Keck Capital Management LLC : The Keck Program

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
12.81%
Min Investment
$ 2,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
29.97%
Sharpe (RFR=1%)
0.38
CAROR
8.31%
Assets
$ 22.0M
Worst DD
-60.74
S&P Correlation
-0.15

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
12/2003
The Keck Program 12.81 9.39 - -17.81 -42.13 -11.77 76.33 224.43
S&P 500 3.03 7.25 - 16.39 45.64 75.89 123.86 158.27
+/- S&P 500 9.78 2.14 - -34.20 -87.77 -87.66 -47.54 66.16

Strategy Description

Summary

-DESCRIPTION OF THE ADVISOR'S TRADING PROGRAM: The Advisor's trading program would be classified as both systematic and long term trend following. A distinct difference between this program compared to other long term trading following programs is that at times the Advisor's program... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
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
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

-DESCRIPTION OF THE ADVISOR'S TRADING PROGRAM: The Advisor's trading program would be classified as both systematic and long term trend following. A distinct difference between this program compared to other long term trading following programs is that at times the Advisor's program will avoid taking positions in markets that are determined to be trading sideways or trading in a direction that is counter to the major trend as defined by the program's criteria. The portfolio would be defined as broadly diversified among a variety of market complexes available for trading in the major futures exchanges through out the world. A). ENTRY STRATEGY: The entry strategy used in the Advisor's Program attempts to enter a market in the direction of the major trend (defined mathematically by the Advisor) with the objective of accumulating time in a profitable price move. Holding time for profitable positions can last as long as a single calendar year. B). EXIT STRATEGY: The exit strategy used in the Advisor's Program attempts to hold on to a position for as long as the price trend (as mathematically defined by the Advisor) enables a profitable result or a losing result that is within the risk parameters of the trading program. Typical holding time for a losing position is from a few days to a few weeks. C). MARKETS INCLUDED IN THE PORTFOLIO: The Advisor would deem the portfolio as broadly diversified among many types of market complexes. Those markets of consideration in the US futures exchanges might include: UST-Bonds, T-Notes, Muni Bonds, T-Bills, Eurodollars, British Pound, Swiss Franc, D-Mark, Japanese Yen, Canadian Dollar, Crude Oil, Heating Oil, Unleaded Gas, Gold, Silver, Copper, Platinum, Corn, Soybeans, Wheat, Natural Gas, Live Cattle, Live Hogs, Pork Bellies, Coffee, Orange Juice, Cocoa, Sugar, Cotton. Markets traded in non-US exchanges in London, Paris, and Tokyo are considered as well.

   

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
-60.74 25 - 6/1/2016 7/1/2018
-29.25 6 2 2/1/2008 8/1/2008
-28.98 2 6 6/1/2007 8/1/2007
-28.49 13 11 3/1/2004 4/1/2005
-26.84 20 18 9/1/2011 5/1/2013
-25.06 2 8 11/1/2009 1/1/2010
-17.13 3 5 3/1/2015 6/1/2015
-13.48 2 5 6/1/2006 8/1/2006
-12.67 1 3 1/1/2007 2/1/2007
-11.67 4 3 2/1/2009 6/1/2009
-11.02 3 1 2/1/2016 5/1/2016
-10.90 2 2 4/1/2011 6/1/2011
-9.34 1 1 9/1/2009 10/1/2009
-7.72 1 1 11/1/2015 12/1/2015
-1.90 1 1 12/1/2010 1/1/2011
-1.71 1 1 1/1/2015 2/1/2015
-1.49 1 1 10/1/2010 11/1/2010
-0.68 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
62.94 6 9/1/2008 2/1/2009
51.92 4 12/1/2003 3/1/2004
41.55 2 1/1/2008 2/1/2008
37.76 4 3/1/2007 6/1/2007
35.90 5 5/1/2005 9/1/2005
33.83 3 7/1/2011 9/1/2011
32.76 3 9/1/2013 11/1/2013
31.98 3 11/1/2014 1/1/2015
30.81 6 1/1/2006 6/1/2006
22.43 5 9/1/2006 1/1/2007
21.67 2 9/1/2007 10/1/2007
19.79 3 8/1/2010 10/1/2010
19.17 2 8/1/2014 9/1/2014
19.06 2 1/1/2016 2/1/2016
18.76 3 9/1/2004 11/1/2004
18.17 3 7/1/2009 9/1/2009
17.01 1 11/1/2015 11/1/2015
13.57 1 1/1/2018 1/1/2018
13.17 1 3/1/2005 3/1/2005
13.15 1 6/1/2016 6/1/2016
13.01 2 5/1/2010 6/1/2010
12.81 1 8/1/2018 8/1/2018
12.70 2 1/1/2012 2/1/2012
12.42 1 11/1/2009 11/1/2009
11.91 1 2/1/2014 2/1/2014
9.84 1 4/1/2011 4/1/2011
9.48 1 2/1/2011 2/1/2011
8.96 1 9/1/2015 9/1/2015
8.62 2 12/1/2012 1/1/2013
8.05 1 11/1/2005 11/1/2005
7.99 2 2/1/2010 3/1/2010
6.94 1 7/1/2004 7/1/2004
6.55 2 4/1/2012 5/1/2012
6.24 1 7/1/2012 7/1/2012
5.79 1 3/1/2015 3/1/2015
5.65 1 7/1/2015 7/1/2015
4.90 1 11/1/2011 11/1/2011
4.88 1 12/1/2010 12/1/2010
4.45 1 5/1/2015 5/1/2015
4.40 1 5/1/2014 5/1/2014
3.66 2 11/1/2016 12/1/2016
3.40 1 6/1/2018 6/1/2018
3.11 2 6/1/2013 7/1/2013
2.93 1 9/1/2012 9/1/2012
2.66 1 4/1/2018 4/1/2018
2.10 1 4/1/2013 4/1/2013
0.90 1 4/1/2017 4/1/2017
0.77 2 5/1/2008 6/1/2008
0.57 1 9/1/2016 9/1/2016
0.47 1 2/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-43.07 8 5/1/2017 12/1/2017
-28.98 2 7/1/2007 8/1/2007
-25.58 3 4/1/2004 6/1/2004
-25.06 2 12/1/2009 1/1/2010
-24.21 2 3/1/2008 4/1/2008
-17.73 1 6/1/2012 6/1/2012
-17.52 1 10/1/2011 10/1/2011
-16.88 3 12/1/2004 2/1/2005
-15.20 1 6/1/2015 6/1/2015
-13.48 2 7/1/2006 8/1/2006
-13.06 1 4/1/2005 4/1/2005
-12.90 2 3/1/2014 4/1/2014
-12.67 1 2/1/2007 2/1/2007
-12.35 2 12/1/2013 1/1/2014
-11.98 1 10/1/2005 10/1/2005
-11.67 4 3/1/2009 6/1/2009
-11.02 3 3/1/2016 5/1/2016
-10.90 2 5/1/2011 6/1/2011
-10.29 1 5/1/2013 5/1/2013
-9.80 1 10/1/2016 10/1/2016
-9.34 1 10/1/2009 10/1/2009
-9.29 1 1/1/2017 1/1/2017
-9.19 1 5/1/2018 5/1/2018
-8.77 2 2/1/2018 3/1/2018
-8.22 2 6/1/2014 7/1/2014
-8.20 2 10/1/2012 11/1/2012
-7.95 1 3/1/2017 3/1/2017
-7.72 1 12/1/2015 12/1/2015
-7.50 2 7/1/2016 8/1/2016
-7.49 1 8/1/2004 8/1/2004
-7.36 2 7/1/2008 8/1/2008
-7.35 1 10/1/2015 10/1/2015
-6.59 2 11/1/2007 12/1/2007
-6.44 1 4/1/2015 4/1/2015
-6.22 1 7/1/2018 7/1/2018
-6.18 2 2/1/2013 3/1/2013
-5.09 1 3/1/2012 3/1/2012
-3.60 1 8/1/2012 8/1/2012
-2.74 1 12/1/2005 12/1/2005
-1.90 1 1/1/2011 1/1/2011
-1.71 1 2/1/2015 2/1/2015
-1.56 1 4/1/2010 4/1/2010
-1.49 1 11/1/2010 11/1/2010
-1.45 1 8/1/2015 8/1/2015
-0.94 1 7/1/2010 7/1/2010
-0.89 1 8/1/2013 8/1/2013
-0.68 1 3/1/2011 3/1/2011
-0.59 1 10/1/2014 10/1/2014
-0.16 1 12/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods177.00175.00172.00166.00160.00154.00142.00130.00118.00
Percent Profitable55.3752.5752.9172.2977.5079.2288.7390.7788.14
Average Period Return1.042.805.0210.6518.3426.9745.6165.8089.30
Average Gain7.0913.6119.4423.2231.1341.0755.6975.18103.49
Average Loss-6.48-9.18-11.18-22.13-25.73-26.80-33.82-26.44-16.18
Best Period32.7456.3462.9462.3390.5594.03152.96187.92212.57
Worst Period-23.71-26.91-38.97-51.81-58.08-60.51-53.29-32.92-25.80
Standard Deviation8.6514.7819.4425.7531.4935.4340.6646.3557.45
Gain Standard Deviation5.6311.3513.9416.2620.6222.5530.2337.4645.05
Loss Standard Deviation5.116.659.3014.5920.8021.0818.516.455.99
Sharpe Ratio (1%)0.110.170.230.370.530.701.051.331.47
Average Gain / Average Loss1.101.481.741.051.211.531.652.846.40
Profit / Loss Ratio1.361.641.952.744.175.8412.9727.9547.52
Downside Deviation (10%)5.728.5011.3216.1918.6319.4017.8014.8115.47
Downside Deviation (5%)5.547.9310.2214.3516.1716.1813.769.467.59
Downside Deviation (0%)5.507.799.9613.9115.6115.4512.858.255.92
Sortino Ratio (10%)0.110.180.230.350.580.861.682.993.99
Sortino Ratio (5%)0.170.320.440.671.041.543.096.5311.09
Sortino Ratio (0%)0.190.360.500.771.171.753.557.9815.09

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 3 8.96 9/2015
Trend Following Strategy Index Month 4 8.96 9/2015
Diversified Trader Index Month 5 8.96 9/2015
IASG CTA Index Month 6 8.96 9/2015
Trend Following Strategy Index Month 6 4.45 5/2015
Diversified Trader Index Month 7 4.45 5/2015
Systematic Trader Index Month 8 4.45 5/2015
IASG CTA Index 5 Year Rolling 8 137.48 2009 - 2014
Trend Following Strategy Index Month 8 10.15 12/2014
IASG CTA Index Month 3 16.57 8/2014
Diversified Trader Index Month 1 16.57 8/2014
Trend Following Strategy Index Month 2 16.57 8/2014
Systematic Trader Index Month 2 16.57 8/2014
Systematic Trader Index Month 4 11.91 2/2014
Trend Following Strategy Index Month 3 11.91 2/2014
IASG CTA Index Month 6 11.91 2/2014
Diversified Trader Index Month 6 11.91 2/2014
IASG CTA Index Month 6 10.01 11/2013
Diversified Trader Index Month 5 10.01 11/2013
Trend Following Strategy Index Month 5 10.01 11/2013
Systematic Trader Index Month 5 10.01 11/2013
Diversified Trader Index Month 4 15.74 10/2013
Systematic Trader Index Month 2 15.74 10/2013
IASG CTA Index Month 3 15.74 10/2013
Trend Following Strategy Index Month 2 15.74 10/2013
Trend Following Strategy Index Month 5 4.27 9/2013
Diversified Trader Index Month 9 4.27 9/2013
Trend Following Strategy Index Month 7 7.34 12/2012
Diversified Trader Index Month 7 7.34 12/2012
IASG CTA Index Month 8 7.34 12/2012
Systematic Trader Index Month 8 7.34 12/2012
Trend Following Strategy Index Month 10 2.93 9/2012
Trend Following Strategy Index Month 7 9.16 1/2012
Trend Following Strategy Index Month 10 13.76 8/2011
Diversified Trader Index Month 9 13.76 8/2011
Diversified Trader Index Month 9 9.48 2/2011
Systematic Trader Index Month 9 9.48 2/2011
Trend Following Strategy Index Month 8 9.48 2/2011
Trend Following Strategy Index Month 6 6.59 6/2010
Trend Following Strategy Index Month 6 6.90 2/2010
Systematic Trader Index Month 8 7.84 9/2009
Trend Following Strategy Index Month 7 7.84 9/2009
Diversified Trader Index Month 10 7.84 9/2009
Systematic Trader Index Month 9 32.74 10/2008
IASG CTA Index Month 9 32.74 10/2008
Trend Following Strategy Index Month 9 32.74 10/2008
Diversified Trader Index Month 9 32.74 10/2008
Trend Following Strategy Index Month 9 10.26 9/2008
Systematic Trader Index Month 9 18.94 1/2008
IASG CTA Index Month 9 18.94 1/2008
Diversified Trader Index Month 9 18.94 1/2008
Trend Following Strategy Index Month 7 18.94 1/2008
Systematic Trader Index Month 8 20.64 9/2007
Trend Following Strategy Index Month 8 20.64 9/2007
IASG CTA Index Month 10 20.64 9/2007
Diversified Trader Index Month 10 20.64 9/2007
Systematic Trader Index Month 9 7.72 6/2007
Diversified Trader Index Month 8 7.72 6/2007
Trend Following Strategy Index Month 6 7.72 6/2007
Systematic Trader Index Month 2 12.98 5/2007
Diversified Trader Index Month 2 12.98 5/2007
IASG CTA Index Month 3 12.98 5/2007
Trend Following Strategy Index Month 1 12.98 5/2007
Trend Following Strategy Index Month 3 3.29 3/2007
Diversified Trader Index Month 7 3.29 3/2007
Systematic Trader Index Month 9 3.29 3/2007
IASG CTA Index Month 5 10.04 1/2007
Systematic Trader Index Month 3 10.04 1/2007
Diversified Trader Index Month 2 10.04 1/2007
Trend Following Strategy Index Month 2 10.04 1/2007
Trend Following Strategy Index Month 4 2.39 6/2006
Diversified Trader Index Month 5 2.39 6/2006
Systematic Trader Index Month 10 2.39 6/2006
IASG CTA Index Month 10 3.20 2/2006
Systematic Trader Index Month 5 3.20 2/2006
Diversified Trader Index Month 4 3.20 2/2006
Trend Following Strategy Index Month 2 3.20 2/2006
Diversified Trader Index Month 1 14.05 6/2005
Trend Following Strategy Index Month 1 14.05 6/2005
Systematic Trader Index Month 2 14.05 6/2005
IASG CTA Index Month 3 14.05 6/2005
IASG CTA Index Month 10 10.02 5/2005
Diversified Trader Index Month 9 10.02 5/2005
Systematic Trader Index Month 10 10.02 5/2005
Trend Following Strategy Index Month 10 10.02 5/2005
Systematic Trader Index Month 1 13.17 3/2005
Diversified Trader Index Month 1 13.17 3/2005
Trend Following Strategy Index Month 1 13.17 3/2005
IASG CTA Index Month 1 13.17 3/2005
Trend Following Strategy Index Month 10 -1.69 1/2005
Systematic Trader Index Month 4 6.94 7/2004
Diversified Trader Index Month 3 6.94 7/2004
Trend Following Strategy Index Month 3 6.94 7/2004
IASG CTA Index Month 5 6.94 7/2004
IASG CTA Index Month 6 9.64 3/2004
Diversified Trader Index Month 3 9.64 3/2004
Systematic Trader Index Month 3 9.64 3/2004
Trend Following Strategy Index Month 2 9.64 3/2004
Diversified Trader Index Month 3 18.97 2/2004
IASG CTA Index Month 4 18.97 2/2004

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