Kingsview Management : STO - Stock Index System Aggressive

archived programs
Year-to-Date
N / A
Jan Performance
-10.66%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
32.58%
Sharpe (RFR=1%)
-1.74
CAROR
-
Assets
$ 321k
Worst DD
-62.62
S&P Correlation
0.45

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
9/2010
STO - Stock Index System Aggressive -10.66 - - - - - -58.77 -58.77
S&P 500 4.36 - - - - - 16.10 203.55
+/- S&P 500 -15.02 - - - - - -74.88 -262.32

Strategy Description

Summary

Kingsview Management’s Short Term Opportunity Program (STO) is a systematic, black box trading program. The strategy attempts to capture the volatility in the S&P 500 futures market. The strategy was first developed 25 years ago by Philip Schuck and Charles Lewis, but it has continued... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $14.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 24000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD 6.24%
Worst Peak-to-Trough -6.24%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Kingsview Management’s Short Term Opportunity Program (STO) is a systematic, black box trading program. The strategy attempts to capture the volatility in the S&P 500 futures market. The strategy was first developed 25 years ago by Philip Schuck and Charles Lewis, but it has continued to evolve as they make adjustments to factor in current market conditions. The program focuses on statistically based quantitative analysis rather than a qualitative analysis.

Investment Strategy

The program seeks to profit from daily movements of the S&P 500 E-Mini futures contract. The program is based on the quantitative research done by the analysts and is systematic and nondiscretionary. Trades are entered and exited based upon proprietary indicators that measure volatility and momentum in the market. S&P 500 E-Mini futures positions will be either long or short and will not be held overnight. In addition to positions in the S&P E-Mini futures contract, the Advisor will at times purchase out of the money S&P 500 E-Mini futures put options.

Risk Management

Risk Management is the main priority of this system. Trades are placed on a daily basis and are never held overnight. Pre-defined loss limits are established prior to entering trades. Stop loss orders, which are intended to limit losses to certain amounts, may not be effective because market conditions may make it impossible to execute such orders.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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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
-62.62 10 - 3/1/2011 1/1/2012
-6.24 1 1 1/1/0001 9/1/2010
-2.44 1 1 10/1/2010 11/1/2010
-0.39 1 1 1/1/2011 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
9.47 1 10/1/2011 10/1/2011
9.06 1 10/1/2010 10/1/2010
7.40 2 12/1/2010 1/1/2011
3.36 1 3/1/2011 3/1/2011
2.61 1 7/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.30 3 4/1/2011 6/1/2011
-31.99 3 11/1/2011 1/1/2012
-20.70 2 8/1/2011 9/1/2011
-6.24 1 9/1/2010 9/1/2010
-2.44 1 11/1/2010 11/1/2010
-0.39 1 2/1/2011 2/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable35.2926.6716.67
Average Period Return-4.63-12.36-25.49
Average Gain5.307.1912.18
Average Loss-10.04-19.47-33.02
Best Period9.4711.6017.65
Worst Period-24.84-38.30-49.80
Standard Deviation9.4015.8021.06
Gain Standard Deviation3.203.087.73
Loss Standard Deviation6.7111.7612.53
Sharpe Ratio (1%)-0.50-0.80-1.23
Average Gain / Average Loss0.530.370.37
Profit / Loss Ratio0.290.130.07
Downside Deviation (10%)9.8620.1634.17
Downside Deviation (5%)9.6419.4332.47
Downside Deviation (0%)9.5819.2432.04
Sortino Ratio (10%)-0.51-0.67-0.82
Sortino Ratio (5%)-0.49-0.65-0.80
Sortino Ratio (0%)-0.48-0.64-0.80

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.