JKG Capital LLC : JKG Select Trend

archived programs
Year-to-Date
N / A
Mar Performance
-2.04%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
39.08%
Sharpe (RFR=1%)
0.47
CAROR
-
Assets
$ 234k
Worst DD
-28.84
S&P Correlation
0.28

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
JKG Select Trend -2.04 - - - - - - 22.86
S&P 500 -1.74 - - - - - - 106.04
+/- S&P 500 -0.30 - - - - - - -83.18

Strategy Description

Summary

JKG Select Trend is a managed futures program offered to select investors that trades a diverse group of leading Futures markets. Its strategy is trend following in nature, yet differs from traditional trend following programs in its ability to:

Focus on Leaders: Utilize... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
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 QEP
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 17.84%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 5.00%
4-12 Months 10.00%
1-3 Months 25.00%
1-30 Days 50.00%
Intraday 10.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Softs
15.00%
Stock Indices
15.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

JKG Select Trend is a managed futures program offered to select investors that trades a diverse group of leading Futures markets. Its strategy is trend following in nature, yet differs from traditional trend following programs in its ability to:

Focus on Leaders: Utilize proprietary technical analysis screening to isolate markets displaying the strongest trends.

Be Ahead of the Crowd: Focus on relatively short time frames to identify attractive market entry points before other, similar approaches; yet, allow winning positions to capture gains offered by the larger trend.

Investment Strategy

Trend Following
JKG Select Trend is designed to consistently produce Alpha— superior risk adjusted returns. Its strategy consists of three essential components as follows.

Macroeconomics: JKG applies macroeconomics to select a diverse group (Universe) of leading, liquid Futures markets. This Universe provides attractive trading opportunities throughout both rising and declining market environments.

Technical Analysis: Utilizing its proprietary system, JKG analyzes the price trends of the markets in its Universe in order to identify their most promising trading opportunities.

Risk Management: Once identified, trades are entered with an emphasis on risk management.

This is JKG’s approach to trading— to focus on a diverse group of leading markets, align with the trends of those markets, and manage the risk.

Risk Management

JKG practices comprehensive risk management and is happy to discuss its procedures with Clients and prospective investors. Program trades have a target initial risk of 1% of account equity.

   

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:
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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
-28.84 7 - 8/1/2014 3/1/2015
-9.40 1 2 4/1/2014 5/1/2014
-4.76 1 2 9/1/2013 10/1/2013
-4.02 1 1 12/1/2013 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
48.21 3 2/1/2014 4/1/2014
22.51 3 6/1/2014 8/1/2014
13.33 2 11/1/2013 12/1/2013
1.30 1 9/1/2013 9/1/2013
0.54 1 10/1/2014 10/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.42 5 11/1/2014 3/1/2015
-9.92 1 9/1/2014 9/1/2014
-9.40 1 5/1/2014 5/1/2014
-4.76 1 10/1/2013 10/1/2013
-4.02 1 1/1/2014 1/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable52.6347.0671.4375.00
Average Period Return1.616.3517.7632.26
Average Gain8.2023.4832.0448.97
Average Loss-5.71-8.87-17.96-17.86
Best Period40.6648.5761.2272.65
Worst Period-9.92-16.16-27.35-20.68
Standard Deviation11.2821.5431.4734.25
Gain Standard Deviation11.9619.6924.5817.31
Loss Standard Deviation3.285.889.913.99
Sharpe Ratio (1%)0.140.280.550.91
Average Gain / Average Loss1.442.651.782.74
Profit / Loss Ratio1.602.354.468.23
Downside Deviation (10%)4.728.3811.8711.51
Downside Deviation (5%)4.527.7710.889.53
Downside Deviation (0%)4.477.6110.649.04
Sortino Ratio (10%)0.250.611.292.37
Sortino Ratio (5%)0.340.791.593.28
Sortino Ratio (0%)0.360.831.673.57

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.