Kottke Associates : Pardo - Commodities Program

archived programs
Year-to-Date
N / A
May Performance
1.54%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.23%
Sharpe (RFR=1%)
-0.50
CAROR
-
Assets
$ 1.5M
Worst DD
-13.32
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Pardo - Commodities Program 1.54 - - - - - - -6.38
S&P 500 2.08 - - - - - - 164.00
+/- S&P 500 -0.54 - - - - - - -170.38

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 1.00
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 1500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 4.00%
1-30 Days 95.00%
Intraday 1.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Grains
60.00%
Livestock
20.00%
Softs
15.00%
Precious Metals
5.00%
Composition Pie Chart
   

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
-13.32 8 - 8/1/2012 4/1/2013
-4.24 1 5 1/1/0001 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
9.64 5 4/1/2012 8/1/2012
2.57 1 2/1/2013 2/1/2013
2.48 1 2/1/2012 2/1/2012
1.54 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.80 5 9/1/2012 1/1/2013
-4.24 1 1/1/2012 1/1/2012
-3.09 2 3/1/2013 4/1/2013
-1.14 1 3/1/2012 3/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable47.0640.0041.67
Average Period Return-0.35-0.88-1.98
Average Gain2.003.724.65
Average Loss-2.43-3.94-6.72
Best Period5.748.7410.66
Worst Period-6.69-10.73-12.48
Standard Deviation2.955.197.05
Gain Standard Deviation1.713.664.59
Loss Standard Deviation2.133.513.78
Sharpe Ratio (1%)-0.15-0.22-0.35
Average Gain / Average Loss0.820.940.69
Profit / Loss Ratio0.730.630.49
Downside Deviation (10%)2.534.767.55
Downside Deviation (5%)2.344.146.13
Downside Deviation (0%)2.293.995.79
Sortino Ratio (10%)-0.30-0.44-0.59
Sortino Ratio (5%)-0.18-0.27-0.41
Sortino Ratio (0%)-0.15-0.22-0.34

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.