Faulkner Capital Inc : C&O Program

archived programs
Year-to-Date
N / A
Feb Performance
-2.00%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
6.80%
Sharpe (RFR=1%)
1.05
CAROR
-
Assets
$ 98k
Worst DD
-3.35
S&P Correlation
-0.13

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2011
C&O Program -2.00 - - - - - - 8.96
S&P 500 4.06 - - - - - - 143.83
+/- S&P 500 -6.06 - - - - - - -134.87

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 0%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1700 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD 5.00%
Worst Peak-to-Trough -3.35%
Sector Focus Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Composition

Currency Futures
33.00%
Interest Rates
33.00%
Industrial Metals
17.00%
Precious Metals
17.00%
Composition Pie Chart
   

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:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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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
-3.35 3 2 4/1/2011 7/1/2011
-2.00 1 - 1/1/2012 2/1/2012
-0.30 1 1 1/1/0001 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
13.68 5 8/1/2011 12/1/2011
1.50 2 3/1/2011 4/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.35 3 5/1/2011 7/1/2011
-2.00 2 1/1/2012 2/1/2012
-0.30 1 2/1/2011 2/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable53.8572.7375.00
Average Period Return0.682.785.19
Average Gain2.074.637.47
Average Loss-1.14-2.15-1.66
Best Period3.909.0713.68
Worst Period-2.34-3.35-2.19
Standard Deviation1.964.316.01
Gain Standard Deviation1.403.435.05
Loss Standard Deviation0.991.370.76
Sharpe Ratio (1%)0.300.590.78
Average Gain / Average Loss1.832.154.50
Profit / Loss Ratio2.565.7513.50
Downside Deviation (10%)1.111.862.14
Downside Deviation (5%)0.931.381.11
Downside Deviation (0%)0.891.260.87
Sortino Ratio (10%)0.250.841.27
Sortino Ratio (5%)0.641.834.22
Sortino Ratio (0%)0.762.205.95

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.