Vergho Asset Management LLC : Kinematics

Year-to-Date
3.85%
Sep Performance
0.70%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
6.97%
Sharpe (RFR=1%)
1.47
CAROR
11.55%
Assets
$ 51.1M
Worst DD
-5.48
S&P Correlation
-0.09

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/2008
Kinematics 0.70 -1.38 3.85 2.37 14.41 24.32 - 137.53
S&P 500 -0.12 3.31 6.08 12.93 28.94 91.62 - 141.89
+/- S&P 500 0.82 -4.69 -2.24 -10.56 -14.53 -67.30 - -4.36

Strategy Description

Summary

Short term pattern recognition. Kinematics program is a model-driven discretionary approach which trades multiple liquid futures markets over various time frames. No options are used in this program.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
2.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
75.00%
1-30 Days
0%
Intraday
25.00%

Decision-Making

Discretionary
70.00%
Systematic
30.00%

Strategy

Counter-trend
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Precious Metals
20.00%
Interest Rates
20.00%
Currency Futures
20.00%
Energy
10.00%
Composition Pie Chart

Summary

Short term pattern recognition. Kinematics program is a model-driven discretionary approach which trades multiple liquid futures markets over various time frames. No options are used in this program.

Investment Strategy

The assets of Kinematics Fund are invested in accordance with its Kinematics Trading Program, a proprietary trading program developed and refined by the Trading Advisor, Vergho Asset Management (VAM). The Kinematics Trading Program seeks to achieve capital appreciation through trading in highly liquid futures markets. The program is generally short-term in nature, with trades generally lasting one to seven days, and relies on proprietary price patterns in combination with volatility measures and momentum models to determine market entries. Trades made pursuant to the program are based on extensive analysis of price, volume, and market volatility to develop models with favorable risk-reward characteristics. The program model screens activity in the futures markets and seeks to identify entry signals based on these technical inputs. The final trading decisions are based upon a combination of these entry signals and the Trading Advisor's discretion, judgment and experience. VAM believes this combination of systematic and discretionary trading will outperform a purely systematic approach over the long run.

Risk Management

Highly effective risk management is a crucial aspect of any trading program. The Kinematics Trading Program involves a risk management system that uses market price, equity level and current market volatility. Position sizes, equity levels, and stop losses are constantly monitored and adjusted for changes in market volatility.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-5.48 3 8 9/1/2012 12/1/2012
-3.07 1 3 12/1/2010 1/1/2011
-2.95 1 2 9/1/2010 10/1/2010
-2.72 1 - 7/1/2016 8/1/2016
-2.67 2 1 5/1/2015 7/1/2015
-2.31 1 4 9/1/2014 10/1/2014
-2.03 1 2 11/1/2015 12/1/2015
-1.95 1 1 3/1/2009 4/1/2009
-1.90 3 1 1/1/2012 4/1/2012
-1.55 2 1 8/1/2013 10/1/2013
-1.46 1 1 3/1/2010 4/1/2010
-0.93 1 1 10/1/2011 11/1/2011
-0.90 1 1 4/1/2011 5/1/2011
-0.57 2 1 5/1/2012 7/1/2012
-0.22 1 1 1/1/2014 2/1/2014
-0.05 1 1 9/1/2015 10/1/2015
-0.05 1 1 12/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
31.34 11 5/1/2009 3/1/2010
25.89 5 5/1/2010 9/1/2010
13.05 5 6/1/2011 10/1/2011
6.82 5 1/1/2015 5/1/2015
6.01 7 1/1/2016 7/1/2016
5.97 4 5/1/2013 8/1/2013
5.19 2 11/1/2008 12/1/2008
5.13 2 11/1/2010 12/1/2010
3.94 2 8/1/2015 9/1/2015
3.76 2 12/1/2011 1/1/2012
3.05 1 4/1/2011 4/1/2011
2.89 7 3/1/2014 9/1/2014
2.66 1 5/1/2012 5/1/2012
2.63 3 11/1/2013 1/1/2014
2.38 2 2/1/2009 3/1/2009
2.18 1 2/1/2011 2/1/2011
1.80 1 11/1/2014 11/1/2014
1.56 2 8/1/2012 9/1/2012
1.51 2 1/1/2013 2/1/2013
0.70 1 9/1/2016 9/1/2016
0.67 1 11/1/2015 11/1/2015
0.01 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.48 3 10/1/2012 12/1/2012
-3.07 1 1/1/2011 1/1/2011
-2.95 1 10/1/2010 10/1/2010
-2.72 1 8/1/2016 8/1/2016
-2.67 2 6/1/2015 7/1/2015
-2.31 1 10/1/2014 10/1/2014
-2.03 1 12/1/2015 12/1/2015
-1.95 1 4/1/2009 4/1/2009
-1.75 1 2/1/2012 2/1/2012
-1.55 2 9/1/2013 10/1/2013
-1.46 1 4/1/2010 4/1/2010
-1.09 2 3/1/2013 4/1/2013
-0.97 1 12/1/2014 12/1/2014
-0.93 1 11/1/2011 11/1/2011
-0.90 1 5/1/2011 5/1/2011
-0.57 2 6/1/2012 7/1/2012
-0.36 1 3/1/2011 3/1/2011
-0.22 1 2/1/2014 2/1/2014
-0.16 1 4/1/2012 4/1/2012
-0.05 1 10/1/2015 10/1/2015
-0.05 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods95.0093.0090.0084.0078.0072.0060.0048.0036.00
Percent Profitable71.5883.8788.8990.4898.72100.00100.00100.00100.00
Average Period Return0.932.835.8512.3518.6924.3335.3744.5362.25
Average Gain1.803.706.8713.8418.9424.3335.3744.5362.25
Average Loss-1.23-1.71-2.32-1.77-0.78
Best Period8.3613.9024.0642.1759.7669.0699.89102.06106.93
Worst Period-3.31-5.48-4.58-4.03-0.783.355.4012.9924.32
Standard Deviation2.013.646.3711.8317.4622.1729.5728.6028.11
Gain Standard Deviation1.623.275.9911.4617.4322.1729.5728.6028.11
Loss Standard Deviation1.011.301.651.20
Sharpe Ratio (1%)0.420.710.840.960.981.011.091.412.03
Average Gain / Average Loss1.452.162.967.8024.17
Profit / Loss Ratio3.6611.2423.6974.061860.85
Downside Deviation (10%)1.031.331.812.462.442.433.163.080.57
Downside Deviation (5%)0.880.941.080.930.31
Downside Deviation (0%)0.840.850.930.650.09
Sortino Ratio (10%)0.511.201.862.994.555.806.207.4660.36
Sortino Ratio (5%)0.972.754.9712.2655.76
Sortino Ratio (0%)1.113.316.2719.04210.59

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 2.97 8/2015
Trend Following Strategy Index Month 5 2.66 4/2015
Trend Following Strategy Index Month 7 4.62 10/2011
Trend Following Strategy Index Month 3 2.18 6/2011
IASG CTA Index Sharpe 9 2.91 2009 - 2010
Discretionary Trader Index Month 3 8.36 5/2010
Trend Following Strategy Index Month 3 4.26 12/2009
Diversified Trader Index Month 7 4.26 12/2009
Trend Following Strategy Index Month 3 4.51 10/2009
Discretionary Trader Index Month 9 4.51 10/2009
Diversified Trader Index Month 10 4.51 10/2009
Discretionary Trader Index Month 8 5.54 9/2009
Trend Following Strategy Index Month 5 1.99 6/2009
Trend Following Strategy Index Month 7 1.54 3/2009
IASG CTA Index Sharpe 1 35.69 2007 - 2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.