Kottke Associates : MV Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since8/2010 MV Program -0.63 - - - - -6.22 17.10 18.97 S&P 500 1.79 - - - - 73.64 58.42 254.25 +/- S&P 500 -2.42 - - - - -79.86 -41.32 -235.28 Strategy Description SummaryThe 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% Composition Grains 75.00% Livestock 25.00% SummaryThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel