AR3 CAPITAL MANAGEMENT INC : KFL Partners' Fund LP - Class A

archived programs
Year-to-Date
N / A
Dec Performance
2.78%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
22.70%
Sharpe (RFR=1%)
-0.24
CAROR
-6.76%
Assets
$ 1.0M
Worst DD
-44.93
S&P Correlation
0.27

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
12/2013
KFL Partners' Fund LP - Class A 2.78 - - - - -28.10 - -19.42
S&P 500 1.82 - - - - 78.02 - 87.45
+/- S&P 500 0.96 - - - - -106.12 - -106.87

Strategy Description

Summary

Predictive modelling using machine learning approach on time series financial data.... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 12000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 12.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Precious Metals
20.00%
Grains
20.00%
Industrial Metals
10.00%
Energy
10.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

Predictive modelling using machine learning approach on time series financial data.

Investment Strategy

Several predictions are made per day on each of twelve markets. Predictions lead to long, short or cash position. Positions are held until next prediction period.

Risk Management

Allocation to each market is fixed. Positions are volatility weighted. Margin to equity ratios are limited.

   

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=1%)
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=1%)
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
-44.93 16 - 2/1/2015 6/1/2016
-5.61 2 3 5/1/2014 7/1/2014
-1.77 1 1 1/1/0001 12/1/2013
-0.78 1 1 11/1/2014 12/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
27.84 5 1/1/2014 5/1/2014
16.87 1 7/1/2016 7/1/2016
13.68 1 3/1/2016 3/1/2016
9.18 4 8/1/2014 11/1/2014
5.51 1 9/1/2015 9/1/2015
3.44 2 1/1/2015 2/1/2015
3.35 1 10/1/2016 10/1/2016
2.78 1 12/1/2016 12/1/2016
1.81 1 11/1/2015 11/1/2015
0.25 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.88 3 12/1/2015 2/1/2016
-21.24 3 4/1/2016 6/1/2016
-12.93 4 5/1/2015 8/1/2015
-8.52 2 8/1/2016 9/1/2016
-5.61 2 6/1/2014 7/1/2014
-4.58 1 10/1/2015 10/1/2015
-3.33 1 3/1/2015 3/1/2015
-2.99 1 11/1/2016 11/1/2016
-1.77 1 12/1/2013 12/1/2013
-0.78 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable48.6545.7143.7523.0825.0014.29
Average Period Return-0.37-1.37-3.88-11.59-18.42-24.10
Average Gain4.556.809.9022.1113.9914.66
Average Loss-5.03-8.24-14.60-21.70-29.22-30.56
Best Period16.8718.6825.6730.7124.8914.87
Worst Period-19.74-28.88-34.95-39.55-43.04-40.75
Standard Deviation6.5510.3515.4622.6222.6019.64
Gain Standard Deviation4.415.838.2810.169.600.29
Loss Standard Deviation4.528.0610.2613.4112.9111.70
Sharpe Ratio (1%)-0.07-0.16-0.28-0.56-0.88-1.33
Average Gain / Average Loss0.900.820.681.020.480.48
Profit / Loss Ratio0.860.690.530.310.160.08
Downside Deviation (10%)5.019.0614.8326.0733.6739.18
Downside Deviation (5%)4.838.5213.5722.9828.7231.89
Downside Deviation (0%)4.798.3913.2622.2227.5130.14
Sortino Ratio (10%)-0.16-0.29-0.43-0.64-0.77-0.88
Sortino Ratio (5%)-0.09-0.19-0.32-0.55-0.69-0.82
Sortino Ratio (0%)-0.08-0.16-0.29-0.52-0.67-0.80

Top Performer Badges

Index Award Type Rank Performance Period

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