Kottke Associates : Tejas Program

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-1.73%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.14%
Sharpe (RFR=1%)
-0.11
CAROR
-0.01%
Assets
$ 2.0M
Worst DD
-14.70
S&P Correlation
-0.18

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/2011
Tejas Program -1.73 - - - - - - -0.02
S&P 500 2.36 - - - - - - 168.07
+/- S&P 500 -4.09 - - - - - - -168.09

Strategy Description

Summary

The Kottke-Tejas program manager Alvin Fults utilizes a short/ medium term, discretionary, technical/ fundamental strategy to capitalize on directional moves in the Agricultural Commodity futures markets with an emphasis on the Meat complex traded on the Chicago Mercantile Exchange.... 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 Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 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 20.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Livestock
100.00%
Composition Pie Chart

Summary

The Kottke-Tejas program manager Alvin Fults utilizes a short/ medium term, discretionary, technical/ fundamental strategy to capitalize on directional moves in the Agricultural Commodity futures markets with an emphasis on the Meat complex traded on the Chicago Mercantile Exchange. The strategy is based on experience developed over the last 32 years in the futures industry. The strength of the program rests in the combined use of a thorough review of fundamental information as well as detailed technical analysis. We believe our fundamental information in live cattle is second to none. With the addition of technical analysis, we feel we have the best opportunity to be profitable.

   

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
-14.70 20 - 10/1/2011 6/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
14.07 4 7/1/2011 10/1/2011
4.57 5 7/1/2013 11/1/2013
2.44 4 8/1/2012 11/1/2012
2.19 1 12/1/2011 12/1/2011
0.96 1 3/1/2013 3/1/2013
0.63 1 6/1/2012 6/1/2012
0.07 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.12 5 1/1/2012 5/1/2012
-3.98 1 11/1/2011 11/1/2011
-3.43 3 12/1/2012 2/1/2013
-2.05 1 4/1/2013 4/1/2013
-1.92 1 7/1/2012 7/1/2012
-1.73 1 12/1/2013 12/1/2013
-1.00 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable56.6735.7136.005.2615.38
Average Period Return0.02-0.27-1.62-4.30-6.26
Average Gain1.423.563.172.360.61
Average Loss-1.82-2.40-4.32-4.67-7.51
Best Period5.7711.2011.932.361.20
Worst Period-3.98-6.36-10.54-10.68-13.90
Standard Deviation2.064.004.843.595.13
Gain Standard Deviation1.463.903.660.83
Loss Standard Deviation1.001.992.973.304.51
Sharpe Ratio (1%)-0.03-0.13-0.44-1.48-1.51
Average Gain / Average Loss0.781.490.730.510.08
Profit / Loss Ratio1.030.830.410.030.01
Downside Deviation (10%)1.603.305.959.9314.70
Downside Deviation (5%)1.402.634.496.349.20
Downside Deviation (0%)1.352.474.155.517.96
Sortino Ratio (10%)-0.24-0.45-0.69-0.94-0.94
Sortino Ratio (5%)-0.05-0.20-0.47-0.84-0.84
Sortino Ratio (0%)0.01-0.11-0.39-0.78-0.79

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.