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/ K4 Capital Management / MVS Program

K4 Capital Management : MVS Program

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Year-to-Date
N / A
Jun Performance
0.56%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
6.82%
Sharpe (RFR=1%)
1.99
CAROR
15.33%
Assets
$ 12.6M
Worst DD
-6.46
S&P Correlation
0.26
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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 Jun Qtr 2020 1yr 3yr 5yr 10yr Since
5/2004
MVS Program 0.56 - - - - - 3.55 177.97
S&P 500 -1.83 - - - - - 7.86 231.70
+/- S&P 500 2.39 - - - - - -4.31 -53.73

Strategy Description

Summary

MVS is a short-term, non directional strategy based on extensive statistical analysis of markets. It is an option selling program designed to capture small but steady returns on a monthly basis.... 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 2500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

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 is a short-term, non directional strategy based on extensive statistical analysis of markets. It is an option selling program designed to capture small but steady returns on a monthly basis.

   

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

Monthly Annual
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
-6.46 1 8 9/1/2008 10/1/2008
-5.26 1 1 6/1/2007 7/1/2007
-3.82 1 2 1/1/2007 2/1/2007
-3.50 2 6 3/1/2010 5/1/2010
-1.61 1 1 10/1/2009 11/1/2009
-0.67 1 1 3/1/2011 4/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
93.44 33 5/1/2004 1/1/2007
31.51 14 8/1/2007 9/1/2008
9.61 12 11/1/2008 10/1/2009
7.91 10 6/1/2010 3/1/2011
7.74 4 3/1/2007 6/1/2007
4.82 4 12/1/2009 3/1/2010
1.77 2 5/1/2011 6/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.46 1 10/1/2008 10/1/2008
-5.26 1 7/1/2007 7/1/2007
-3.82 1 2/1/2007 2/1/2007
-3.50 2 4/1/2010 5/1/2010
-1.61 1 11/1/2009 11/1/2009
-0.67 1 4/1/2011 4/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable91.8690.4886.42100.00100.00100.00100.00100.00100.00
Average Period Return1.213.627.3615.2723.7132.8452.9775.9899.28
Average Gain1.594.368.9415.2723.7132.8452.9775.9899.28
Average Loss-3.05-3.40-2.66
Best Period10.9016.4221.5330.6546.8662.9194.28140.73144.29
Worst Period-6.46-5.84-4.071.483.243.6813.1038.6761.81
Standard Deviation1.973.495.7910.4414.7319.4528.0030.8426.04
Gain Standard Deviation1.442.694.4910.4414.7319.4528.0030.8426.04
Loss Standard Deviation2.212.060.99
Sharpe Ratio (1%)0.570.971.191.371.511.591.782.333.62
Average Gain / Average Loss0.521.283.36
Profit / Loss Ratio5.8912.1821.36
Downside Deviation (10%)1.151.561.941.370.761.790.61
Downside Deviation (5%)1.071.271.22
Downside Deviation (0%)1.051.211.04
Sortino Ratio (10%)0.701.532.527.4821.2612.6261.48
Sortino Ratio (5%)1.062.655.64
Sortino Ratio (0%)1.163.007.07

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.

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