date: 12/31/2019
Drawdown: -10.21 % Date: 11/30/2019
Drawdown: -12.88 % Date: 10/31/2019
Drawdown: -13.68 % Date: 9/30/2019
Drawdown: -11.38 % Date: 8/31/2019
Drawdown: -7.76 % Date: 7/31/2019
Drawdown: -7.15 % Date: 6/30/2019
Drawdown: -6.79 % Date: 5/31/2019
Drawdown: -7.62 % Date: 4/30/2019
Drawdown: -2.82 % Date: 3/31/2019
Drawdown: -3.26 % Date: 2/28/2019
Drawdown: -4.04 % Date: 1/31/2019
Drawdown: -6.66 % Date: 12/31/2018
Drawdown: -6.86 % Date: 11/30/2018
Drawdown: -6.30 % Date: 10/31/2018
Drawdown: -4.04 % Date: 9/30/2018
Drawdown: -1.73 % Date: 8/31/2018
Drawdown: -4.09 % Date: 7/31/2018
Drawdown: -3.49 % Date: 6/30/2018
Drawdown: -1.67 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: -0.32 % Date: 3/31/2018
Drawdown: -1.16 % Date: 2/28/2018
Drawdown: -1.76 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -1.23 % Date: 11/30/2017
Drawdown: -4.68 % Date: 10/31/2017
Drawdown: -5.98 % Date: 9/30/2017
Drawdown: -7.59 % Date: 8/31/2017
Drawdown: -8.71 % Date: 7/31/2017
Drawdown: -8.71 % Date: 6/30/2017
Drawdown: -10.80 % Date: 5/31/2017
Drawdown: -10.16 % Date: 4/30/2017
Drawdown: -8.89 % Date: 3/31/2017
Drawdown: -7.19 % Date: 2/28/2017
Drawdown: -5.91 % Date: 1/31/2017
Drawdown: -6.82 % Date: 12/31/2016
Drawdown: -6.34 % Date: 11/30/2016
Drawdown: -2.94 % Date: 10/31/2016
Drawdown: -2.56 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: -1.07 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: -1.54 % Date: 4/30/2016
Drawdown: -1.69 % Date: 3/31/2016
Drawdown: -0.65 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: -2.32 % Date: 11/30/2015
Drawdown: -3.08 % Date: 10/31/2015
Drawdown: -10.78 % Date: 9/30/2015
Drawdown: -13.45 % Date: 8/31/2015
Drawdown: -12.72 % Date: 7/31/2015
Drawdown: -8.14 % Date: 6/30/2015
Drawdown: -9.78 % Date: 5/31/2015
Drawdown: -6.72 % Date: 4/30/2015
Drawdown: -6.51 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: -1.20 % Date: 1/31/2015
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  J8 Capital Management LP
Address:
City:
State:
Zip:
Country:

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Trend Following Yes 
 Systematic Yes 
 Diversified Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open 
Copyright © 2020 CoquestTradersResearch.com
All rights Reserved