Camkay Capital Management LLC : Crisis Alpha Intraday

Year-to-Date
0.31%
Aug Performance
-0.05%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
11.17%
Sharpe (RFR=1%)
0.02
CAROR
-
Assets
$ 295k
Worst DD
-5.81
S&P Correlation
0.57

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2019
Crisis Alpha Intraday -0.05 -3.42 -0.31 0.70 - - - 0.70
S&P 500 7.01 14.98 8.34 19.61 - - - 17.59
+/- S&P 500 -7.06 -18.40 -8.66 -18.90 - - - -16.88

Strategy Description

Summary

The Program attempts to take advantage of excessive stock market intraday movement during volatile markets. Low volatility periods are avoided, and there can be months with no trades. Since trades are only taken during environments when the stock market has typically declined, this... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $7.62
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1750 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -9.00%
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Program attempts to take advantage of excessive stock market intraday movement during volatile markets. Low volatility periods are avoided, and there can be months with no trades. Since trades are only taken during environments when the stock market has typically declined, this program can provide hedging abilities for those that are invested in equity markets. Trades are generated on the emini S&P 500 futures with proprietary algorithms, and all positions are closed before the end of the day.

Investment Strategy

Trades the emini S&P 500 futures 100% systematic with automated execution. Only intraday trading time frame (no trades held overnight). Only trades during high volatility / crisis periods when perceived opportunity is the greatest. Low volatility periods are avoided, and there can be months with no trades. There is no management fee drag on the account. Only pay fees when reaching a new high water mark at the end of a quarter.

Risk Management

The max daily risk is 2.25% (before commissions and any slippage). This is provided by utilizing hard stop loss orders on all trades. No trades are held overnight.

   

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
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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
-5.81 4 - 4/1/2020 8/1/2020
-4.74 2 1 1/1/2020 3/1/2020
-0.65 2 1 10/1/2019 12/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
8.39 1 4/1/2020 4/1/2020
2.51 1 1/1/2020 1/1/2020
1.68 2 9/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.81 4 5/1/2020 8/1/2020
-4.74 2 2/1/2020 3/1/2020
-0.65 2 11/1/2019 12/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable33.3370.0057.14
Average Period Return0.110.411.07
Average Gain3.152.233.51
Average Loss-1.42-3.85-2.19
Best Period8.395.405.15
Worst Period-4.39-5.77-2.71
Standard Deviation3.233.313.17
Gain Standard Deviation3.631.591.10
Loss Standard Deviation1.661.750.65
Sharpe Ratio (1%)0.010.050.18
Average Gain / Average Loss2.220.581.61
Profit / Loss Ratio1.111.352.14
Downside Deviation (10%)1.962.893.07
Downside Deviation (5%)1.762.381.79
Downside Deviation (0%)1.722.251.47
Sortino Ratio (10%)-0.15-0.28-0.46
Sortino Ratio (5%)0.010.070.32
Sortino Ratio (0%)0.060.180.73

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.