J8 Capital Management LP

J8 Commodity Term Structure Arbitrage Strategy *QEP*


Monthly Performance (%)

Date Range: 04/20 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 3.29 0.47 -1.98 5.12 2.08 1.51 -1.88 -0.74 1.43   9.46 
2020 -3.87 0.29 0.08 -2.25 -1.28 -2.28 3.71 6.04  0.06 

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 Commodity Term Structure Arbitrage Strategy (“J8 CTSAS”) is a systematic, diversified commodity program. The strategy forms part of other portfolios since 2012. First full month of trading the strategy as stand-alone was May 2020. The strategy collects the risk premium of roll yield differentials on the commodity curve by trading calendar spreads. It tactically closes out the short leg when the premium collapses. The strategy is holding a long position in the deferred and a short position in the near-by commodity contract. The risk premium may collapse when the curve structure inverts and swings from contango into backwardation. To manage the risk, the strategy closes out the short leg when the near-by contract is in strong positive momentum. When in backwardation, futures held in the long position may roll up the contract curve. When the curve swings back into contango, the strategy takes again the market neutral calendar spread position. The strategy constituents are equally notional weighted. The strategy portfolio is managed to a target volatility.

Performance Statistics

Date Range: 04/20 - 09/21
  Program S&P 500 Coquest 40 
Total Return 9.52% 70.72% 8.24% 
Annualized Return 6.63% 42.84% 5.42% 
Annualized Std. Deviation 9.41% 15.39% 4.87% 
Correlation 0.09 0.57 
Sharpe Ratio (rf=2.5%) 0.44 2.62 0.60 
Worst Month -3.87% -4.65% -1.46% 
Date of Worst Month 05/2020 09/2021 09/2020 
Worst Drawdown -9.02% -6.36% -3.44% 
Date of Worst Drawdown 4/20 - 10/20 8/20 - 10/20 4/20 - 10/20 

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: 04/20 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 9.46 15.93 6.73 
2020 0.06 30.53 1.08 

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: 04/20 - 09/21
Date: 9/30/2021
Perf: $1,078.82 Date: 8/31/2021
Perf: $1,073.45 Date: 7/31/2021
Perf: $1,073.24 Date: 6/30/2021
Perf: $1,068.54 Date: 5/31/2021
Perf: $1,072.61 Date: 4/30/2021
Perf: $1,057.18 Date: 3/31/2021
Perf: $1,038.89 Date: 2/28/2021
Perf: $1,025.16 Date: 1/31/2021
Perf: $1,001.62 Date: 12/31/2020
Perf: $1,010.82 Date: 11/30/2020
Perf: $974.09 Date: 10/31/2020
Perf: $965.60 Date: 9/30/2020
Perf: $968.70 Date: 8/31/2020
Perf: $983.05 Date: 7/31/2020
Perf: $994.28 Date: 6/30/2020
Perf: $975.65 Date: 5/31/2020
Perf: $988.30 Date: 4/30/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,513.19 Date: 8/31/2021
Perf: $1,586.99 Date: 7/31/2021
Perf: $1,540.17 Date: 6/30/2021
Perf: $1,504.36 Date: 5/31/2021
Perf: $1,470.11 Date: 4/30/2021
Perf: $1,459.89 Date: 3/31/2021
Perf: $1,385.88 Date: 2/28/2021
Perf: $1,327.73 Date: 1/31/2021
Perf: $1,292.07 Date: 12/31/2020
Perf: $1,305.25 Date: 11/30/2020
Perf: $1,256.98 Date: 10/31/2020
Perf: $1,132.93 Date: 9/30/2020
Perf: $1,163.89 Date: 8/31/2020
Perf: $1,209.86 Date: 7/31/2020
Perf: $1,128.71 Date: 6/30/2020
Perf: $1,068.45 Date: 5/31/2020
Perf: $1,047.60 Date: 4/30/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,095.22 Date: 8/31/2021
Perf: $1,079.78 Date: 7/31/2021
Perf: $1,087.83 Date: 6/30/2021
Perf: $1,108.67 Date: 5/31/2021
Perf: $1,092.18 Date: 4/30/2021
Perf: $1,069.93 Date: 3/31/2021
Perf: $1,017.82 Date: 2/28/2021
Perf: $1,038.38 Date: 1/31/2021
Perf: $1,033.52 Date: 12/31/2020
Perf: $1,000.60 Date: 11/30/2020
Perf: $943.60 Date: 10/31/2020
Perf: $909.85 Date: 9/30/2020
Perf: $931.08 Date: 8/31/2020
Perf: $943.15 Date: 7/31/2020
Perf: $964.86 Date: 6/30/2020
Perf: $964.09 Date: 5/31/2020
Perf: $961.30 Date: 4/30/2020
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: 04/20 - 09/21
Date: 9/30/2021
Return: 1.43 % Date: 8/31/2021
Return: -0.74 % Date: 7/31/2021
Return: -1.88 % Date: 6/30/2021
Return: 1.51 % Date: 5/31/2021
Return: 2.08 % Date: 4/30/2021
Return: 5.12 % Date: 3/31/2021
Return: -1.98 % Date: 2/28/2021
Return: 0.47 % Date: 1/31/2021
Return: 3.29 % Date: 12/31/2020
Return: 6.04 % Date: 11/30/2020
Return: 3.71 % Date: 10/31/2020
Return: -2.28 % Date: 9/30/2020
Return: -1.28 % Date: 8/31/2020
Return: -2.25 % Date: 7/31/2020
Return: 0.08 % Date: 6/30/2020
Return: 0.29 % Date: 5/31/2020
Return: -3.87 % Date: 4/30/2020
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: 04/20 - 09/21
Return: 1.00 %
Count: 1 Return: 2.00 %
Count: 2 Return: 5.00 %
Count: 1 Return: 3.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: -1.00 %
Count: 2 Return: -2.00 %
Count: 4 Return: -4.00 %
Count: 1 Return: 0.00 %
Count: 4

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: 04/20 - 09/21
Date: 9/30/2021
Drawdown: -1.21 % Date: 8/31/2021
Drawdown: -2.61 % Date: 7/31/2021
Drawdown: -1.88 % Date: 6/30/2021
Drawdown: 0.00 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: -1.98 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: 0.00 % Date: 12/31/2020
Drawdown: 0.00 % Date: 11/30/2020
Drawdown: -5.64 % Date: 10/31/2020
Drawdown: -9.02 % Date: 9/30/2020
Drawdown: -6.89 % Date: 8/31/2020
Drawdown: -5.69 % Date: 7/31/2020
Drawdown: -3.51 % Date: 6/30/2020
Drawdown: -3.59 % Date: 5/31/2020
Drawdown: -3.87 %

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:
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Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Systematic Yes 
 Sector Specialist Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Developed Only Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $500,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open 
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