ETS Capital LLC : Equity Index

archived programs
Year-to-Date
N / A
Aug Performance
4.00%
Min Investment
$ 250k
Mgmt. Fee
1.80%
Perf. Fee
20.00%
Annualized Vol
7.97%
Sharpe (RFR=1%)
0.54
CAROR
5.15%
Assets
$ 500k
Worst DD
-8.25
S&P Correlation
0.22

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
9/2013
Equity Index 4.00 - - - - 0.00 - 10.57
S&P 500 -6.26 - - - - 87.92 - 106.04
+/- S&P 500 10.26 - - - - -87.92 - -95.48

Strategy Description

Summary

TS (Equity Trading Strategies) seeks to achieve substantial capital appreciation via a technical system that trades futures contracts on domestic stock indices. The system trades both the long and the short side and employs risk control and position size management. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.80%
Performance Fee 20.00%
Average Commission $0
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 800 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 3.80%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Counter-trend
20.00%
Momentum
30.00%
Pattern Recognition
10.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

TS (Equity Trading Strategies) seeks to achieve substantial capital appreciation via a technical system that trades futures contracts on domestic stock indices. The system trades both the long and the short side and employs risk control and position size management.

Investment Strategy

A major feature of the system is that a significant component of the trading decision-making is based on internal market indicators such as the number of advancing and declining issues, the number of new highs and new lows, the advancing and declining volume, etc. The system is on average an intermediate-term system that has the capability to automatically shift from a short-term, oscillator-based trading mode to a longer-term, trend following, mode, depending on the overall market indicators. Our investment strategy is disciplined and systematic but some discretion is exercised on the position size.

Risk Management

At ETS risk management is given high priority. Several methods are employed in an attempt to limit risk of loss, including a "counter-trend" short term signal approach and a "strong/weak" signal approach, which allows employing leveraging/de-leveraging techniques in an effort to control risk.

   

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
-8.25 8 - 11/1/2014 7/1/2015
-3.80 5 2 2/1/2014 7/1/2014
-1.56 1 1 12/1/2013 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
7.51 1 2/1/2014 2/1/2014
7.25 4 8/1/2014 11/1/2014
6.11 4 9/1/2013 12/1/2013
4.00 1 8/1/2015 8/1/2015
0.30 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.25 8 12/1/2014 7/1/2015
-3.00 2 6/1/2014 7/1/2014
-1.56 1 1/1/2014 1/1/2014
-1.12 2 3/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable45.8345.4563.1653.8585.71
Average Period Return0.440.871.653.784.16
Average Gain2.264.444.818.195.11
Average Loss-1.09-2.10-3.75-1.36-1.55
Best Period7.516.3112.3011.1411.40
Worst Period-2.51-5.17-5.87-1.93-1.55
Standard Deviation2.303.705.145.614.14
Gain Standard Deviation2.121.743.363.693.59
Loss Standard Deviation0.891.552.180.58
Sharpe Ratio (1%)0.160.170.220.500.64
Average Gain / Average Loss2.072.111.286.023.30
Profit / Loss Ratio1.751.762.207.0219.80
Downside Deviation (10%)1.272.694.014.534.94
Downside Deviation (5%)1.072.062.861.661.15
Downside Deviation (0%)1.021.902.580.990.59
Sortino Ratio (10%)0.03-0.13-0.20-0.27-0.70
Sortino Ratio (5%)0.340.300.401.682.30
Sortino Ratio (0%)0.430.460.643.817.10

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.