KMJ Capital LLC : Capital Currency Program

archived programs
Year-to-Date
N / A
Jan Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
17.19%
Sharpe (RFR=1%)
0.82
CAROR
14.74%
Assets
$ 0k
Worst DD
-13.28
S&P Correlation
0.03

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
8/1994
Capital Currency Program 0.00 - - - 0.00 - 30.37 2,184.87
S&P 500 5.62 - - - 40.12 - 102.74 580.63
+/- S&P 500 -5.62 - - - -40.12 - -72.37 1,604.24

Strategy Description

Summary

Trades at in the G7 currencies only. EUR, GBP, JPY, CAD, CHF, AUD, NZD.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 4.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 950 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 13.21%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

Trades at in the G7 currencies only. EUR, GBP, JPY, CAD, CHF, AUD, NZD.

Investment Strategy

KMJ Capital’s Currency Program trades the G-7 currency universe. The trading system is short to medium-term. Trading is directional, employing counter-trend and/or mean-reverting strategies, with the portfolio taking positions only in those currencies where opportunities are present. The portfolio manager, Ken Jakubzak, utilizes both fundamental and technical analysis in generating ideas, with the fundamental picture overlaying the technical analysis. The trades are mostly shorter-term in nature, with approximately 90% of all trades held between 1-12 days, and the other 10% maintaining a longer time-frame. Longer-term trading will occur if a larger move is caught by Mr. Jakubzak, with those larger moves averaging 5-12 weeks or more. Mr. Jakubzak’s research efforts are primarily allocated to conducting technical pattern recognition and a fundamental analysis of the G7 currency markets. The fundamental inputs include: Central Bank policy and action, global and regional economic outlooks, capital flows from governmental reports, financial and geopolitical events affecting market sentiment, and general market sentiment indicators. Mr. Jakubzak also relies on several outside publications that provide opinions on macro-economic trends and specific currency research. Regarding technical analysis, the manager analyzes chart patterns across multiple time frames, whereby shorter-term patterns are evaluated over 8-12 days, and longer-term patterns over 8-13 weeks. The manager seeks to identify evolving patterns, then overlapping the results in order to generate trading signals. Indicators include the overbought / oversold index, momentum indicators- both short and long-term, market sentiment, retracement levels, relative-strength indicators that the manager expects will reflect key economic releases and/or geopolitical events, and time/price/volatility levels. A position is initiated when both the technical and discretionary macroeconomic indicators are positive. Once the position is entered, it is immediately followed by a stop-loss order to protect against risk of loss. Trailing stops are continuously adjusted as profits are accrued. The system will take neutral positions when prudent. During neutral periods, the manager conducts much of the research and analysis required to gain an accurate perspective of current and forward-looking macro-economic conditions.

The program is limited to the most liquid currency markets and currently trades G7currencies (cash and futures): Japanese Yen, British Pound, Euro, Swiss Franc, Canadian Dollar, New Zealand Dollar, and Australian Dollar

Risk Management

Before placing a trade, the manager primarily uses technical analysis to identify a critical price point at which to place a stop loss. These stop loss orders may be triggered by time lapse, price, and volatility, and they are maintained on all positions at all times while the portfolio is exposed. Initially these stops are placed tightly, generally within 30 to 60 basis points of total portfolio equity. As positions become increasingly profitable, trailing stops are used to lock in profits.

The manager determines position sizing as a function of recent market volatility. As markets become more volatile, position sizes are reduced. Positions are significantly reduced in drawdowns to decrease the likelihood of further losses. If the program is down a predetermined percentage for the year, generally around 7%, the manager reduces the number of positions as well as the number of outstanding trades. This level of risk management occurs until the program becomes profitable once again. Margin-to-equity is 4%-5% on average, and can, yet rarely, achieve 9%-11%.

   

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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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
-13.28 13 19 4/1/1996 5/1/1997
-12.27 17 2 8/1/2002 1/1/2004
-11.80 2 1 1/1/0001 9/1/1994
-10.62 13 1 3/1/2001 4/1/2002
-8.88 35 13 7/1/2008 6/1/2011
-8.88 20 3 8/1/2004 4/1/2006
-6.59 8 2 11/1/1999 7/1/2000
-4.08 17 4 1/1/2013 6/1/2014
-1.66 2 2 9/1/2012 11/1/2012
-1.21 1 2 12/1/2007 1/1/2008
-1.21 5 - 10/1/2014 3/1/2015
-0.99 2 2 9/1/1995 11/1/1995
-0.95 2 2 4/1/2007 6/1/2007
-0.73 1 1 8/1/1999 9/1/1999
-0.66 2 1 1/1/1996 3/1/1996
-0.42 2 1 3/1/2004 5/1/2004
-0.31 1 1 4/1/2008 5/1/2008
-0.05 1 1 12/1/2006 1/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
358.87 12 10/1/1994 9/1/1995
105.28 13 8/1/1998 8/1/1999
35.87 4 5/1/2002 8/1/2002
29.49 8 5/1/2006 12/1/2006
24.88 8 8/1/2000 3/1/2001
24.52 6 7/1/2007 12/1/2007
18.47 2 2/1/2004 3/1/2004
15.43 4 7/1/2014 10/1/2014
14.56 3 7/1/2012 9/1/2012
8.97 2 6/1/1997 7/1/1997
8.10 3 6/1/2004 8/1/2004
6.38 2 10/1/1999 11/1/1999
6.26 2 11/1/1997 12/1/1997
5.86 2 12/1/1995 1/1/1996
3.46 3 11/1/2011 1/1/2012
2.70 1 4/1/1996 4/1/1996
1.98 2 7/1/2005 8/1/2005
1.82 1 5/1/1998 5/1/1998
1.81 3 2/1/2008 4/1/2008
1.71 2 12/1/2012 1/1/2013
1.50 1 4/1/2000 4/1/2000
1.33 1 11/1/2010 11/1/2010
1.29 2 11/1/2002 12/1/2002
1.11 2 7/1/2011 8/1/2011
1.09 1 1/1/1997 1/1/1997
1.03 1 5/1/2012 5/1/2012
0.98 1 5/1/2005 5/1/2005
0.93 2 5/1/2010 6/1/2010
0.79 2 6/1/2008 7/1/2008
0.76 1 11/1/1996 11/1/1996
0.72 2 5/1/2013 6/1/2013
0.69 1 3/1/2002 3/1/2002
0.66 1 9/1/2009 9/1/2009
0.59 2 1/1/2010 2/1/2010
0.59 1 9/1/1996 9/1/1996
0.49 1 1/1/2006 1/1/2006
0.48 1 5/1/2009 5/1/2009
0.47 1 9/1/2010 9/1/2010
0.46 2 2/1/2009 3/1/2009
0.44 1 7/1/2003 7/1/2003
0.42 1 11/1/2003 11/1/2003
0.34 3 2/1/2007 4/1/2007
0.26 1 9/1/2008 9/1/2008
0.21 1 4/1/2014 4/1/2014
0.19 2 3/1/2011 4/1/2011
0.15 1 11/1/2009 11/1/2009
0.13 1 12/1/2013 12/1/2013
0.09 9 4/1/2015 12/1/2015
0.06 1 1/1/2000 1/1/2000
0.05 1 1/1/2002 1/1/2002
0.03 1 3/1/2012 3/1/2012
0.02 1 2/1/2015 2/1/2015
0.01 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.80 2 8/1/1994 9/1/1994
-10.25 4 1/1/1998 4/1/1998
-8.78 4 2/1/1997 5/1/1997
-8.56 6 1/1/2003 6/1/2003
-8.41 9 4/1/2001 12/1/2001
-6.78 8 9/1/2004 4/1/2005
-5.47 3 5/1/2000 7/1/2000
-4.85 4 5/1/1996 8/1/1996
-3.67 3 8/1/1997 10/1/1997
-3.55 4 9/1/2005 12/1/2005
-2.94 3 6/1/2009 8/1/2009
-2.64 3 8/1/2003 10/1/2003
-2.26 2 2/1/2000 3/1/2000
-2.12 1 2/1/2002 2/1/2002
-2.00 2 12/1/2003 1/1/2004
-1.90 4 10/1/2008 1/1/2009
-1.81 1 12/1/1996 12/1/1996
-1.78 2 7/1/2010 8/1/2010
-1.66 2 10/1/2012 11/1/2012
-1.58 2 9/1/2002 10/1/2002
-1.55 1 10/1/2010 10/1/2010
-1.51 3 1/1/2014 3/1/2014
-1.49 3 2/1/2013 4/1/2013
-1.29 1 10/1/2009 10/1/2009
-1.21 1 1/1/2008 1/1/2008
-1.19 2 5/1/2014 6/1/2014
-1.14 2 6/1/1998 7/1/1998
-1.12 1 4/1/2009 4/1/2009
-1.06 2 5/1/2011 6/1/2011
-1.05 1 6/1/2005 6/1/2005
-1.03 1 4/1/2002 4/1/2002
-1.02 3 2/1/2006 4/1/2006
-0.99 2 10/1/1995 11/1/1995
-0.97 2 3/1/2010 4/1/2010
-0.95 2 5/1/2007 6/1/2007
-0.82 3 11/1/2014 1/1/2015
-0.79 3 12/1/2010 2/1/2011
-0.75 1 12/1/2009 12/1/2009
-0.73 1 9/1/1999 9/1/1999
-0.72 2 7/1/2013 8/1/2013
-0.68 1 10/1/1996 10/1/1996
-0.66 2 2/1/1996 3/1/1996
-0.62 2 9/1/2011 10/1/2011
-0.54 1 8/1/2008 8/1/2008
-0.46 1 12/1/1999 12/1/1999
-0.42 2 4/1/2004 5/1/2004
-0.41 1 3/1/2015 3/1/2015
-0.31 1 5/1/2008 5/1/2008
-0.29 1 2/1/2012 2/1/2012
-0.29 2 10/1/2013 11/1/2013
-0.25 1 6/1/2012 6/1/2012
-0.20 1 4/1/2012 4/1/2012
-0.05 1 1/1/2007 1/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods273.00280.00277.00271.00265.00259.00247.00235.00223.00
Percent Profitable46.1546.0749.4659.4167.1777.2286.2391.9195.96
Average Period Return1.2626.0953.5277.5384.6783.5636.6951.9074.13
Average Gain3.6961.27115.38137.83132.42113.0547.1560.6281.22
Average Loss-1.00-4.78-8.17-12.05-14.01-16.98-28.88-47.21-94.46
Best Period49.042184.872184.872184.872184.872184.87357.44361.51773.83
Worst Period-7.62-95.64-95.65-95.67-95.62-95.17-95.64-95.13-95.18
Standard Deviation4.96225.71319.14371.28375.06354.9557.3865.67112.32
Gain Standard Deviation6.42329.34445.69472.40449.94399.0252.6159.76109.08
Loss Standard Deviation1.1016.6721.9726.7528.9631.9740.3646.030.27
Sharpe Ratio (1%)0.240.110.170.210.220.230.590.730.61
Average Gain / Average Loss3.7112.8214.1211.449.456.661.631.280.86
Profit / Loss Ratio3.8313.2316.1218.7920.7723.3610.2314.6020.45
Downside Deviation (10%)1.2011.8116.0319.0719.9919.7622.4123.8725.54
Downside Deviation (5%)1.0311.5915.4917.8218.0817.3418.9219.3620.00
Downside Deviation (0%)0.9911.5415.3717.5717.7016.8718.2318.5118.98
Sortino Ratio (10%)0.712.113.183.803.863.710.931.271.82
Sortino Ratio (5%)1.142.233.424.294.604.701.782.473.45
Sortino Ratio (0%)1.272.263.484.414.784.952.012.803.91

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.