IKEN Capital : IKEN Capital Commodity Alpha Fund

archived programs
Year-to-Date
N / A
Oct Performance
-1.84%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.67%
Sharpe (RFR=1%)
0.72
CAROR
-
Assets
$ 24.1M
Worst DD
-4.28
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
IKEN Capital Commodity Alpha Fund -1.84 - - - - - - 8.69
S&P 500 4.46 - - - - - - 151.19
+/- S&P 500 -6.30 - - - - - - -142.50

Strategy Description

Summary

Relative value commodity strategy. ... Read More

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 15k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 15000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -15.00%
Worst Peak-to-Trough
Sector Focus Diversified 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

Summary

Relative value commodity strategy.

Investment Strategy

The investment objective of the fund is to secure risk-adjusted, long-term capital appreciation for investors through an investment strategy focused on listed commodity markets (mainly futures but also options). Using a quantitative and model driven approach, we aim to capture market inefficiencies through mainly relative value but also some intra-day trend following and option hedging strategies. These strategies lead to systematic investments with a discretionary overlay.

   

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
-4.28 4 - 6/1/2013 10/1/2013
-2.66 4 4 8/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
9.99 2 7/1/2012 8/1/2012
3.91 3 4/1/2013 6/1/2013
2.70 2 1/1/2013 2/1/2013
1.60 2 10/1/2012 11/1/2012
0.35 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.82 2 7/1/2013 8/1/2013
-2.59 1 12/1/2012 12/1/2012
-1.84 1 10/1/2013 10/1/2013
-1.65 1 9/1/2012 9/1/2012
-0.61 1 3/1/2013 3/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods16.0014.0011.00
Percent Profitable62.5064.2981.82
Average Period Return0.551.032.27
Average Gain1.832.563.00
Average Loss-1.59-1.71-0.99
Best Period5.138.177.06
Worst Period-2.59-3.46-1.95
Standard Deviation2.212.932.66
Gain Standard Deviation1.732.402.31
Loss Standard Deviation0.741.311.35
Sharpe Ratio (1%)0.210.270.67
Average Gain / Average Loss1.151.493.03
Profit / Loss Ratio1.922.6913.62
Downside Deviation (10%)1.291.921.76
Downside Deviation (5%)1.101.370.76
Downside Deviation (0%)1.061.240.59
Sortino Ratio (10%)0.11-0.10-0.11
Sortino Ratio (5%)0.420.572.35
Sortino Ratio (0%)0.520.833.87

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.