K & Q Futures Inc. : K & Q Option Select

archived programs
Year-to-Date
N / A
Dec Performance
-5.85%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
69.12%
Sharpe (RFR=1%)
-0.37
CAROR
-40.89%
Assets
$ 30k
Worst DD
-89.43
S&P Correlation
-0.03

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
8/2009
K & Q Option Select -5.85 - - - - - -88.33 -83.41
S&P 500 0.71 - - - - - 62.07 239.41
+/- S&P 500 -6.56 - - - - - -150.40 -322.83

Strategy Description

Summary

The overall goal of K&Q Option Select program is to achieve account appreciation through the use of an on exchange options investment strategy.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 48.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 40.00%
1-3 Months 60.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-purchasing
10.00%
Option-spreads
20.00%
Option-writing
70.00%
Strategy Pie Chart

Composition

Precious Metals
30.00%
Energy
25.00%
Grains
20.00%
Softs
15.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The overall goal of K&Q Option Select program is to achieve account appreciation through the use of an on exchange options investment strategy.

Investment Strategy

K&Q uses a systematic, blended, approach to trading by buying and selling options, considering technical and fundamental considerations. Technical indicators utilized will evaluate the prices of various options, in absolute terms in relation to their historic price levels. The fundamental factors include the condition of the markets, their trend and volatility as well as weather, supply and demand, stocks, and political and economic forces. KQF intends to primarily sell covered options. Our intention is to sell options which are “deep out of the money” which means they are priced well away from the then prevailing market prices.

Risk Management

KQF will manage risk through several methodologies. We intend to trade within several different markets at all times. We will maintain a healthy margin to equity ratio within client accounts, trying to target a margin to equity level of 50%. Positions which we believe will be volatile will also not be entered into naked but will rather be spread into. Lastly, KQF principals actively monitor open positions and market conditions on a daily basis. If the market does not appear to be responding as we had originally anticipated we may likely exit the market

   

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
-89.43 31 - 5/1/2010 12/1/2012
-12.24 1 2 1/1/0001 8/1/2009
-4.05 1 1 12/1/2009 1/1/2010
-2.91 1 1 10/1/2009 11/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
73.65 1 9/1/2011 9/1/2011
28.14 4 2/1/2010 5/1/2010
27.47 2 9/1/2009 10/1/2009
26.25 2 5/1/2011 6/1/2011
22.20 3 7/1/2010 9/1/2010
17.50 1 12/1/2009 12/1/2009
9.70 1 3/1/2011 3/1/2011
8.80 2 12/1/2010 1/1/2011
0.06 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-66.70 2 7/1/2011 8/1/2011
-49.58 1 4/1/2011 4/1/2011
-44.98 2 10/1/2010 11/1/2010
-31.59 7 10/1/2011 4/1/2012
-29.50 7 6/1/2012 12/1/2012
-22.91 1 6/1/2010 6/1/2010
-12.24 1 8/1/2009 8/1/2009
-4.05 1 1/1/2010 1/1/2010
-3.78 1 2/1/2011 2/1/2011
-2.91 1 11/1/2009 11/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable41.4633.3322.2213.330.000.00
Average Period Return-2.05-8.78-19.08-41.31-64.32-78.19
Average Gain12.2019.6132.1138.41
Average Loss-12.14-22.98-33.71-53.58-64.32-78.19
Best Period73.6552.9962.3161.95-2.99-47.84
Worst Period-62.05-63.26-76.75-86.07-86.10-86.82
Standard Deviation19.9524.8732.4837.3324.209.56
Gain Standard Deviation16.8412.9919.1324.18
Loss Standard Deviation15.4515.1716.5619.3124.209.56
Sharpe Ratio (1%)-0.11-0.36-0.60-1.13-2.72-8.39
Average Gain / Average Loss1.010.850.950.72
Profit / Loss Ratio0.710.430.270.11
Downside Deviation (10%)15.0423.2034.9857.3175.7188.93
Downside Deviation (5%)14.8822.5233.4053.7869.9580.74
Downside Deviation (0%)14.8422.3533.0152.9068.5478.74
Sortino Ratio (10%)-0.16-0.43-0.62-0.81-0.95-0.99
Sortino Ratio (5%)-0.14-0.40-0.59-0.79-0.94-0.99
Sortino Ratio (0%)-0.14-0.39-0.58-0.78-0.94-0.99

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.