Kronos Management, LLC : Awakening Program (Proprietary)

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
1.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.56%
Sharpe (RFR=1%)
0.15
CAROR
2.23%
Assets
$ 795k
Worst DD
-27.72
S&P Correlation
-0.23

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
Awakening Program (Proprietary) 1.00 - - - -2.42 -7.23 - 8.23
S&P 500 3.60 - - - 32.51 65.38 - 79.69
+/- S&P 500 -2.60 - - - -34.93 -72.61 - -71.46

Strategy Description

Summary

The Awakening Program is a discretionary long/short managed futures program. It relies on the understanding of fundamental drivers of commodity cycles and their asymmetrical risk profile to generate absolute return. Macro fundamental research and trend following are the bedrock of... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough -8.30%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 80.00%
Intraday 10.00%

Decision-Making

Discretionary 90.00%
Systematic 10.00%

Strategy

Fundamental
60.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Energy
30.00%
Precious Metals
25.00%
Grains
20.00%
Currency Futures
10.00%
Industrial Metals
5.00%
Livestock
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The Awakening Program is a discretionary long/short managed futures program. It relies on the understanding of fundamental drivers of commodity cycles and their asymmetrical risk profile to generate absolute return. Macro fundamental research and trend following are the bedrock of the strategy. Technical inputs complement the program by momentum and entry/exit point analysis.

Investment Strategy

Based on the belief that simplicity is the antidote to complexity, the program evaluates trade opportunities using a few robust variables including supply/demand fundamentals, macroeconomic conditions, prevailing bias, technical analysis, and special events. Trade horizons are typically short to medium term, directional in nature, with outsized reward-to-risk ratio providing the basis of the trade. Where appropriate, position and portfolio risk management is accomplished by a combination of correlation shift monitoring, cross hedging, loss/profit objective management, and sentiment monitoring in order to mitigate against counter-trend movements and tail risk events. Careful consideration is given to portfolio construction to avoid risk concentration and to ensure effective hedging.

Risk Management

Risk Management starts with trade implementation. An asymmetrical risk profile is paramount to success. A typical trade setup has three elements: fundamental tailwind, a good trend, and a favorable sentiment. Risk has two components: likelihood and consequence. To access the risk/reward of a position, whether initiating a new position or maintaining an existing position, it is critical to estimate both factors. A 50/50 shot typically needs at least a 1.5 reward to be considered. The expected value of a trade serves as a basic guideline to position sizing. The Simplicity Program uses a risk ranking matrix to calculate the Favorability Index, on which decisions are guided. This matrix takes into account macroeconomic conditions, supply/demand/storage, prevailing bias, seasonality, price actions, and weather/political events. Where appropriate, position and portfolio level risk management is accomplished by a combination of correlation shift monitoring, inter-commodity hedging, loss/profit objective management, and sentiment monitoring in order to mitigate against counter-trend movements and tail risk events. Careful consideration is given to portfolio construction to avoid risk concentration and to ensure effective hedging in different macro economic environments. Typical range of margin/equity ratio is 5% to 20% including hedges.

   

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
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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
-27.72 18 - 7/1/2016 1/1/2018
-6.47 1 1 4/1/2016 5/1/2016
-5.31 3 1 12/1/2015 3/1/2016
-4.94 1 1 9/1/2015 10/1/2015
-0.56 1 2 4/1/2015 5/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
22.77 2 6/1/2016 7/1/2016
15.68 2 11/1/2015 12/1/2015
9.31 4 6/1/2015 9/1/2015
8.30 1 4/1/2016 4/1/2016
7.23 1 2/1/2018 2/1/2018
6.38 1 11/1/2016 11/1/2016
4.59 4 1/1/2015 4/1/2015
3.50 1 10/1/2017 10/1/2017
1.00 1 7/1/2018 7/1/2018
0.64 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.21 10 12/1/2016 9/1/2017
-6.80 1 8/1/2016 8/1/2016
-6.47 1 5/1/2016 5/1/2016
-6.31 3 11/1/2017 1/1/2018
-6.08 4 3/1/2018 6/1/2018
-5.31 3 1/1/2016 3/1/2016
-4.94 1 10/1/2015 10/1/2015
-0.56 1 5/1/2015 5/1/2015
-0.10 1 10/1/2016 10/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable41.8651.2260.5350.0046.1545.00
Average Period Return0.280.801.923.033.331.89
Average Gain4.306.579.1818.4724.7816.57
Average Loss-2.61-5.25-9.23-12.42-15.06-10.13
Best Period11.6514.8322.3835.5346.2134.98
Worst Period-8.01-16.31-19.54-24.42-27.72-26.48
Standard Deviation4.497.1310.9418.0422.9716.16
Gain Standard Deviation3.644.216.6310.0814.6710.23
Loss Standard Deviation2.263.615.227.856.657.71
Sharpe Ratio (1%)0.040.080.130.110.08-0.01
Average Gain / Average Loss1.651.251.001.491.651.64
Profit / Loss Ratio1.181.311.531.491.411.34
Downside Deviation (10%)2.855.158.0113.4717.3216.20
Downside Deviation (5%)2.664.566.8910.9113.0310.53
Downside Deviation (0%)2.614.416.6110.3012.019.28
Sortino Ratio (10%)-0.04-0.08-0.07-0.15-0.25-0.52
Sortino Ratio (5%)0.070.120.210.190.14-0.01
Sortino Ratio (0%)0.110.180.290.290.280.20

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.