Camkay Capital Management LLC : Stock Indices Short-Term

Year-to-Date
0.67%
Sep Performance
-2.21%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
14.24%
Sharpe (RFR=1%)
0.57
CAROR
8.38%
Assets
$ 3.0M
Worst DD
-20.79
S&P Correlation
0.04

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
3/2012
Stock Indices Short-Term -2.21 -6.58 0.67 -6.97 13.59 36.70 - 56.71
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 - 75.22
+/- S&P 500 -4.14 -10.54 -11.69 -22.98 -13.96 -37.90 - -18.50

Strategy Description

Summary

This program attempts to take advantage of short-term inefficiencies in the stock index futures markets by using multiple independent intra-day and swing trading models.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 33k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$13.00
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
1800 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.79%
Sector Focus
Stock Index 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
1.00%
Systematic
99.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This program attempts to take advantage of short-term inefficiencies in the stock index futures markets by using multiple independent intra-day and swing trading models.

Investment Strategy

Trades are generated with proprietary computer generated signals. The average holding period for the swing trading models is five trading days, but can be as short as one day and as long as twenty days. The intra-day strategies are primarily trend following in nature and utilize market volatility. The swing trading strategies are primarily counter-trend in nature, with some incorporating fundamental data as well. This combination of time frames and model types is designed with the intention of providing consistent returns during any market environment.

Risk Management

The risk management objective is that the maximum loss per trade for intraday trades will not exceed 0.75% of the day's starting capital and the combined maximum risk of all concurrent positions will not exceed 2.5% of the day's starting capital. For swing (overnight) trades the max risk per trade will not exceed 3% of capital. Please note that there is no guarantee that a stop loss order will be filled at the stop price. Accordingly, there is no guarantee that losses will be limited to these objectives.

   

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
-20.79 4 20 6/1/2014 10/1/2014
-8.34 1 1 4/1/2012 5/1/2012
-7.87 4 - 5/1/2017 9/1/2017
-7.58 3 5 9/1/2016 12/1/2016
-6.39 1 5 10/1/2012 11/1/2012
-3.57 1 2 6/1/2016 7/1/2016
-1.62 1 1 4/1/2014 5/1/2014
-1.03 1 1 9/1/2013 10/1/2013
-0.84 1 1 7/1/2013 8/1/2013
-0.26 1 1 7/1/2012 8/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
22.58 2 6/1/2012 7/1/2012
18.51 6 2/1/2013 7/1/2013
17.00 6 11/1/2013 4/1/2014
11.53 4 3/1/2016 6/1/2016
11.03 2 12/1/2014 1/1/2015
7.61 1 3/1/2015 3/1/2015
7.23 3 5/1/2015 7/1/2015
6.36 2 8/1/2016 9/1/2016
5.12 2 9/1/2012 10/1/2012
3.91 1 5/1/2017 5/1/2017
3.71 1 9/1/2015 9/1/2015
3.43 1 3/1/2017 3/1/2017
3.03 1 1/1/2017 1/1/2017
2.76 1 9/1/2013 9/1/2013
2.70 1 6/1/2014 6/1/2014
2.64 1 12/1/2012 12/1/2012
1.49 1 12/1/2015 12/1/2015
0.97 2 3/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.79 5 7/1/2014 11/1/2014
-8.34 1 5/1/2012 5/1/2012
-7.87 4 6/1/2017 9/1/2017
-7.58 3 10/1/2016 12/1/2016
-6.39 1 11/1/2012 11/1/2012
-4.77 2 10/1/2015 11/1/2015
-3.71 1 8/1/2015 8/1/2015
-3.57 1 7/1/2016 7/1/2016
-3.22 1 2/1/2015 2/1/2015
-2.22 2 1/1/2016 2/1/2016
-1.62 1 5/1/2014 5/1/2014
-1.31 1 4/1/2015 4/1/2015
-1.04 1 4/1/2017 4/1/2017
-1.03 1 10/1/2013 10/1/2013
-0.84 1 8/1/2013 8/1/2013
-0.29 1 2/1/2017 2/1/2017
-0.29 1 1/1/2013 1/1/2013
-0.26 1 8/1/2012 8/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable56.7266.1572.5882.1492.0090.91100.00100.00
Average Period Return0.752.435.109.7614.3717.6824.0739.12
Average Gain3.366.229.5113.2215.9719.8324.0739.12
Average Loss-2.76-4.97-6.57-6.17-4.04-3.75
Best Period16.9922.2620.3133.5751.4369.3963.3564.03
Worst Period-8.39-14.31-19.97-9.01-6.46-6.572.7213.88
Standard Deviation4.116.749.2811.4814.0216.6614.1611.64
Gain Standard Deviation3.094.155.759.5713.4515.9314.1611.64
Loss Standard Deviation2.414.146.162.082.662.43
Sharpe Ratio (1%)0.160.320.500.760.920.941.493.01
Average Gain / Average Loss1.221.251.452.143.955.28
Profit / Loss Ratio1.652.453.839.8545.4352.81
Downside Deviation (10%)2.564.315.705.004.145.074.391.77
Downside Deviation (5%)2.393.844.853.151.721.860.05
Downside Deviation (0%)2.353.734.652.741.321.30
Sortino Ratio (10%)0.140.280.460.951.641.471.899.94
Sortino Ratio (5%)0.280.570.952.787.508.41388.98
Sortino Ratio (0%)0.320.651.103.5610.9213.63

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 3.71 9/2015
Stock Index Trader Index Month 3 3.88 5/2015
Stock Index Trader Index Month 2 7.61 3/2015
Systematic Trader Index Month 8 7.61 3/2015
IASG CTA Index Month 10 7.61 3/2015
Stock Index Trader Index Month 4 6.01 1/2015
Stock Index Trader Index Month 3 4.74 12/2014
Stock Index Trader Index Month 6 2.70 6/2014
Stock Index Trader Index Month 6 2.45 4/2014
Stock Index Trader Index Month 7 4.79 3/2014
Stock Index Trader Index Month 10 1.75 1/2014
Stock Index Trader Index Month 6 2.90 11/2013
Stock Index Trader Index Month 6 2.76 9/2013
Systematic Trader Index Month 4 8.41 6/2013
Stock Index Trader Index Month 1 8.41 6/2013
Stock Index Trader Index Month 4 2.25 5/2013
Stock Index Trader Index Month 7 2.40 3/2013
Stock Index Trader Index Month 3 2.64 12/2012
Stock Index Trader Index Month 6 3.76 10/2012
Stock Index Trader Index Month 4 4.78 7/2012
Stock Index Trader Index Month 2 16.99 6/2012
Systematic Trader Index Month 3 16.99 6/2012

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