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Dormouse Limited - Dormouse Fund B Shares



Principal(s): Hans Drescher, Eric Westphal, George Dowdye
Strategy: Systematic / Short Term / Diversified
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Investment Restrictions: Accredited++
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Aston House 145, 21st September Avenue
Naxxar, NXR1014 Malta
+35 62 733 3094

Main E-Mail: [email protected]
Marketing E-Mail: [email protected]
Administrative E-Mail: [email protected]

Statistics & Program Information

Mar Return   1.84% Worst Drawdown (2)    -13.94% Minimum Investment   $10,000,000
YTD Return   7.35% Losing Streak (3)    0.00 % AUM (5)   $6,500,000
Annual CROR:1 2.58% Sharpe Ratio (4)   0.22 Calmar Ratio (6)    N/A
Trading Methodology
Style Sub-Categories
Trading Style
Market Sector
Holding Period
Geographic Sector

Contracts:
Futures

Start Date   Aug-2016 Currency   US Dollar Margin (7)   
New Money   Yes AUM (5)   $6,500,000 Management Fee    1.00%
Min Investment    $0 Annual CROR 1    2.58% Incentive Fee    10.00%
Fund Minimum    $10,000,000 Losing Streak (3)    0.00 % Other Fees   0
Notional Funds    No Worst Drawdown (2)    -13.94 % Avg Comm (8)   $0.00
NFA Member    Yes Sharpe Ratio (4)    0.22 Max Comm (9)   
NFA Number    0430067 Calmar Ratio (6)    N/A Round Turns (10)    0
Starting Date:  Aug-2016 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $6,500,000
Open to US Investors:  Yes Annual CROR:  2.58%
Minimum Fund Investment:  $10,000,000 Worst Monthly Drawdown:  -13.94
Minimum Managed Account:  $N/A Current Losing Streak:  0.00 %
Domocile:  Managed Account Calmar:  N/A
Subscriptions:  10000000 Sharpe Ratio:  0.22
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  None Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  NAV Fund Services (Cayman)
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  1.00% Auditor:  Not Listed
Incentive Fee:  10.00% NFA Member:  Yes
Selling Fee:  0.00% FINRA Member:  No
Other Fees:  0 Other Memberships:  Malta Financial Services Authority (MFSA)
Type of Fund:
Futures Fund
Domicile:
Managed Account
Strategy:
Futures Strategies
Track Record Prepared By: N/A
Correlations:

Trading Description, Risk Strategy & Background

dormouse applies statistical arbitrage methodology to the futures markets. By neutralizing exposures to the beta risk factors typical of most futures managers and modeling the relationships between markets, this approach has enabled dormouse to produce consistent returns with a low correlation to CTA indices. These techniques are applied to a diverse set of the most liquid futures markets in fixed income, equity indices, currencies and commodities.

Dr. Martin Coward has three decades of experience in trading, execution and risk management. After gaining a first class mathematics degree and Ph.D. from Cambridge University, he initially worked on projects for the UK Government as a statistical and mathematical risk analyst. He then moved into finance, working as a Foreign Exchange strategist with Goldman Sachs (from 1986) for 3 years. Prior to setting up IKOS, he worked for Investcorp Bahrain (from 1989) for 3 years, establishing its proprietary trading of equity derivatives. Martin is recognised for being one of the pioneers of quantitative systematic electronic trading in the hedge fund industry. Martin has selected and mentored teams of quantitative analysts who have created some of the most successful programmes including Managed Futures, Currencies, Equity Statistical Arbitrage and Multi-Strategy. Martin continues to actively innovate, design and create investment strategies. He is licensed as a portfolio manager under MiFID.

Performance

Monthly Performance Since August 2016

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 0.83% 4.55% 1.84%   7.35% 0%
2023 -0.15% 2.08% -1.38% 2.02% 0.62% -1.40% -0.09% -0.12% 4.89% -0.08% -3.92% -0.31% 1.92% -4.29%
2022 -0.78% 2.49% 0.11% 0.84% -1.81% -2.00% 6.59% 0.75% -5.54% -0.98% 2.66% -3.62% -1.81% -7.45%
2021 -1.50% -0.97% -7.16% 3.24% 0.63% -1.57% 1.11% 1.81% -1.43% 0.04% 4.07% 1.22% -0.98% -9.44%
2020 -2.94% 0.78% -6.58% 0.36% -0.59% -1.99% 4.55% -2.30% 4.12% -2.06% -1.12% 3.61% -4.65% -10.65%
2019 -0.22% 1.12% 3.44% -0.60% 1.37% 3.10% 1.12% 2.84% 0.82% -2.02% -0.63% 2.36% 13.29% -2.64%

Annual Performance

Years201620172018201920202021
ROR-1.19%-5.18%12.94%13.29%-4.65%-0.98%
Max DD-3.06%-7.90%-3.21%-2.64%-10.65%-9.44%

Years202220232024 YTD
ROR-1.81%1.92%7.35%
Max DD-7.45%-4.29%0.00%



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

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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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, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES 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.