K4 Capital Management : MVS Lite Program

archived programs
Year-to-Date
N / A
Aug Performance
-3.70%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
5.96%
Sharpe (RFR=1%)
1.02
CAROR
7.13%
Assets
$ 2.0M
Worst DD
-6.03
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
MVS Lite Program -3.70 - - - - - -1.18 46.92
S&P 500 -5.68 - - - - - 7.52 179.87
+/- S&P 500 1.98 - - - - - -8.70 -132.95

Strategy Description

Summary

MVS LITE is a variation of K4 Capital's MVS Program. Like MVS, it is an option selling strategy based on statistical analysis of market behavior. LITE trades fewer contracts for similar account sizes, and options strikes will typically be further out than with the original MVS. MVS... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $3.00
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 2000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Currency Futures
40.00%
Stock Indices
30.00%
Other
30.00%
Composition Pie Chart

Summary

MVS LITE is a variation of K4 Capital's MVS Program. Like MVS, it is an option selling strategy based on statistical analysis of market behavior. LITE trades fewer contracts for similar account sizes, and options strikes will typically be further out than with the original MVS. MVS Lite will have a lower margin to equity ratio relative to MVS, however, all the same risk factors apply. The result of these modifications is that Lite will generate lower returns than MVS, but will also be more resistant to drawdowns.

   

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
-6.03 1 16 9/1/2008 10/1/2008
-4.06 1 1 6/1/2007 7/1/2007
-3.70 1 - 7/1/2011 8/1/2011
-2.47 1 1 3/1/2011 4/1/2011
-1.61 1 1 1/1/2007 2/1/2007
-0.41 1 1 3/1/2010 4/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
20.00 12 2/1/2006 1/1/2007
18.48 14 8/1/2007 9/1/2008
6.22 4 3/1/2007 6/1/2007
5.84 11 5/1/2010 3/1/2011
4.62 9 11/1/2008 7/1/2009
3.32 1 12/1/2009 12/1/2009
3.26 2 5/1/2011 6/1/2011
1.07 2 2/1/2010 3/1/2010
0.77 2 9/1/2009 10/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-6.03 1 10/1/2008 10/1/2008
-4.06 1 7/1/2007 7/1/2007
-3.70 2 7/1/2011 8/1/2011
-2.47 1 4/1/2011 4/1/2011
-2.39 1 11/1/2009 11/1/2009
-1.61 1 2/1/2007 2/1/2007
-0.41 1 4/1/2010 4/1/2010
-0.15 1 1/1/2010 1/1/2010
-0.02 1 8/1/2009 8/1/2009
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable85.0789.2385.4883.9398.00100.00100.00100.00
Average Period Return0.591.853.626.8910.0712.8017.4928.18
Average Gain1.062.484.758.3910.3112.8017.4928.18
Average Loss-2.32-3.40-3.05-0.94-1.86
Best Period7.3010.5313.0820.0026.6036.0035.8442.19
Worst Period-6.03-5.76-4.43-1.44-1.862.293.3413.80
Standard Deviation1.722.694.126.098.019.658.596.77
Gain Standard Deviation1.151.973.255.487.909.658.596.77
Loss Standard Deviation2.031.991.460.42
Sharpe Ratio (1%)0.300.590.760.971.071.121.683.56
Average Gain / Average Loss0.460.731.568.915.54
Profit / Loss Ratio2.906.049.1646.52271.49
Downside Deviation (10%)1.221.662.212.753.203.764.481.74
Downside Deviation (5%)1.121.341.450.810.55
Downside Deviation (0%)1.101.271.280.410.26
Sortino Ratio (10%)0.150.370.520.690.770.680.393.81
Sortino Ratio (5%)0.451.192.157.2515.47
Sortino Ratio (0%)0.541.452.8416.7938.25

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.