Kronos Management, LLC : EMMA Program (Proprietary)

Year-to-Date
2.72%
Aug Performance
3.24%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.66%
Sharpe (RFR=1%)
-0.35
CAROR
-2.75%
Assets
$ 967k
Worst DD
-16.89
S&P Correlation
-0.35

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
EMMA Program (Proprietary) 3.24 2.15 -2.72 -8.80 - - - -6.31
S&P 500 -1.81 6.34 16.73 0.85 - - - 20.10
+/- S&P 500 5.05 -4.19 -19.45 -9.65 - - - -26.41

Strategy Description

Investment Strategy

The EMMA Program is a discretionary long/short managed futures program. Combining macro analysis and trend following, the program utilizes a set of basic inputs to systematically generate and evaluate the likelihood and consequence of trade ideas. The resulting Favorability... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 300k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
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
1500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
95.00%
Systematic
5.00%

Strategy

Fundamental
50.00%
Technical
20.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Energy
40.00%
Precious Metals
20.00%
Grains
20.00%
Industrial Metals
10.00%
Livestock
10.00%
Composition Pie Chart

Investment Strategy

The EMMA Program is a discretionary long/short managed futures program. Combining macro analysis and trend following, the program utilizes a set of basic inputs to systematically generate and evaluate the likelihood and consequence of trade ideas. The resulting Favorability Index is the synthesis of factors in market sentiment, supply/demand, technical analysis, inflation, economic conditions, seasonality, interest rates, weather events, and their influence on each focus commodity. Based on the belief that market is inefficient in accounting for commodity cycles and the inherent lag in supply/demand response, the program seeks market dislocations, structural alpha, and minimal correlation to the equity markets. A successful trade typically has a good fundamental tailwind, decent trend, and prevailing bias. The program has a focus on energy, metals, meats, and agricultural, but the Advisor may choose to invest in other market areas if market conditions warrant. Trade horizons are typically short term (3 days to 3 weeks) and directional in nature.

Risk Management

Risk control by inter-commodity hedging and short term options is sometimes implemented to mitigate tail risk events. Position sizing is based on favorable reward-to-risk ratio and a target margin-to-equity ratio of 5% to 8%.

   

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
-16.89 15 - 4/1/2018 7/1/2019
-5.29 3 5 6/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
12.46 3 2/1/2018 4/1/2018
4.50 1 10/1/2017 10/1/2017
3.24 1 8/1/2019 8/1/2019
2.38 2 5/1/2017 6/1/2017
1.07 1 12/1/2018 12/1/2018
0.70 1 10/1/2018 10/1/2018
0.27 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.68 2 8/1/2018 9/1/2018
-5.77 7 1/1/2019 7/1/2019
-5.35 2 5/1/2018 6/1/2018
-5.29 3 7/1/2017 9/1/2017
-4.18 3 11/1/2017 1/1/2018
-2.14 1 11/1/2018 11/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable35.7130.7734.7829.410.00
Average Period Return-0.20-1.00-1.90-4.59-6.50
Average Gain2.434.786.324.87
Average Loss-1.65-3.57-6.29-8.53-6.50
Best Period8.8012.4611.619.19-2.62
Worst Period-5.87-7.24-12.02-15.93-11.31
Standard Deviation2.794.907.008.072.44
Gain Standard Deviation2.594.493.863.43
Loss Standard Deviation1.582.063.205.722.44
Sharpe Ratio (1%)-0.10-0.26-0.34-0.69-3.29
Average Gain / Average Loss1.471.341.000.57
Profit / Loss Ratio0.820.590.540.24
Downside Deviation (10%)2.064.337.5212.3214.29
Downside Deviation (5%)1.863.596.039.248.34
Downside Deviation (0%)1.813.415.668.526.91
Sortino Ratio (10%)-0.29-0.52-0.58-0.78-0.99
Sortino Ratio (5%)-0.15-0.35-0.40-0.61-0.96
Sortino Ratio (0%)-0.11-0.29-0.34-0.54-0.94

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.