Kronos Management, LLC : EMMA Program (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 8.59% Nov Performance -0.94% Min Investment $ 300k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.48% Sharpe (RFR=1%) -0.58 CAROR -4.81% Assets $ 913k Worst DD -19.37 S&P Correlation -0.36 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 Nov Qtr 2019 1yr 3yr 5yr 10yr Since5/2017 EMMA Program (Proprietary) -0.94 -6.03 -8.59 -7.61 - - - -11.96 S&P 500 3.40 7.33 25.29 13.79 - - - 28.91 +/- S&P 500 -4.34 -13.36 -33.88 -21.40 - - - -40.87 Strategy Description Investment StrategyThe 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% Composition Energy 40.00% Precious Metals 20.00% Grains 20.00% Industrial Metals 10.00% Livestock 10.00% Investment StrategyThe 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 ManagementRisk 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%. 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 -19.37 19 - 4/1/2018 11/1/2019 -5.29 3 5 6/1/2017 9/1/2017 Show More 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.68 2 8/1/2018 9/1/2018 -6.03 3 9/1/2019 11/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods31.0029.0026.0020.0014.00 Percent Profitable32.2627.5930.7725.000.00 Average Period Return-0.37-1.22-2.09-5.06-8.98 Average Gain2.434.786.324.87 Average Loss-1.71-3.50-5.83-8.37-8.98 Best Period8.8012.4611.619.19-2.62 Worst Period-5.87-7.24-12.02-15.93-18.72 Standard Deviation2.744.726.597.505.37 Gain Standard Deviation2.594.493.863.43 Loss Standard Deviation1.552.083.105.105.37 Sharpe Ratio (1%)-0.17-0.31-0.39-0.81-1.95 Average Gain / Average Loss1.421.371.090.58 Profit / Loss Ratio0.680.520.480.19 Downside Deviation (10%)2.144.387.3612.3917.36 Downside Deviation (5%)1.933.635.839.1711.69 Downside Deviation (0%)1.883.445.468.4110.36 Sortino Ratio (10%)-0.37-0.56-0.62-0.81-0.95 Sortino Ratio (5%)-0.24-0.40-0.44-0.66-0.90 Sortino Ratio (0%)-0.20-0.35-0.38-0.60-0.87 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