CKP Consulting GmbH : AAR Trading Program

archived programsClosed to new investments
Year-to-Date
N / A
Sep Performance
71.00%
Min Investment
$ 50k
Mgmt. Fee
2.40%
Perf. Fee
25.00%
Annualized Vol
108.02%
Sharpe (RFR=1%)
2.18
CAROR
-
Assets
$ 100k
Worst DD
-22.45
S&P Correlation
-0.36

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
4/2014
AAR Trading Program 71.00 - - - - - - 149.12
S&P 500 -1.55 - - - - - - 90.28
+/- S&P 500 72.55 - - - - - - 58.84

Strategy Description

Summary

The program writes options on currencies with very tight long option positions. In trending markets only options "behind" the trend are written. In range-bound markets options are placed with or without bias. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 1.00
Management Fee 2.40%
Performance Fee 25.00%
Average Commission $10.00
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 100000 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 25.00%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-purchasing
50.00%
Option-writing
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The program writes options on currencies with very tight long option positions. In trending markets only options "behind" the trend are written. In range-bound markets options are placed with or without bias.

Investment Strategy

Medium term OTM currency options are written and covered with tight long options. The strategy is applicable to other UCs.

Risk Management

Risk management is by dynamic positioning. Initial positions are adjusted when cut-off level is reached.

   

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
-22.45 2 1 6/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
87.85 3 4/1/2014 6/1/2014
71.00 1 9/1/2014 9/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.45 2 7/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable66.67100.00
Average Period Return19.6842.01
Average Gain35.4842.01
Average Loss-11.94
Best Period71.0087.85
Worst Period-12.330.04
Standard Deviation31.1836.43
Gain Standard Deviation24.9236.43
Loss Standard Deviation0.56
Sharpe Ratio (1%)0.631.15
Average Gain / Average Loss2.97
Profit / Loss Ratio5.95
Downside Deviation (10%)7.130.59
Downside Deviation (5%)6.940.10
Downside Deviation (0%)6.89
Sortino Ratio (10%)2.7068.89
Sortino Ratio (5%)2.82405.82
Sortino Ratio (0%)2.85

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.