Kronos Management, LLC : Awakening Program (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2015 Awakening Program (Proprietary) 1.00 - - - 1.71 -12.40 - 8.23 S&P 500 3.60 - - - 32.51 65.38 - 84.28 +/- S&P 500 -2.60 - - - -30.80 -77.78 - -76.06 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyBased 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel