JKI-Futures, LLC : ETIRON Large 2x (Client)

archived programs
Year-to-Date
N / A
Aug Performance
-7.79%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
15.00%
Annualized Vol
22.90%
Sharpe (RFR=1%)
-0.29
CAROR
-7.93%
Assets
$ 584k
Worst DD
-44.34
S&P Correlation
0.32

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2012
ETIRON Large 2x (Client) -7.79 -4.15 - -13.69 -25.89 - - -28.63
S&P 500 -0.12 3.53 - 10.08 32.94 - - 54.34
+/- S&P 500 -7.67 -7.68 - -23.77 -58.83 - - -82.97

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
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
0%
Performance Fee
15.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-40.00%
Worst Peak-to-Trough
15.53%
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:
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
-44.34 12 - 2/1/2015 2/1/2016
-15.53 4 14 8/1/2012 12/1/2012
-11.90 3 3 7/1/2014 10/1/2014
-2.29 1 1 2/1/2014 3/1/2014
-1.70 1 1 4/1/2014 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
15.22 1 2/1/2014 2/1/2014
14.16 2 1/1/2015 2/1/2015
13.88 1 3/1/2016 3/1/2016
13.44 2 6/1/2014 7/1/2014
12.76 1 1/1/2013 1/1/2013
11.25 1 3/1/2013 3/1/2013
6.66 1 6/1/2016 6/1/2016
6.44 1 11/1/2014 11/1/2014
5.84 3 7/1/2013 9/1/2013
3.97 1 8/1/2012 8/1/2012
3.55 1 4/1/2014 4/1/2014
3.42 1 9/1/2015 9/1/2015
2.58 1 11/1/2015 11/1/2015
0.54 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-35.29 6 3/1/2015 8/1/2015
-15.53 4 9/1/2012 12/1/2012
-11.90 3 8/1/2014 10/1/2014
-11.71 3 12/1/2015 2/1/2016
-10.13 2 7/1/2016 8/1/2016
-9.99 1 6/1/2013 6/1/2013
-8.16 1 10/1/2015 10/1/2015
-8.08 2 4/1/2016 5/1/2016
-7.14 1 2/1/2013 2/1/2013
-4.48 4 10/1/2013 1/1/2014
-2.29 1 3/1/2014 3/1/2014
-1.70 1 5/1/2014 5/1/2014
-1.01 1 4/1/2013 4/1/2013
-0.88 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable36.7342.5552.2750.0056.2550.000.00
Average Period Return-0.47-1.18-1.71-4.56-3.19-3.51-18.59
Average Gain6.279.158.8713.6317.0017.87
Average Loss-4.39-8.83-13.28-22.74-29.15-24.89-18.59
Best Period15.2216.5830.0031.3233.4238.98-4.14
Worst Period-13.73-26.57-35.29-44.34-44.15-36.54-27.99
Standard Deviation6.6110.7914.9421.5125.3023.506.47
Gain Standard Deviation4.655.006.839.2610.279.59
Loss Standard Deviation3.816.7112.6212.939.918.246.47
Sharpe Ratio (1%)-0.08-0.13-0.15-0.26-0.19-0.23-3.34
Average Gain / Average Loss1.431.040.670.600.580.72
Profit / Loss Ratio0.830.770.730.600.750.72
Downside Deviation (10%)4.849.1113.8221.5525.1425.5234.92
Downside Deviation (5%)4.648.5012.7719.0021.2419.8322.51
Downside Deviation (0%)4.598.3512.5118.3820.2918.4719.61
Sortino Ratio (10%)-0.18-0.26-0.30-0.44-0.43-0.54-0.98
Sortino Ratio (5%)-0.12-0.17-0.17-0.29-0.22-0.28-0.96
Sortino Ratio (0%)-0.10-0.14-0.14-0.25-0.16-0.19-0.95

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 13.88 3/2016
Systematic Trader Index Month 2 13.88 3/2016
Diversified Trader Index Month 2 13.88 3/2016
Diversified Trader Index Month 7 5.03 2/2015
Diversified Trader Index Month 2 10.35 6/2014
Systematic Trader Index Month 2 10.35 6/2014

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