Kottke Associates : Stockton Fundamental Ag

archived programs
Year-to-Date
N / A
Jun Performance
-0.15%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.38%
Sharpe (RFR=1%)
0.86
CAROR
17.11%
Assets
$ 2.0M
Worst DD
-17.26
S&P Correlation
0.07

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Stockton Fundamental Ag -0.15 - - - - -0.63 47.18 424.89
S&P 500 0.09 - - - - 58.90 65.21 139.69
+/- S&P 500 -0.24 - - - - -59.53 -18.03 285.20

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
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 2000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 2.00%
1-30 Days 95.00%
Intraday 3.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
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
-17.26 4 9 11/1/2006 3/1/2007
-15.63 11 - 2/1/2011 1/1/2012
-11.02 6 5 8/1/2009 2/1/2010
-9.31 1 1 6/1/2008 7/1/2008
-8.30 1 1 10/1/2010 11/1/2010
-4.54 2 1 4/1/2006 6/1/2006
-2.98 1 1 4/1/2008 5/1/2008
-0.71 3 1 10/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
82.79 7 2/1/2009 8/1/2009
71.32 6 5/1/2010 10/1/2010
55.61 5 12/1/2007 4/1/2008
25.90 5 7/1/2006 11/1/2006
18.16 3 12/1/2010 2/1/2011
14.07 1 6/1/2008 6/1/2008
12.19 3 8/1/2008 10/1/2008
9.56 3 4/1/2007 6/1/2007
5.79 2 6/1/2012 7/1/2012
5.26 4 1/1/2006 4/1/2006
3.21 1 3/1/2010 3/1/2010
2.55 1 8/1/2011 8/1/2011
2.52 1 10/1/2007 10/1/2007
2.10 2 10/1/2009 11/1/2009
1.55 1 2/1/2013 2/1/2013
1.42 1 4/1/2013 4/1/2013
1.25 2 6/1/2013 7/1/2013
0.69 3 2/1/2012 4/1/2012
0.28 1 10/1/2013 10/1/2013
0.25 1 2/1/2016 2/1/2016
0.18 1 6/1/2014 6/1/2014
0.17 1 1/1/2015 1/1/2015
0.12 1 9/1/2015 9/1/2015
0.10 1 11/1/2015 11/1/2015
0.06 1 9/1/2014 9/1/2014
0.03 1 6/1/2015 6/1/2015
0.01 1 11/1/2011 11/1/2011
0.01 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.26 4 12/1/2006 3/1/2007
-14.65 5 3/1/2011 7/1/2011
-9.31 1 7/1/2008 7/1/2008
-8.30 1 11/1/2010 11/1/2010
-7.87 1 9/1/2009 9/1/2009
-5.41 3 12/1/2009 2/1/2010
-4.54 2 5/1/2006 6/1/2006
-4.00 6 8/1/2012 1/1/2013
-2.98 1 5/1/2008 5/1/2008
-2.73 2 9/1/2011 10/1/2011
-2.38 7 11/1/2013 5/1/2014
-2.24 1 11/1/2007 11/1/2007
-1.43 3 7/1/2007 9/1/2007
-0.90 2 12/1/2011 1/1/2012
-0.71 3 11/1/2008 1/1/2009
-0.59 4 3/1/2016 6/1/2016
-0.53 1 5/1/2012 5/1/2012
-0.50 3 10/1/2014 12/1/2014
-0.43 2 8/1/2013 9/1/2013
-0.40 2 2/1/2015 3/1/2015
-0.36 2 7/1/2014 8/1/2014
-0.30 2 12/1/2015 1/1/2016
-0.24 1 4/1/2010 4/1/2010
-0.21 1 3/1/2013 3/1/2013
-0.20 2 7/1/2015 8/1/2015
-0.13 1 5/1/2013 5/1/2013
-0.04 1 5/1/2015 5/1/2015
-0.01 1 10/1/2015 10/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods126.00124.00121.00115.00109.00103.0091.0079.0067.00
Percent Profitable48.4150.0057.0267.8367.8974.7681.3287.3488.06
Average Period Return1.474.639.9521.4035.9855.87100.26153.51206.04
Average Gain4.5211.1719.4433.0654.3676.02124.22176.67235.07
Average Loss-1.42-1.90-2.66-3.18-2.86-3.82-4.00-6.31-8.03
Best Period26.6163.7475.7391.14162.34217.64387.96465.97499.36
Worst Period-9.31-14.42-14.25-15.59-11.73-12.85-12.45-13.63-13.83
Standard Deviation5.5911.7119.7029.5542.3664.17103.14142.62161.58
Gain Standard Deviation6.4613.4221.4829.2739.8162.4099.99137.94150.10
Loss Standard Deviation2.213.093.684.123.053.253.354.543.93
Sharpe Ratio (1%)0.250.370.480.690.810.840.941.051.24
Average Gain / Average Loss3.185.877.3210.3919.0219.9031.0228.0229.27
Profit / Loss Ratio3.035.879.7121.9040.2158.94135.02193.31215.88
Downside Deviation (10%)2.043.114.175.396.447.9910.5212.5512.87
Downside Deviation (5%)1.892.653.163.313.003.353.434.124.73
Downside Deviation (0%)1.862.552.962.932.352.502.232.723.05
Sortino Ratio (10%)0.521.101.793.044.415.718.0310.5113.87
Sortino Ratio (5%)0.731.652.996.1611.4816.0628.3336.2542.49
Sortino Ratio (0%)0.791.823.367.3115.3122.3644.9756.5067.50

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 8 0.12 9/2015
Agricultural Trader Index Month 9 -0.21 2/2015
Agricultural Trader Index Month 8 1.55 2/2013
IASG CTA Index 5 Year 5 294.68 2007 - 2012
IASG CTA Index 5 Year 5 331.13 2006 - 2011
IASG CTA Index 3 Year 8 164.39 2008 - 2011
Agricultural Trader Index Month 9 2.55 8/2011
Agricultural Trader Index Month 9 3.64 2/2011
Discretionary Trader Index Month 9 13.57 12/2010
Agricultural Trader Index Month 6 13.57 12/2010
IASG CTA Index 3 Year 3 341.95 2007 - 2010
IASG CTA Index 5 Year 3 488.92 2005 - 2010
IASG CTA Index Annual 4 74.43 2010
Discretionary Trader Index Month 4 23.73 10/2010
Agricultural Trader Index Month 4 23.73 10/2010
IASG CTA Index Month 5 23.73 10/2010
Discretionary Trader Index Month 6 15.52 9/2010
Agricultural Trader Index Month 3 15.52 9/2010
IASG CTA Index Month 10 15.52 9/2010
Agricultural Trader Index Month 8 4.49 8/2010
Agricultural Trader Index Month 2 6.17 7/2010
Discretionary Trader Index Month 5 6.17 7/2010
Agricultural Trader Index Month 3 6.45 6/2010
Discretionary Trader Index Month 9 6.45 6/2010
Agricultural Trader Index Month 9 1.50 5/2010
Discretionary Trader Index Month 9 3.21 3/2010
Agricultural Trader Index Month 2 3.21 3/2010
IASG CTA Index Annual 7 71.10 2009
IASG CTA Index 3 Year 7 179.01 2006 - 2009
Agricultural Trader Index Month 5 1.13 11/2009
Agricultural Trader Index Month 7 0.96 10/2009
Agricultural Trader Index Month 1 25.73 8/2009
IASG CTA Index Month 2 25.73 8/2009
Discretionary Trader Index Month 2 25.73 8/2009
Agricultural Trader Index Month 3 2.86 7/2009
Discretionary Trader Index Month 2 26.61 6/2009
IASG CTA Index Month 2 26.61 6/2009
Agricultural Trader Index Month 1 26.61 6/2009
Agricultural Trader Index Month 8 2.08 5/2009
Agricultural Trader Index Month 3 4.55 4/2009
Discretionary Trader Index Month 10 4.55 4/2009
Agricultural Trader Index Month 7 0.56 3/2009
Agricultural Trader Index Month 4 4.02 2/2009
Agricultural Trader Index Month 8 0.05 10/2008
Agricultural Trader Index Month 5 0.18 9/2008
Agricultural Trader Index Month 3 11.93 8/2008
Discretionary Trader Index Month 3 11.93 8/2008
Agricultural Trader Index Month 4 14.07 6/2008
Discretionary Trader Index Month 6 14.07 6/2008
IASG CTA Index Month 10 14.07 6/2008
IASG CTA Index Month 4 8.65 4/2008
Agricultural Trader Index Month 2 8.65 4/2008
Discretionary Trader Index Month 2 8.65 4/2008
Agricultural Trader Index Month 5 0.69 3/2008
Agricultural Trader Index Month 6 6.22 2/2008
Agricultural Trader Index Month 2 13.85 1/2008
Discretionary Trader Index Month 4 13.85 1/2008
Agricultural Trader Index Month 2 17.62 12/2007
Discretionary Trader Index Month 3 17.62 12/2007
IASG CTA Index Month 5 17.62 12/2007
Agricultural Trader Index Month 9 -2.24 11/2007
Agricultural Trader Index Month 5 2.52 10/2007
Agricultural Trader Index Month 10 -0.34 9/2007
Agricultural Trader Index Month 9 -0.11 8/2007
Agricultural Trader Index Month 5 -0.98 7/2007
Discretionary Trader Index Month 6 5.71 6/2007
Agricultural Trader Index Month 4 5.71 6/2007
Agricultural Trader Index Month 5 0.72 5/2007
Discretionary Trader Index Month 6 2.90 4/2007
Agricultural Trader Index Month 4 2.90 4/2007
Agricultural Trader Index Month 8 -3.32 3/2007
Agricultural Trader Index Month 10 -5.94 2/2007
Agricultural Trader Index Month 10 -4.88 1/2007
Agricultural Trader Index Month 10 -4.35 12/2006
IASG CTA Index Month 8 10.56 11/2006
Discretionary Trader Index Month 5 10.56 11/2006
Agricultural Trader Index Month 3 10.56 11/2006
Agricultural Trader Index Month 4 3.78 10/2006
Discretionary Trader Index Month 9 3.78 10/2006
Discretionary Trader Index Month 1 2.85 9/2006
Agricultural Trader Index Month 1 2.85 9/2006
Agricultural Trader Index Month 2 0.96 8/2006
Agricultural Trader Index Month 1 5.67 7/2006
Discretionary Trader Index Month 3 5.67 7/2006
IASG CTA Index Month 4 5.67 7/2006
Agricultural Trader Index Month 7 -1.20 6/2006
Agricultural Trader Index Month 8 -3.38 5/2006
Agricultural Trader Index Month 6 0.70 4/2006
Agricultural Trader Index Month 8 2.25 3/2006
Agricultural Trader Index Month 7 1.05 2/2006
Agricultural Trader Index Month 9 0.00 1/2006

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