Kelly Angle Inc. : Genesis Program

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
-3.34%
Min Investment
$ 2,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
33.11%
Sharpe (RFR=1%)
0.34
CAROR
7.23%
Assets
$ 19.7M
Worst DD
-59.73
S&P Correlation
-0.29

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
4/2000
Genesis Program -3.34 -11.13 - -13.72 -51.87 -26.87 16.00 261.66
S&P 500 3.03 7.25 - 16.39 45.64 75.89 123.86 97.72
+/- S&P 500 -6.37 -18.38 - -30.11 -97.50 -102.76 -107.86 163.94

Strategy Description

Summary

A long term trend following 'rules based' approach that offers a broadly diversified portfolio using markets traded in the major exchanges in Europe, North America and Pacific rim. Markets included in the portfolio include currency, commodity and financial instruments. Program is designed... 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
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
10%
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

A long term trend following 'rules based' approach that offers a broadly diversified portfolio using markets traded in the major exchanges in Europe, North America and Pacific rim. Markets included in the portfolio include currency, commodity and financial instruments. Program is designed for a maxium total return.

   

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
-59.73 43 - 1/1/2015 8/1/2018
-45.55 19 19 2/1/2003 9/1/2004
-42.28 16 6 4/1/2006 8/1/2007
-32.45 23 7 5/1/2012 4/1/2014
-28.60 4 5 10/1/2001 2/1/2002
-24.31 13 9 12/1/2008 1/1/2010
-24.02 4 3 3/1/2008 7/1/2008
-22.13 2 2 9/1/2002 11/1/2002
-20.27 4 3 3/1/2001 7/1/2001
-16.27 8 2 10/1/2010 6/1/2011
-12.98 1 7 9/1/2011 10/1/2011
-5.28 1 1 1/1/0001 4/1/2000
-2.58 1 1 6/1/2000 7/1/2000
-2.10 2 1 8/1/2000 10/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
102.93 5 5/1/2002 9/1/2002
89.07 7 9/1/2007 3/1/2008
81.12 3 10/1/2008 12/1/2008
75.78 7 7/1/2014 1/1/2015
68.78 5 11/1/2000 3/1/2001
60.83 3 12/1/2002 2/1/2003
50.73 3 7/1/2011 9/1/2011
35.62 4 10/1/2017 1/1/2018
30.70 3 8/1/2001 10/1/2001
29.61 3 1/1/2004 3/1/2004
28.31 4 1/1/2006 4/1/2006
26.56 5 4/1/2010 8/1/2010
25.58 3 4/1/2007 6/1/2007
22.15 3 10/1/2013 12/1/2013
21.53 2 10/1/2005 11/1/2005
20.23 2 5/1/2005 6/1/2005
18.17 2 4/1/2003 5/1/2003
18.17 2 10/1/2004 11/1/2004
15.68 2 1/1/2016 2/1/2016
15.24 1 11/1/2009 11/1/2009
14.67 3 7/1/2015 9/1/2015
13.64 1 5/1/2009 5/1/2009
12.70 3 12/1/2010 2/1/2011
12.44 1 5/1/2012 5/1/2012
10.87 1 3/1/2002 3/1/2002
9.00 1 3/1/2005 3/1/2005
8.45 2 5/1/2000 6/1/2000
7.80 1 11/1/2006 11/1/2006
7.27 4 12/1/2012 3/1/2013
6.98 1 5/1/2014 5/1/2014
6.85 2 1/1/2012 2/1/2012
6.76 1 11/1/2015 11/1/2015
6.51 1 5/1/2001 5/1/2001
6.22 1 5/1/2008 5/1/2008
6.21 1 8/1/2006 8/1/2006
5.77 1 8/1/2008 8/1/2008
5.40 1 10/1/2010 10/1/2010
5.24 2 6/1/2016 7/1/2016
5.17 2 7/1/2003 8/1/2003
4.91 1 2/1/2017 2/1/2017
4.17 1 4/1/2011 4/1/2011
4.16 2 8/1/2009 9/1/2009
4.09 1 2/1/2009 2/1/2009
3.99 1 8/1/2000 8/1/2000
3.31 1 7/1/2012 7/1/2012
3.04 1 3/1/2015 3/1/2015
2.68 1 4/1/2017 4/1/2017
2.16 1 2/1/2010 2/1/2010
2.00 1 11/1/2011 11/1/2011
1.87 1 5/1/2004 5/1/2004
1.30 2 7/1/2017 8/1/2017
0.19 1 12/1/2001 12/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.21 6 8/1/2016 1/1/2017
-33.33 7 2/1/2018 8/1/2018
-29.05 4 9/1/2003 12/1/2003
-27.65 4 12/1/2006 3/1/2007
-27.65 1 3/1/2003 3/1/2003
-23.82 3 4/1/2015 6/1/2015
-23.76 3 5/1/2006 7/1/2006
-23.05 2 7/1/2007 8/1/2007
-22.81 1 11/1/2001 11/1/2001
-22.13 2 10/1/2002 11/1/2002
-18.54 4 1/1/2014 4/1/2014
-18.27 4 8/1/2012 11/1/2012
-18.02 2 12/1/2009 1/1/2010
-17.07 4 6/1/2004 9/1/2004
-16.50 1 4/1/2008 4/1/2008
-16.06 3 3/1/2016 5/1/2016
-15.17 2 3/1/2009 4/1/2009
-14.33 2 6/1/2008 7/1/2008
-14.27 6 4/1/2013 9/1/2013
-13.61 1 4/1/2001 4/1/2001
-13.48 1 11/1/2010 11/1/2010
-13.37 2 6/1/2009 7/1/2009
-13.35 2 6/1/2001 7/1/2001
-13.33 1 4/1/2004 4/1/2004
-12.98 1 10/1/2011 10/1/2011
-12.85 2 5/1/2017 6/1/2017
-12.58 1 6/1/2012 6/1/2012
-12.49 1 3/1/2011 3/1/2011
-10.06 1 6/1/2003 6/1/2003
-8.59 1 12/1/2015 12/1/2015
-8.32 1 4/1/2002 4/1/2002
-7.67 2 1/1/2002 2/1/2002
-6.68 1 1/1/2009 1/1/2009
-5.91 3 12/1/2004 2/1/2005
-5.80 2 5/1/2011 6/1/2011
-5.41 2 9/1/2006 10/1/2006
-5.28 1 4/1/2005 4/1/2005
-5.28 1 4/1/2000 4/1/2000
-5.19 2 3/1/2012 4/1/2012
-5.19 1 10/1/2009 10/1/2009
-5.10 3 7/1/2005 9/1/2005
-5.06 1 3/1/2017 3/1/2017
-5.00 1 10/1/2015 10/1/2015
-4.57 1 9/1/2017 9/1/2017
-3.46 1 2/1/2015 2/1/2015
-3.30 1 12/1/2005 12/1/2005
-2.93 1 9/1/2010 9/1/2010
-2.58 1 7/1/2000 7/1/2000
-2.10 2 9/1/2000 10/1/2000
-1.19 1 9/1/2008 9/1/2008
-0.58 1 12/1/2011 12/1/2011
-0.18 1 6/1/2014 6/1/2014
-0.05 1 3/1/2010 3/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods221.00219.00216.00210.00204.00198.00186.00174.00162.00
Percent Profitable51.5850.6851.3954.7661.7667.1780.6582.1882.72
Average Period Return1.033.326.6012.9718.3224.7635.2250.4567.83
Average Gain8.0016.2124.4437.4042.5748.2448.6864.6486.23
Average Loss-6.40-9.94-12.27-16.60-20.85-23.28-20.84-14.97-20.25
Best Period38.4581.1286.04158.32164.15156.54179.48213.31205.82
Worst Period-27.65-29.43-37.21-43.58-49.92-49.40-51.87-34.86-34.79
Standard Deviation9.5618.4425.1534.8640.4944.7244.8053.5861.72
Gain Standard Deviation7.1517.0922.4728.0531.7734.1938.4548.4551.15
Loss Standard Deviation5.216.538.6211.5712.9116.0017.497.8010.20
Sharpe Ratio (1%)0.100.170.240.340.420.510.720.871.02
Average Gain / Average Loss1.251.631.992.252.042.072.344.324.26
Profit / Loss Ratio1.331.682.112.733.304.249.7319.9120.38
Downside Deviation (10%)5.969.0711.8916.4719.3321.3418.0316.7921.21
Downside Deviation (5%)5.788.4910.7214.1415.9417.1112.968.6711.34
Downside Deviation (0%)5.748.3410.4413.5915.1416.1411.907.109.39
Sortino Ratio (10%)0.100.230.350.480.550.681.081.721.90
Sortino Ratio (5%)0.160.360.570.851.051.332.485.355.53
Sortino Ratio (0%)0.180.400.630.951.211.532.967.107.22

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 9 8.82 7/2015
Diversified Trader Index Month 9 8.82 7/2015
Trend Following Strategy Index Month 10 8.82 7/2015
IASG CTA Index Month 1 20.49 11/2014
Trend Following Strategy Index Month 1 20.49 11/2014
Diversified Trader Index Month 1 20.49 11/2014
Systematic Trader Index Month 1 20.49 11/2014
Trend Following Strategy Index Month 4 6.98 5/2014
Systematic Trader Index Month 4 6.98 5/2014
Diversified Trader Index Month 5 6.98 5/2014
IASG CTA Index Month 7 6.98 5/2014
IASG CTA Index Month 6 8.08 12/2013
Systematic Trader Index Month 4 8.08 12/2013
Diversified Trader Index Month 3 8.08 12/2013
Trend Following Strategy Index Month 1 8.08 12/2013
Trend Following Strategy Index Month 6 8.02 10/2013
Systematic Trader Index Month 8 8.02 10/2013
Systematic Trader Index Month 9 11.89 9/2011
Trend Following Strategy Index Month 4 11.89 9/2011
Systematic Trader Index Month 4 17.22 8/2011
Trend Following Strategy Index Month 2 17.22 8/2011
IASG CTA Index Month 4 17.22 8/2011
Diversified Trader Index Month 2 17.22 8/2011
Diversified Trader Index Month 8 14.92 7/2011
Trend Following Strategy Index Month 7 14.92 7/2011
Systematic Trader Index Month 7 14.92 7/2011
IASG CTA Index Month 10 14.92 7/2011
Trend Following Strategy Index Month 6 4.00 1/2011
Trend Following Strategy Index Month 4 4.09 2/2009
Systematic Trader Index Month 8 4.09 2/2009
Diversified Trader Index Month 9 4.09 2/2009
IASG CTA Index 5 Year Rolling 8 194.21 2003 - 2008
IASG CTA Index Month 7 12.37 12/2008
Systematic Trader Index Month 5 12.37 12/2008
Diversified Trader Index Month 5 12.37 12/2008
IASG CTA Index Year Rolling 3 127.17 2007 - 2008
Trend Following Strategy Index Month 3 12.37 12/2008
IASG CTA Index Month 3 16.42 11/2008
Diversified Trader Index Month 3 16.42 11/2008
Systematic Trader Index Month 3 16.42 11/2008
Trend Following Strategy Index Month 1 16.42 11/2008
IASG CTA Index Month 4 38.45 10/2008
Trend Following Strategy Index Month 4 38.45 10/2008
Systematic Trader Index Month 4 38.45 10/2008
Diversified Trader Index Month 4 38.45 10/2008
Diversified Trader Index Month 3 30.48 1/2008
Systematic Trader Index Month 3 30.48 1/2008
IASG CTA Index Month 3 30.48 1/2008
Trend Following Strategy Index Month 2 30.48 1/2008
Trend Following Strategy Index Month 10 6.75 11/2007
Trend Following Strategy Index Month 1 12.30 6/2007
Systematic Trader Index Month 3 12.30 6/2007
Diversified Trader Index Month 3 12.30 6/2007
IASG CTA Index Month 4 12.30 6/2007
Trend Following Strategy Index Month 7 7.47 5/2007
Trend Following Strategy Index Month 7 7.80 11/2006
Diversified Trader Index Month 9 7.80 11/2006
Systematic Trader Index Month 8 7.80 11/2006
Diversified Trader Index Month 4 6.21 8/2006
Trend Following Strategy Index Month 4 6.21 8/2006
Systematic Trader Index Month 5 6.21 8/2006
IASG CTA Index Month 6 6.21 8/2006
Systematic Trader Index Month 9 10.69 3/2006
Trend Following Strategy Index Month 8 10.69 3/2006
IASG CTA Index Year Rolling 10 31.38 2004 - 2005
Diversified Trader Index Month 1 11.56 10/2005
Trend Following Strategy Index Month 1 11.56 10/2005
IASG CTA Index Month 1 11.56 10/2005
Systematic Trader Index Month 1 11.56 10/2005
Trend Following Strategy Index Month 9 6.86 6/2005
Trend Following Strategy Index Month 5 12.51 5/2005
Systematic Trader Index Month 5 12.51 5/2005
Diversified Trader Index Month 5 12.51 5/2005
IASG CTA Index Month 5 12.51 5/2005
Systematic Trader Index Month 2 9.00 3/2005
IASG CTA Index Month 2 9.00 3/2005
Trend Following Strategy Index Month 2 9.00 3/2005
Diversified Trader Index Month 2 9.00 3/2005
Diversified Trader Index Month 1 12.64 10/2004
IASG CTA Index Month 2 12.64 10/2004
Systematic Trader Index Month 2 12.64 10/2004
Trend Following Strategy Index Month 1 12.64 10/2004
Trend Following Strategy Index Month 4 7.55 3/2004
Systematic Trader Index Month 5 7.55 3/2004
Diversified Trader Index Month 6 7.55 3/2004
IASG CTA Index Month 10 7.55 3/2004
IASG CTA Index Month 5 18.88 2/2004
Trend Following Strategy Index Month 4 18.88 2/2004
Diversified Trader Index Month 4 18.88 2/2004
Systematic Trader Index Month 4 18.88 2/2004
Trend Following Strategy Index Month 5 4.47 8/2003
Systematic Trader Index Month 7 4.47 8/2003
Diversified Trader Index Month 10 16.98 5/2003
Diversified Trader Index Month 5 16.71 2/2003
Systematic Trader Index Month 4 16.71 2/2003
IASG CTA Index Month 5 16.71 2/2003
Trend Following Strategy Index Month 4 16.71 2/2003
IASG CTA Index Year Rolling 2 84.01 2001 - 2002
Trend Following Strategy Index Month 7 24.09 12/2002
IASG CTA Index Month 7 24.09 12/2002

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