Kottke Associates : Swinford

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
0.62%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.61%
Sharpe (RFR=1%)
1.15
CAROR
13.45%
Assets
$ 0k
Worst DD
-9.88
S&P Correlation
0.06

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
10/1998
Swinford 0.62 - - - - - 7.22 394.40
S&P 500 -1.35 - - - - - 7.12 215.30
+/- S&P 500 1.97 - - - - - 0.10 179.10

Strategy Description

Summary

The Swinford Program utilizes fundamental analysis to project flat price (directional) price movement primarily in the CME meat complex. The Swinford program also establishes positions in the Chicago Board of Trade ("CBOT") feed grain sector based upon fundamental market analysis.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
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
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
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
100.00%
Strategy Pie Chart

Composition

Livestock
80.00%
Grains
20.00%
Composition Pie Chart

Summary

The Swinford Program utilizes fundamental analysis to project flat price (directional) price movement primarily in the CME meat complex. The Swinford program also establishes positions in the Chicago Board of Trade ("CBOT") feed grain sector based upon fundamental market analysis. The Kottke Associates Swinford Managed Program provides proven returns with low correlation to technical trading programs.

   

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
-9.88 4 2 5/1/2006 9/1/2006
-8.70 5 4 3/1/2000 8/1/2000
-7.53 1 8 4/1/1999 5/1/1999
-7.34 8 17 9/1/2008 5/1/2009
-6.66 1 3 6/1/2007 7/1/2007
-6.43 6 2 11/1/2002 5/1/2003
-6.42 2 3 10/1/2003 12/1/2003
-4.22 1 2 11/1/1998 12/1/1998
-3.39 1 5 12/1/2006 1/1/2007
-2.75 2 1 3/1/2008 5/1/2008
-2.72 2 3 6/1/2005 8/1/2005
-2.64 3 2 4/1/2004 7/1/2004
-2.09 1 1 2/1/1999 3/1/1999
-2.09 1 2 2/1/2011 3/1/2011
-1.09 1 2 5/1/2002 6/1/2002
-0.92 1 1 12/1/2010 1/1/2011
-0.80 2 1 2/1/2001 4/1/2001
-0.45 1 2 10/1/2001 11/1/2001
-0.38 1 2 2/1/2002 3/1/2002
-0.32 1 1 7/1/2008 8/1/2008
-0.10 1 1 5/1/2001 6/1/2001
-0.10 1 1 1/1/2008 2/1/2008
-0.05 1 1 3/1/2006 4/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
40.07 5 6/1/2003 10/1/2003
35.57 11 8/1/2004 6/1/2005
18.06 6 8/1/2007 1/1/2008
17.69 6 9/1/2000 2/1/2001
16.37 2 3/1/2004 4/1/2004
15.98 3 1/1/2000 3/1/2000
15.32 3 10/1/2006 12/1/2006
12.92 5 7/1/2002 11/1/2002
11.47 7 9/1/2005 3/1/2006
10.76 2 6/1/2008 7/1/2008
7.82 4 7/1/2001 10/1/2001
7.79 5 8/1/2010 12/1/2010
6.29 2 10/1/1999 11/1/1999
6.21 2 10/1/1998 11/1/1998
5.54 2 1/1/1999 2/1/1999
5.01 1 6/1/2007 6/1/2007
4.57 6 11/1/2009 4/1/2010
4.44 1 3/1/2008 3/1/2008
4.28 1 4/1/1999 4/1/1999
3.92 1 1/1/2004 1/1/2004
3.33 2 4/1/2002 5/1/2002
2.88 1 2/1/2007 2/1/2007
2.69 2 4/1/2011 5/1/2011
2.26 1 8/1/1999 8/1/1999
1.82 3 12/1/2001 2/1/2002
1.51 1 6/1/2009 6/1/2009
1.48 1 6/1/2000 6/1/2000
1.42 1 5/1/2001 5/1/2001
1.08 1 9/1/2008 9/1/2008
1.01 1 2/1/2011 2/1/2011
0.65 1 5/1/2006 5/1/2006
0.43 1 2/1/2003 2/1/2003
0.41 1 4/1/2009 4/1/2009
0.26 1 6/1/1999 6/1/1999
0.23 1 7/1/2006 7/1/2006
0.18 1 6/1/2004 6/1/2004
0.13 1 9/1/2009 9/1/2009
0.08 1 6/1/2010 6/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.82 2 4/1/2000 5/1/2000
-7.53 1 5/1/1999 5/1/1999
-7.28 2 8/1/2006 9/1/2006
-6.66 1 7/1/2007 7/1/2007
-6.61 6 10/1/2008 3/1/2009
-6.42 2 11/1/2003 12/1/2003
-4.22 1 12/1/1998 12/1/1998
-4.02 2 12/1/2002 1/1/2003
-3.39 1 1/1/2007 1/1/2007
-3.03 1 6/1/2006 6/1/2006
-2.93 3 3/1/2003 5/1/2003
-2.75 2 4/1/2008 5/1/2008
-2.72 2 7/1/2005 8/1/2005
-2.41 2 7/1/2000 8/1/2000
-2.16 3 3/1/2007 5/1/2007
-2.09 1 3/1/2011 3/1/2011
-2.09 1 3/1/1999 3/1/1999
-1.77 1 9/1/1999 9/1/1999
-1.67 1 12/1/1999 12/1/1999
-1.48 1 5/1/2004 5/1/2004
-1.36 1 7/1/2004 7/1/2004
-1.18 1 5/1/2009 5/1/2009
-1.09 1 6/1/2002 6/1/2002
-0.92 1 1/1/2011 1/1/2011
-0.92 2 7/1/2009 8/1/2009
-0.80 2 3/1/2001 4/1/2001
-0.50 1 5/1/2010 5/1/2010
-0.50 1 2/1/2004 2/1/2004
-0.45 1 11/1/2001 11/1/2001
-0.38 1 3/1/2002 3/1/2002
-0.32 1 8/1/2008 8/1/2008
-0.29 1 7/1/2010 7/1/2010
-0.21 1 7/1/1999 7/1/1999
-0.19 1 10/1/2009 10/1/2009
-0.10 1 2/1/2008 2/1/2008
-0.10 1 6/1/2001 6/1/2001
-0.05 1 4/1/2006 4/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable63.8272.6780.9593.6295.5697.67100.00100.00100.00
Average Period Return1.103.336.8314.5223.2832.9056.2084.51120.39
Average Gain2.645.559.2415.7524.4633.7256.2084.51120.39
Average Loss-1.62-2.58-3.42-3.48-2.08-1.75
Best Period9.5026.6239.6556.9674.06105.67127.06144.72187.34
Worst Period-7.53-8.88-9.34-6.68-3.91-2.5610.8428.3136.05
Standard Deviation3.065.888.1612.3017.1322.1930.2938.0845.95
Gain Standard Deviation2.505.277.0811.7316.6121.7930.2938.0845.95
Loss Standard Deviation1.832.082.632.611.170.74
Sharpe Ratio (1%)0.330.520.781.101.271.391.762.112.51
Average Gain / Average Loss1.642.152.714.5311.7819.26
Profit / Loss Ratio2.895.7311.5066.45253.24808.77
Downside Deviation (10%)1.632.282.842.412.432.200.46
Downside Deviation (5%)1.491.832.051.290.790.60
Downside Deviation (0%)1.461.721.871.080.490.28
Sortino Ratio (10%)0.430.921.533.966.4510.3188.67
Sortino Ratio (5%)0.681.683.0910.4827.6051.39
Sortino Ratio (0%)0.761.933.6513.5047.32116.46

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.