Kottke Associates : MV Program

archived programs
Year-to-Date
N / A
Jan Performance
-0.63%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.59%
Sharpe (RFR=1%)
0.29
CAROR
2.71%
Assets
$ 10.0M
Worst DD
-8.60
S&P Correlation
0.19

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
8/2010
MV Program -0.63 0.44 - -6.03 6.22 26.14 - 18.97
S&P 500 1.79 7.18 - 17.45 27.84 73.64 - 117.14
+/- S&P 500 -2.42 -6.74 - -23.48 -21.62 -47.50 - -98.17

Strategy Description

Summary

The MV program incorporates fundamental and price indices into a proprietary, analytical formula to indentify price trends on a periodic basis. The program generates signals for 7 commodity spreads (bean/corn wheat/cattle beanoil/soymeal live cattle/live hogs live cattle/corn soymeal/hogs... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
40.00%
Spreading/hedging
60.00%
Strategy Pie Chart

Composition

Grains
75.00%
Livestock
25.00%
Composition Pie Chart

Summary

The MV program incorporates fundamental and price indices into a proprietary, analytical formula to indentify price trends on a periodic basis. The program generates signals for 7 commodity spreads (bean/corn wheat/cattle beanoil/soymeal live cattle/live hogs live cattle/corn soymeal/hogs soymeal/corn). A commodity spread signal results in the initiation of a long position in one commodity and simultaneously a short position in the other one. A flat position signal results in the initiation of a long or short position in one of the following commodities (soybeans/soyoil/corn/cattle). Each day the models produces for each spread an index which fluctuates around 100 with a standard deviation of 5. A potential buy signal occurs when the index is above certain parameters. A potential sell signal occurs when the index is below certain parameters. Before a potential buy/sell signal translates to a real buy/sell signals it needs to confirm. The waiting period is different per spread.

By introducing this waiting period it reduces the chance for flipping in and out. Per spread there are 2 sub-models. Also the parameters for entry and exit of the 2 models will be different. A reduction or exit of a position is triggered either by the index value dropping below certain parameters or if the accumulated losses surpasses certain levels. Also these levels are different per spread. Each leg per spread is equal to a stated face-value and depending on the price level that translates in a number of lots. A major benefit is that in terms of lots the positions are smaller when the price-level is high than when the price-level is low. The flat models have a similar procedure for entry and exit. The flat models diversify well with the spread models and reduces the drawdowns.

Risk Management

The model produces index values which fluctuates around 100 with a standard deviation of 5 Based on these index values a position gets initiated. The size of position is equal to a stated face value. A major benefit is that in terms of lost the positions are smaller when the price level is high than when the price level is low. A position will be reduced or exited when the model generates an index value to reduce or exit a position. In addition there are stop-loss levels which can trigger a reduction or an exit of the position regardless of the model output.

   

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
-8.60 7 6 8/1/2012 3/1/2013
-7.89 8 6 5/1/2011 1/1/2012
-6.92 11 - 11/1/2015 10/1/2016
-2.63 3 3 11/1/2010 2/1/2011
-1.06 2 2 7/1/2015 9/1/2015
-0.98 1 1 9/1/2013 10/1/2013
-0.96 1 1 5/1/2015 6/1/2015
-0.69 3 1 11/1/2013 2/1/2014
-0.62 2 1 12/1/2014 2/1/2015
-0.57 1 1 1/1/0001 8/1/2010
-0.35 1 2 6/1/2014 7/1/2014
-0.05 1 1 3/1/2014 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
16.70 3 6/1/2012 8/1/2012
9.75 6 4/1/2013 9/1/2013
6.74 3 2/1/2012 4/1/2012
4.97 2 5/1/2014 6/1/2014
3.62 3 3/1/2015 5/1/2015
2.87 3 9/1/2010 11/1/2010
2.77 1 7/1/2015 7/1/2015
2.47 1 3/1/2011 3/1/2011
2.14 5 8/1/2014 12/1/2014
1.94 2 10/1/2015 11/1/2015
1.89 1 11/1/2016 11/1/2016
1.85 1 11/1/2013 11/1/2013
1.35 2 7/1/2016 8/1/2016
1.08 1 12/1/2012 12/1/2012
0.92 1 3/1/2014 3/1/2014
0.53 1 8/1/2011 8/1/2011
0.33 1 5/1/2011 5/1/2011
0.02 1 2/1/2013 2/1/2013
0.01 1 1/1/2014 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.00 3 9/1/2012 11/1/2012
-6.59 5 9/1/2011 1/1/2012
-6.40 7 12/1/2015 6/1/2016
-5.37 1 5/1/2012 5/1/2012
-2.63 3 12/1/2010 2/1/2011
-1.91 2 6/1/2011 7/1/2011
-1.88 2 9/1/2016 10/1/2016
-1.67 1 3/1/2013 3/1/2013
-1.42 2 12/1/2016 1/1/2017
-1.06 2 8/1/2015 9/1/2015
-0.98 1 10/1/2013 10/1/2013
-0.96 1 6/1/2015 6/1/2015
-0.62 2 1/1/2015 2/1/2015
-0.57 1 8/1/2010 8/1/2010
-0.43 1 12/1/2013 12/1/2013
-0.35 1 7/1/2014 7/1/2014
-0.27 1 2/1/2014 2/1/2014
-0.06 1 1/1/2013 1/1/2013
-0.05 1 4/1/2014 4/1/2014
-0.01 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable50.0057.8972.6070.1577.0590.91100.00100.00
Average Period Return0.240.771.533.496.489.9416.4321.41
Average Gain1.552.763.696.709.2311.0016.4321.41
Average Loss-1.07-1.96-4.21-4.05-2.75-0.67
Best Period7.7216.7016.6811.8318.0621.3930.1234.24
Worst Period-5.37-8.00-7.05-6.96-6.87-1.246.228.59
Standard Deviation1.903.474.645.616.686.906.906.71
Gain Standard Deviation1.563.013.302.844.816.306.906.71
Loss Standard Deviation1.171.831.962.122.220.51
Sharpe Ratio (1%)0.080.150.220.440.741.151.942.59
Average Gain / Average Loss1.451.410.881.653.3516.33
Profit / Loss Ratio1.451.942.323.8811.26163.33
Downside Deviation (10%)1.332.393.745.205.515.244.274.39
Downside Deviation (5%)1.161.852.662.982.290.93
Downside Deviation (0%)1.111.732.422.491.670.25
Sortino Ratio (10%)-0.13-0.19-0.25-0.29-0.20-0.060.16-0.03
Sortino Ratio (5%)0.140.280.390.832.178.56
Sortino Ratio (0%)0.220.450.631.403.8840.54

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 5 1.89 11/2016
Agricultural Trader Index Month 9 1.06 8/2016
Agricultural Trader Index Month 9 0.90 11/2015
Agricultural Trader Index Month 2 1.03 10/2015
Agricultural Trader Index Month 6 2.77 7/2015
Agricultural Trader Index Month 10 0.61 5/2015
Agricultural Trader Index Month 5 1.47 4/2015
Agricultural Trader Index Month 9 1.50 3/2015
Agricultural Trader Index Month 5 1.04 10/2014
Agricultural Trader Index Month 7 2.64 5/2014
Agricultural Trader Index Month 8 0.92 3/2014
Agricultural Trader Index Month 6 1.85 11/2013
Agricultural Trader Index Month 4 2.64 8/2013
Agricultural Trader Index Month 8 2.07 7/2013
Agricultural Trader Index Month 5 2.39 6/2013
Agricultural Trader Index Month 5 1.09 5/2013
Agricultural Trader Index Month 5 1.08 12/2012
Agricultural Trader Index Month 7 4.63 8/2012
Agricultural Trader Index Month 10 7.72 7/2012
Discretionary Trader Index Month 9 4.98 3/2012
Agricultural Trader Index Month 5 4.98 3/2012
Agricultural Trader Index Month 8 1.02 2/2012
Agricultural Trader Index Month 8 -0.69 6/2011
Agricultural Trader Index Month 8 2.47 3/2011
Agricultural Trader Index Month 4 1.31 11/2010

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