K.C. Capital Management, Inc. : Capital Management Arbitrage and Risk Management

archived programs
Year-to-Date
N / A
Apr Performance
63.41%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
122.10%
Sharpe (RFR=1%)
0.84
CAROR
-
Assets
$ 79k
Worst DD
-34.48
S&P Correlation
-0.42

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2011
Capital Management Arbitrage and Risk Management 63.41 - - - - - - 25.79
S&P 500 -0.75 - - - - - - 177.84
+/- S&P 500 64.16 - - - - - - -152.06

Strategy Description

Summary

Capital Management Arbitrage and Risk Management... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 130 RT/YR/$M
Avg. Margin-to-Equity 100%
Targeted Worst DD -40.00%
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Energy
20.00%
Composition Pie Chart

Summary

Capital Management Arbitrage and Risk Management

Investment Strategy

KC Capital Management is an RIA and a CTA utilizing price action theories like Price Physics, Financial Science, Pairs Trading Arbitrage, Risk Management, and Capital Management Arbitrage. Our models are systematic, and based on these ideas of trading. We are trading our proprietary accounts in this performance report, and we hope that you’ll follow our trades as we try to outperform the market significantly with drawdowns between 25 and 50%.

Risk Management

We utilize Efficient Frontier Analysis to model the most optimal allocations of our trading programs in our proprietary portfolio.

   

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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Risk
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Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
Loss Deviation:
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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
-34.48 3 3 1/1/0001 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
63.41 1 4/1/2012 4/1/2012
24.67 1 2/1/2012 2/1/2012
22.60 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.83 1 1/1/2012 1/1/2012
-21.60 1 11/1/2011 11/1/2011
-5.77 1 3/1/2012 3/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable50.0050.00
Average Period Return8.5810.44
Average Gain36.8948.08
Average Loss-19.73-27.20
Best Period63.4191.97
Worst Period-31.83-34.48
Standard Deviation35.2556.64
Gain Standard Deviation22.9962.07
Loss Standard Deviation13.1310.30
Sharpe Ratio (1%)0.240.18
Average Gain / Average Loss1.871.77
Profit / Loss Ratio1.871.77
Downside Deviation (10%)16.1320.75
Downside Deviation (5%)15.9320.08
Downside Deviation (0%)15.8819.91
Sortino Ratio (10%)0.510.44
Sortino Ratio (5%)0.530.51
Sortino Ratio (0%)0.540.52

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.