K4 Capital Management : MVS Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2004 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 SummaryMVS 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% Composition Currency Futures 40.00% Stock Indices 30.00% Other 30.00% SummaryMVS 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel