Kronos Management, LLC : Simplicity Program (Proprietary)

archived programs
Year-to-Date
N / A
May Performance
6.08%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.83%
Sharpe (RFR=1%)
-0.46
CAROR
-
Assets
$ 0k
Worst DD
-17.00
S&P Correlation
0.15

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
11/2016
Simplicity Program (Proprietary) 6.08 - - - - - - -5.25
S&P 500 1.16 - - - - - - 57.57
+/- S&P 500 4.92 - - - - - - -62.82

Strategy Description

Summary

The Simplicity 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 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.50
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 10%
Targeted Worst DD 20.00%
Worst Peak-to-Trough -6.67%
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
50.00%
Momentum
10.00%
Technical
10.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Energy
35.00%
Precious Metals
30.00%
Grains
20.00%
Industrial Metals
5.00%
Livestock
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The Simplicity 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 macroeconomic 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
-17.00 5 - 11/1/2016 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
7.61 1 11/1/2016 11/1/2016
6.08 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.00 5 12/1/2016 4/1/2017
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable28.5720.00
Average Period Return-0.64-6.21
Average Gain6.852.15
Average Loss-3.64-8.30
Best Period7.612.15
Worst Period-6.67-13.81
Standard Deviation5.445.84
Gain Standard Deviation1.08
Loss Standard Deviation2.184.04
Sharpe Ratio (1%)-0.13-1.08
Average Gain / Average Loss1.880.26
Profit / Loss Ratio0.750.06
Downside Deviation (10%)3.809.08
Downside Deviation (5%)3.528.16
Downside Deviation (0%)3.498.05
Sortino Ratio (10%)-0.28-0.82
Sortino Ratio (5%)-0.19-0.78
Sortino Ratio (0%)-0.18-0.77

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.