Portfolio Management

The Lifecycle of a trend

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A drawdown is measured from the time a retrenchment begins to when a new high is reached. This method is used because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the smallest trough is recorded. Source: Investopedia

 

Drawdown and Recovery

Percent Drawdown Percent Return to Recover Years to Recover at 8% IRR% Years to Recover at 15% IRR
5% 5.26% 0.67 0.37
10% 11.11% 1.37 0.75
15% 17.65% 2.11 1.16
20% 25% 2.90 1.60
25% 33% 3.74 2.06
30% 43% 4.63 2.55
40% 67% 6.64 3.65
50% 100% 9.01 4.96
60% 150% 11.91 6.56
70% 233% 15.64 8.61
80% 400% 20.91 11.52
90% 900% 29.92 16.48

All of the proprietary models developed and used to execute Cane Alternative Strategies are based on our experience, decades of data points, rigorous testing, and executed with risk management discipline.

Our commitment to continuous research is developing new models to perform in multiple markets. Our models adapt to both long and short opportunities which enables the Fund to trade long and short in multiple markets simultaneously. In these multiple asset classes, Cane Capital Management, LLC (CCM) spreads risk and adapts across each different model and market.

Further deepening our advantage, our models are continuously in place trading in volatile, trending, and range-bound markets. This adaptability enables the models to achieve low correlation to one another.

Each model acts as a trader. Although these models act like human capital, emotions do not enter into the equation. The models are agnostic and are not subject to the emotional swings of the markets or the intuition of people to make decisions.

The firms models trade on market inefficiencies and it is the firm’s belief that the cause of these inefficiencies will change over time, but the inefficiencies will still exist.

The models are designed to recognize inefficiencies and take long and short positions from them.

During periods of time when market inefficiencies do not exist, risk management processes are in place to minimize the downside of the portfolio.