JKI-Futures, LLC : ETIRON Access

archived programs
Year-to-Date
N / A
Dec Performance
0.50%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.06%
Sharpe (RFR=1%)
-0.11
CAROR
1.46%
Assets
$ 0k
Worst DD
-9.84
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
4/2011
ETIRON Access 0.50 - - - - - - 3.56
S&P 500 2.36 - - - - - - 154.03
+/- S&P 500 -1.86 - - - - - - -150.47

Strategy Description

Summary

The Advisor is a systematic trend follower which blends statistical research and technical analysis of past price behavior with fundamental forecast. The Advisor forms long term forecast of future price trends and then builds systematic trading model, to fit this forecast in an effort... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 2.00%
4-12 Months 18.00%
1-3 Months 60.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Fundamental
2.00%
Momentum
23.00%
Pattern Recognition
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Grains
15.00%
Softs
15.00%
Interest Rates
12.00%
Stock Indices
12.00%
Energy
10.00%
Precious Metals
8.00%
Livestock
6.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

The Advisor is a systematic trend follower which blends statistical research and technical analysis of past price behavior with fundamental forecast. The Advisor forms long term forecast of future price trends and then builds systematic trading model, to fit this forecast in an effort to achieve above average risk adjusted performance.

Investment Strategy

The Advisor offers four programs: the ETIRON Access Program, the ETIRON Access 2X Program, the ETIRON Large Program and the ETIRON Large 2X Program. The offered programs are systematic trend-following trading models using technical analysis and statistical studies of past price behavior of futures markets to determine the most favorable entry and exit points, size of the investment positions and portfolio composition. When trading the programs, the Advisor does not attempt to trade all of the markets at all times, but rather looks for opportunities with the highest probability for a favorable outcome.

Risk Management

At any given time, the Advisor generally holds open positions in less than one third of all the markets traded. The Advisor’s risk management algorithm is dynamic and initial risk per position may vary depending on many factors including current market exposure, recent price behavior, and other technical and statistical factors. The ETIRON Access 2X and ETIRON Large 2X Programs generally open positions with initial risk of 1% - 2% of an account’s total equity. The ETIRON Access and ETIRON Large Programs generally open positions with initial risk of 0.5% - 1% of an account’s total equity. However, the risk models are dynamic and initial risk for some positions in an account may approach 3% of the account’s equity for the ETIRON Access 2X and ETIRON Large 2X Programs, and 1.5% initial risk for the ETIRON Access and ETIRON Large Programs.

   

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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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-9.84 10 - 8/1/2011 6/1/2012
-2.71 2 1 4/1/2011 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
8.94 2 7/1/2011 8/1/2011
4.80 6 7/1/2012 12/1/2012
2.89 1 4/1/2011 4/1/2011
0.80 2 3/1/2012 4/1/2012
0.50 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.07 6 9/1/2011 2/1/2012
-3.76 2 5/1/2012 6/1/2012
-2.71 2 5/1/2011 6/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0031.0028.0022.0016.00
Percent Profitable27.5941.9439.2959.0956.25
Average Period Return0.030.200.010.180.02
Average Gain1.822.282.682.621.75
Average Loss-1.38-2.59-2.43-3.36-2.59
Best Period6.227.465.774.805.33
Worst Period-3.12-6.26-7.07-8.40-5.51
Standard Deviation1.752.712.823.582.60
Gain Standard Deviation2.032.301.511.161.45
Loss Standard Deviation1.131.941.972.791.81
Sharpe Ratio (1%)-0.03-0.02-0.17-0.23-0.57
Average Gain / Average Loss1.320.881.100.780.68
Profit / Loss Ratio1.061.271.011.131.02
Downside Deviation (10%)1.252.413.635.967.98
Downside Deviation (5%)1.061.832.293.262.75
Downside Deviation (0%)1.021.712.012.731.88
Sortino Ratio (10%)-0.30-0.43-0.68-0.81-0.95
Sortino Ratio (5%)-0.05-0.03-0.21-0.25-0.54
Sortino Ratio (0%)0.030.120.010.060.01

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.