FRP CAPITAL LLC : FRP125+

archived programs
Year-to-Date
N / A
Nov Performance
0.96%
Min Investment
$ 125k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.98%
Sharpe (RFR=1%)
0.71
CAROR
11.13%
Assets
$ 1.3M
Worst DD
-13.60
S&P Correlation
-0.01

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 Since
1/2010
FRP125+ 0.96 -6.76 - -9.07 39.94 - - 68.02
S&P 500 2.45 3.20 - 14.49 65.80 - - 92.50
+/- S&P 500 -1.49 -9.97 - -23.57 -25.87 - - -24.48

Strategy Description

Summary

The FRP 125+ Program invests in diversified markets on US and European exchanges in a variety of sectors including: currencies, interest rate instruments, indices, metals, energies, grains, meats, and softs. Trades duration for futures is between 2 and 5 days, whereas options trades... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 125k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
28.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
80.00%
Intraday
20.00%

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Strategy

Counter-trend
10.00%
Fundamental
10.00%
Option-writing
30.00%
Technical
10.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Currency Futures
20.00%
Precious Metals
20.00%
Softs
20.00%
Energy
10.00%
Composition Pie Chart

Summary

The FRP 125+ Program invests in diversified markets on US and European exchanges in a variety of sectors including: currencies, interest rate instruments, indices, metals, energies, grains, meats, and softs. Trades duration for futures is between 2 and 5 days, whereas options trades last longer.

Investment Strategy

The FRP 125+ Program invests in futures by using a multi-strategy systematic approach, combining different systems in an attempt to maximize profits while reducing volatility. The combination of different systems allows the program to seek profits in both trending and non-trending markets. Each of the systems employed in the trading program utilizes technical analysis, focusing on short and medium term price data to identify patterns that reflect trends in the market. The systems also evaluate volatility, volume, and other factors using analytical tools such as oscillators, moving averages, and support and resistance levels. The individual systems may be designed specifically to identify trends, counter-trends, volatility breakouts, contractions, patterns, etc. They are used collectively to determine directionality and recognize the emergence of market trends. The automated systems include a computerized overlay that determines entry and exit points, as well as optimum position sizing. Additionally, money management rules are incorporated, as are volatility adjustment features for both individual trades and the portfolio as a whole. The FRP 125+ Program has a non-systematic option writing component. This component of the program is run in parallel to the futures strategies. However, with the exception of risk management on a portfolio level, the option component is autonomous. FRP utilizes both technical and fundamental analysis for this rules-based discretionary strategy,

Risk Management

Risk management entails predetermined exit points and automated monitoring of positions in relation to current market conditions.

   

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
-13.60 9 - 12/1/2013 9/1/2014
-13.27 5 5 1/1/2011 6/1/2011
-7.79 1 4 1/1/0001 1/1/2010
-6.29 2 1 1/1/2013 3/1/2013
-4.92 2 1 11/1/2011 1/1/2012
-3.51 1 2 2/1/2012 3/1/2012
-3.00 1 1 10/1/2013 11/1/2013
-2.89 1 2 5/1/2010 6/1/2010
-2.40 1 3 6/1/2013 7/1/2013
-0.78 1 1 11/1/2012 12/1/2012
-0.60 1 1 9/1/2012 10/1/2012
-0.42 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
23.63 6 4/1/2012 9/1/2012
19.39 3 4/1/2013 6/1/2013
13.34 1 11/1/2011 11/1/2011
9.65 4 2/1/2010 5/1/2010
9.47 4 7/1/2010 10/1/2010
7.94 1 2/1/2012 2/1/2012
7.85 2 12/1/2010 1/1/2011
7.57 1 11/1/2012 11/1/2012
6.03 3 6/1/2014 8/1/2014
6.01 1 1/1/2013 1/1/2013
5.95 3 7/1/2011 9/1/2011
5.53 3 8/1/2013 10/1/2013
4.23 1 12/1/2013 12/1/2013
0.97 2 10/1/2014 11/1/2014
0.86 1 4/1/2014 4/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.27 5 2/1/2011 6/1/2011
-9.64 3 1/1/2014 3/1/2014
-7.79 1 1/1/2010 1/1/2010
-7.66 1 9/1/2014 9/1/2014
-6.29 2 2/1/2013 3/1/2013
-4.92 2 12/1/2011 1/1/2012
-3.51 1 3/1/2012 3/1/2012
-3.18 1 5/1/2014 5/1/2014
-3.00 1 11/1/2013 11/1/2013
-2.89 1 6/1/2010 6/1/2010
-2.40 1 7/1/2013 7/1/2013
-0.78 1 12/1/2012 12/1/2012
-0.60 1 10/1/2012 10/1/2012
-0.42 1 11/1/2010 11/1/2010
-0.13 1 10/1/2011 10/1/2011
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Time Windows Analysis

 5 Year1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods8.0059.0057.0054.0048.0042.0036.0024.00
Percent Profitable100.0061.0270.1870.3777.0895.24100.00100.00
Average Period Return79.120.973.187.0816.3728.4743.6869.96
Average Gain79.123.476.5012.4322.6630.2643.6869.96
Average Loss-2.94-4.62-5.63-4.75-7.32
Best Period92.6015.4719.3924.8147.8368.8584.7388.37
Worst Period69.96-7.79-9.64-11.89-12.64-7.676.9139.94
Standard Deviation8.264.336.6910.1916.8221.3121.0911.41
Gain Standard Deviation8.263.414.686.7413.6820.2121.0911.41
Loss Standard Deviation2.153.283.224.350.50
Sharpe Ratio (1%)8.960.210.440.650.911.271.985.86
Average Gain / Average Loss1.181.412.214.774.14
Profit / Loss Ratio1.853.315.2516.0482.72
Downside Deviation (10%)2.473.644.735.153.450.56
Downside Deviation (5%)2.303.183.743.391.94
Downside Deviation (0%)2.263.073.503.021.60
Sortino Ratio (10%)0.230.540.972.216.0559.97
Sortino Ratio (5%)0.390.921.764.5313.91
Sortino Ratio (0%)0.431.042.025.4317.81

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 15.47 4/2013
Diversified Trader Index Month 7 15.47 4/2013
IASG CTA Index Month 7 15.47 4/2013
Systematic Trader Index Month 5 7.57 11/2012
Diversified Trader Index Month 5 7.57 11/2012
IASG CTA Index Month 6 7.57 11/2012
Diversified Trader Index Month 6 5.06 8/2012
Systematic Trader Index Month 7 5.06 8/2012
Diversified Trader Index Month 4 13.34 11/2011
IASG CTA Index Month 7 13.34 11/2011
Systematic Trader Index Month 5 13.34 11/2011
Diversified Trader Index Month 5 6.26 1/2011
Systematic Trader Index Month 6 6.26 1/2011
Systematic Trader Index Month 9 3.82 12/2009
Diversified Trader Index Month 9 3.82 12/2009
Systematic Trader Index Month 1 11.23 2/2009
Diversified Trader Index Month 2 11.23 2/2009
IASG CTA Index Month 3 11.23 2/2009

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