CALAFATE CAPITAL

Track Record

Institutional-grade quantitative performance updated on a strict monthly-close cycle.

Last updated: November 1, 2026  |  Data through: October 30, 2026
STRATEGY ARCHITECTURE

One Core Engine, Two Risk-Adjusted Executions

Calafate Capital operates a unified proprietary trading strategy executed across two distinct risk budgets. Built on identical algorithmic rules and risk management protocols in G10 currency markets (Forex), both profiles deliver non-correlated absolute returns tailored to specific investor risk tolerances.

ASSET CLASSG10 & Major Crosses
PORTFOLIO IMPACTNon-Correlated Alpha
EXECUTION ENGINEAlgorithmic
MIN. ALLOCATION$250,000 USD

STRATEGY PROFILE: CAPITAL PRESERVATION

Calafate Core

Estimated Capacity: $160M AUM

Systematic capital preservation profile engineered for absolute returns with tight risk parameters. Utilizes our core quantitative methodology at a conservative per-trade risk budget to deliver low volatility, drawdown defense, and steady compound growth.

STRATEGY MANDATE & CORE OBJECTIVES

  • Real Yield & Capital Preservation: Target absolute returns exceeding US 3-Months T-Bill & US inflation rate (CPI).
  • Uncorrelated Absolute Return: Generate consistent returns with near-zero beta to equity and bond markets.
  • Active Drawdown Minimization: Prioritize loss containment through rigorous position sizing designed to suppress volatility and minimize drawdown depth.
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC TOTAL
2025 — 0.00% 4.84% 0.01% 2.01% 2.50% 2.33% 0.66% 0.90% -2.19% 1.00% 0.07% 12.65%
2026 0.46% 0.04% -0.72% 0.28% -0.12% 4.68% 2.96% 1.90% 0.75% 0.87% — — 11.54%

PERFORMANCE & RISK

Cumulative Return (Gross)
25.65%
Annualized Return (Gross)
14.67%
Max Drawdown (LTM)
-3.38%
Max Drawdown (ITD)
-13.94%
Annualized Volatility
9.88%
Worst Month
-2.19%
Positive Months
85.7%

RISK-ADJUSTED RATIOS

Sharpe Ratio
1.48
Sortino Ratio
1.80
Calmar Ratio (LTM)
3.74
Calmar Ratio (ITD)
1.05
Payoff Ratio
1.45
Skewness
+1.22
Correlation (S&P 500)
0.19


NEXT STRATEGY PROFILE

STRATEGY PROFILE: CAPITAL GROWTH

Calafate Alpha

Estimated Capacity: $100M AUM

High-conviction quantitative execution sharing the exact same trading engine as Core, scaled to an expanded risk budget per transaction. Engineered for accelerated capital expansion while preserving systematic risk discipline.

STRATEGY MANDATE & BENCHMARK TARGETS

  • Equity Outperformance: Target returns competitive with long-term equity markets while maintaining low correlation and independent return drivers.
  • Uncorrelated Asymmetric Alpha: Deliver asymmetric returns through systematic strategies uncorrelated to traditional market beta, with near-zero correlation to S&P500.
  • Disciplined Capital Growth: Maximize long-term capital expansion while maintaining strict risk parameters and controlled drawdown tolerance.
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC TOTAL
2025 — 0.00% 9.99% 3.08% 15.19% 17.19% 15.24% 4.70% 5.84% -11.24% 4.77% 0.09% 81.91%
2026 1.93% -0.93% -3.34% 1.31% -0.98% 13.01% 7.17% 3.69% 1.29% 1.45% — — 26.33%

GROWTH STRATEGY — PERFORMANCE & RISK

Cumulative Return (Gross)
129.81%
Annualized Return (Gross)
60.87%
Max Drawdown (LTM)
-13.08%
Max Drawdown (ITD)
-26.18%
Annualized Volatility
23.85%
Worst Month
-11.24%
Positive Months
80.0%

RISK-ADJUSTED RATIOS & METRICS

Sharpe Ratio
2.55
Sortino Ratio
6.82
Calmar Ratio (LTM)
2.43
Calmar Ratio (ITD)
2.33
Payoff Ratio
1.54
Skewness
+1.22
Correlation (S&P 500)
0.19

Gross returns are presented before management fees (tiered based on AUM) and a 20% performance fee subject to a high-water mark (HWM).
LTM metrics reflect the last twelve months of performance.
ITD metrics represent the full track record since inception (Feb 2025).
Risk-adjusted ratios (Sharpe & Sortino) are calculated assuming a 0% Risk-Free Rate.
Net returns and detailed fee schedule available upon request.

Track record verified via FCA-regulated trading infrastructure. Past performance is not indicative of future results.


Reporting Cycle: Performance data is updated during the first week of each month, following full closure and external verification of the prior month’s results.