Kaiser Trading Group : Kaiser Trading Fund 2X SPC - Share Class B

Year-to-Date
12.84%
Oct Performance
-0.37%
Min Investment
$ 1,000k
Mgmt. Fee
3.00%
Perf. Fee
20.00%
Annualized Vol
13.60%
Sharpe (RFR=1%)
0.18
CAROR
2.52%
Assets
$ 86.0M
Worst DD
-24.74
S&P Correlation
-0.07

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2006
Kaiser Trading Fund 2X SPC - Share Class B -0.37 4.14 12.84 18.89 7.54 1.88 3.44 38.42
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 118.16
+/- S&P 500 -2.41 2.22 -8.32 6.88 -33.87 -47.11 -186.68 -79.74

Strategy Description

Summary

The Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset approach utilizing advanced computer modelling. ... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
3.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2100 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
10.59%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Summary

The Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset approach utilizing advanced computer modelling.

Investment Strategy

The principle of the investment thesis is using pattern recognition to make short-term directional trades. The concepts are derived from discretionary technical trading decisions based on patterns in price action. Examples of a trading concept include a low volatility breakout, mean reversion to a trend or fading an extended move. Then look to systematize and quantitatively test our intuitive discretionary understanding of markets. The market conditions are defined through indicators, which are used to create the entry and exit criteria for a model. Fundamental to Kaiser Trading Group’s research philosophy is the concept of market regimes. They provide a multi-resolution understanding of the underlying time series in order to provide specific context when taking trades, and are defined across multiple time resolutions to indicate whether a market is directional or corrective in nature.

Risk Management

Each concept is then thoroughly back-tested over an extended period of time to gauge robustness across markets and over varying conditions. A model is the product of a concept, defined through a unique combination of entry and exit rules. All models aim to provide consistent returns across all markets, time series and market conditions. The program is then made up of a set of models, markets and risk allocation methodology. The Program is not built around the concept of net long or short positions in a market. It applies each model independently over all markets. Although this may result in different models taking opposing trades in the same market, the idea is that over time, models with low correlation together provide superior risk-adjusted returns. For instance, the program could have a long position in a longer term trend model and enter a short position in a shorter-term countertrend model. The focus is on controlling drawdown risk rather than targeting a certain level of volatility in returns.

   

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
-24.74 10 - 1/1/2018 11/1/2018
-17.74 31 4 2/1/2015 9/1/2017
-16.42 11 9 5/1/2013 4/1/2014
-13.66 11 40 2/1/2009 1/1/2010
-8.03 4 2 11/1/2006 3/1/2007
-2.58 2 2 7/1/2008 9/1/2008
-1.54 1 1 3/1/2008 4/1/2008
-0.54 1 1 1/1/0001 10/1/2006
-0.23 1 1 5/1/2007 6/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
23.91 9 7/1/2007 3/1/2008
20.45 3 6/1/2019 8/1/2019
15.44 3 12/1/2015 2/1/2016
13.89 3 3/1/2013 5/1/2013
13.82 1 1/1/2018 1/1/2018
13.77 2 4/1/2012 5/1/2012
13.65 2 8/1/2014 9/1/2014
10.88 3 4/1/2010 6/1/2010
9.55 5 10/1/2008 2/1/2009
9.53 2 10/1/2017 11/1/2017
8.78 2 4/1/2007 5/1/2007
6.93 2 1/1/2015 2/1/2015
6.50 2 11/1/2016 12/1/2016
6.48 2 3/1/2019 4/1/2019
6.09 1 12/1/2018 12/1/2018
5.31 1 11/1/2006 11/1/2006
5.30 1 11/1/2014 11/1/2014
5.00 3 5/1/2008 7/1/2008
4.93 1 5/1/2017 5/1/2017
4.89 3 10/1/2013 12/1/2013
4.70 1 1/1/2013 1/1/2013
3.89 1 5/1/2009 5/1/2009
3.58 1 8/1/2010 8/1/2010
3.47 1 9/1/2015 9/1/2015
3.33 2 2/1/2017 3/1/2017
3.29 1 8/1/2018 8/1/2018
3.26 1 2/1/2010 2/1/2010
3.15 2 8/1/2009 9/1/2009
3.12 2 5/1/2014 6/1/2014
2.94 1 2/1/2011 2/1/2011
2.79 1 10/1/2010 10/1/2010
2.79 2 6/1/2016 7/1/2016
2.60 1 7/1/2017 7/1/2017
2.56 2 8/1/2011 9/1/2011
2.05 1 11/1/2009 11/1/2009
1.92 1 4/1/2011 4/1/2011
1.79 1 1/1/2007 1/1/2007
1.43 1 6/1/2011 6/1/2011
0.99 1 5/1/2018 5/1/2018
0.98 1 2/1/2012 2/1/2012
0.87 1 12/1/2010 12/1/2010
0.85 1 12/1/2011 12/1/2011
0.65 1 7/1/2013 7/1/2013
0.59 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.73 4 1/1/2014 4/1/2014
-15.53 6 3/1/2015 8/1/2015
-14.06 3 2/1/2018 4/1/2018
-12.53 3 9/1/2018 11/1/2018
-11.55 2 8/1/2017 9/1/2017
-9.63 2 12/1/2009 1/1/2010
-9.15 3 8/1/2016 10/1/2016
-8.85 2 10/1/2011 11/1/2011
-8.39 5 8/1/2012 12/1/2012
-7.08 3 3/1/2016 5/1/2016
-6.73 2 2/1/2007 3/1/2007
-6.23 2 9/1/2019 10/1/2019
-5.46 2 3/1/2009 4/1/2009
-5.34 2 1/1/2019 2/1/2019
-4.74 1 1/1/2017 1/1/2017
-4.14 1 10/1/2009 10/1/2009
-4.02 2 6/1/2018 7/1/2018
-3.98 1 6/1/2012 6/1/2012
-3.59 2 6/1/2009 7/1/2009
-3.28 1 3/1/2012 3/1/2012
-3.21 1 6/1/2013 6/1/2013
-3.21 1 1/1/2011 1/1/2011
-3.13 1 12/1/2006 12/1/2006
-3.09 1 5/1/2011 5/1/2011
-3.02 1 10/1/2014 10/1/2014
-2.98 2 10/1/2015 11/1/2015
-2.94 2 8/1/2013 9/1/2013
-2.93 1 3/1/2011 3/1/2011
-2.89 1 6/1/2017 6/1/2017
-2.70 1 7/1/2010 7/1/2010
-2.58 2 8/1/2008 9/1/2008
-2.32 1 2/1/2013 2/1/2013
-1.60 1 11/1/2010 11/1/2010
-1.54 1 4/1/2008 4/1/2008
-1.35 1 9/1/2010 9/1/2010
-1.30 1 7/1/2014 7/1/2014
-1.19 1 1/1/2012 1/1/2012
-1.17 1 3/1/2010 3/1/2010
-1.14 1 12/1/2017 12/1/2017
-1.04 1 7/1/2011 7/1/2011
-0.93 1 12/1/2014 12/1/2014
-0.88 1 5/1/2019 5/1/2019
-0.54 1 10/1/2006 10/1/2006
-0.23 1 6/1/2007 6/1/2007
-0.09 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable50.9656.1355.2652.7453.5750.0057.3861.8267.35
Average Period Return0.280.831.482.222.663.113.183.974.36
Average Gain3.215.127.739.5610.1012.0810.7810.939.95
Average Loss-2.76-4.64-6.24-5.98-5.92-5.85-7.04-7.28-7.16
Best Period13.8220.4527.1334.4835.4443.4139.5943.4839.30
Worst Period-10.59-15.26-16.70-24.14-18.26-13.45-21.73-23.38-19.04
Standard Deviation3.936.138.5010.1111.1512.3912.2013.6311.79
Gain Standard Deviation2.813.925.447.709.8211.4710.4812.319.81
Loss Standard Deviation2.253.534.094.754.353.794.356.055.42
Sharpe Ratio (1%)0.050.100.120.120.100.090.01-0.01-0.06
Average Gain / Average Loss1.161.101.241.601.712.061.531.501.39
Profit / Loss Ratio1.211.411.531.791.972.062.062.432.87
Downside Deviation (10%)2.714.536.458.309.9812.2116.8721.6526.01
Downside Deviation (5%)2.533.995.275.795.856.177.208.017.81
Downside Deviation (0%)2.483.854.985.234.994.925.395.825.10
Sortino Ratio (10%)-0.05-0.09-0.15-0.34-0.49-0.58-0.75-0.81-0.89
Sortino Ratio (5%)0.080.150.190.210.200.180.02-0.01-0.09
Sortino Ratio (0%)0.110.220.300.420.530.630.590.680.85

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 10.15 5/2013
IASG CTA Index Month 3 10.15 5/2013
Diversified Trader Index Month 3 10.15 5/2013
Diversified Trader Index Month 10 3.12 8/2007

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