Camkay Capital Management LLC : Crisis Alpha Intraday Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 8.17% Nov Performance 2.30% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 10.91% Sharpe (RFR=1%) 0.61 CAROR - Assets $ 323k Worst DD -5.81 S&P Correlation 0.42 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since9/2019 Crisis Alpha Intraday 2.30 8.51 8.17 7.75 - - - 9.28 S&P 500 10.75 3.47 12.10 15.30 - - - 21.66 +/- S&P 500 -8.45 5.05 -3.92 -7.55 - - - -12.39 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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 StrategyTrades 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -5.81 4 3 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 Show More Consecutive Gains Run-up Length (Mos.) Start End 8.51 3 9/1/2020 11/1/2020 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods15.0013.0010.00 Percent Profitable46.6776.9260.00 Average Period Return0.641.551.93 Average Gain2.993.174.32 Average Loss-1.42-3.85-1.66 Best Period8.398.517.08 Worst Period-4.39-5.77-2.71 Standard Deviation3.153.883.40 Gain Standard Deviation2.812.591.68 Loss Standard Deviation1.661.751.17 Sharpe Ratio (1%)0.180.340.42 Average Gain / Average Loss2.110.832.60 Profit / Loss Ratio1.852.753.90 Downside Deviation (10%)1.752.532.69 Downside Deviation (5%)1.582.081.51 Downside Deviation (0%)1.541.971.23 Sortino Ratio (10%)0.130.13-0.20 Sortino Ratio (5%)0.350.630.95 Sortino Ratio (0%)0.420.791.56 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. x {{title}} x {{title}} Add Cancel