Kingsview Management : Targeted Volatility Program

archived programs
Year-to-Date
N / A
Jul Performance
-2.59%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
20.32%
Sharpe (RFR=1%)
0.22
CAROR
3.52%
Assets
$ 148k
Worst DD
-20.75
S&P Correlation
-0.48

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2010
Targeted Volatility Program -2.59 - - - - - -12.35 8.40
S&P 500 1.26 - - - - - 51.28 180.46
+/- S&P 500 -3.85 - - - - - -63.63 -172.06

Strategy Description

Investment Strategy

The Targeted Volatility “TVP” strategy seeks opportunistic trades to take advantage of movements in market volatility. Options in the futures markets are utilized as the vehicle in which this is done and the Advisor will take long or short positions, thus taking a... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
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 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD 2.65%
Worst Peak-to-Trough -2.65%
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 50.00%
Systematic 50.00%

Strategy

Composition

Investment Strategy

The Targeted Volatility “TVP” strategy seeks opportunistic trades to take advantage of movements in market volatility. Options in the futures markets are utilized as the vehicle in which this is done and the Advisor will take long or short positions, thus taking a directional stance on volatility movements in certain markets. As events in the market lead to abnormal volatility, high or low, the trading will mostly be centered around, but not limited to, our belief that volatility reverts to historic mean levels. In formulating these options strategies, the Advisor may utilize a variety of options, including, but not limited to, options on: any price, index, spread or other financial indicator or any combination thereof, such as the price or value of an equity security, equity index or futures contract, the price or value appreciation or depreciation of a basket of securities and/or indices, or any other market selected by the Advisor. Option strategies may include, but will not be limited to, investments in call and put options, option spreads, and other option combinations. These option strategies are briefly described below. These options strategies are intended to provide issuer market capitalization and market diversification. The funds deposited in the futures trading accounts to margin futures positions on U.S. exchanges are required to be segregated pursuant to Section 4d(2) of the Commodity Exchange Act as amended (the CEA) and Commodities Futures Trading Commission (“CFTC”) rules there under, under which requirement the custodian may invest customer funds only in certain government securities and may not commingle customer funds with the custodian’s funds.

Risk Management

Risk management is a main priority of the Advisor. The Advisor actively manages the level of risk in its portfolio through the buying and selling of options with different expiration dates and strike prices. Risk is also managed by appropriately sizing positions in the portfolio and diversifying amongst different trading positions. The Advisor’s risk management may also include the realizing of losses to minimize or reduce risk, and the rolling of options positions to other strikes and/or expiration dates. The Advisor may purchase or sell futures contracts on occasion as part of a protective strategy. The Advisor may purchase U.S. Treasury Securities with funds on deposit with the FCM for the purpose of earning interest on those funds. However, like any security, the value of the Treasury securities can fluctuate in value and result in a loss if they must be sold to meet margin requirements.

   

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:
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Average Gain:
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.75 7 - 3/1/2011 10/1/2011
-2.65 1 1 1/1/0001 4/1/2010
-1.96 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
31.06 8 5/1/2010 12/1/2010
13.72 3 11/1/2011 1/1/2012
5.17 1 9/1/2011 9/1/2011
5.13 2 6/1/2011 7/1/2011
4.25 2 2/1/2011 3/1/2011
4.10 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.69 1 10/1/2011 10/1/2011
-7.33 3 5/1/2012 7/1/2012
-5.53 2 4/1/2011 5/1/2011
-5.53 1 8/1/2011 8/1/2011
-4.38 2 2/1/2012 3/1/2012
-2.65 1 4/1/2010 4/1/2010
-1.96 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable60.7157.6952.1735.2918.18
Average Period Return0.461.190.92-1.37-2.52
Average Gain3.546.008.7514.6817.42
Average Loss-4.31-5.37-7.62-10.13-6.95
Best Period16.9124.3928.4630.4128.68
Worst Period-19.69-20.21-17.67-17.36-13.34
Standard Deviation5.868.6311.0214.4211.78
Gain Standard Deviation3.916.989.0311.7615.93
Loss Standard Deviation5.216.014.864.984.49
Sharpe Ratio (1%)0.060.110.04-0.16-0.34
Average Gain / Average Loss0.821.121.151.452.50
Profit / Loss Ratio1.271.521.250.790.56
Downside Deviation (10%)4.295.697.7112.7513.71
Downside Deviation (5%)4.165.226.479.738.56
Downside Deviation (0%)4.125.116.179.007.36
Sortino Ratio (10%)0.01-0.01-0.20-0.50-0.74
Sortino Ratio (5%)0.090.180.06-0.24-0.47
Sortino Ratio (0%)0.110.230.15-0.15-0.34

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.