LCA Capital : S&P Program

archived programs
Year-to-Date
N / A
Jun Performance
-0.06%
Min Investment
$ 0k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.79%
Sharpe (RFR=1%)
0.64
CAROR
-
Assets
$ 100k
Worst DD
-21.34
S&P Correlation
0.18

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
S&P Program -0.06 - - - - - - 26.68
S&P 500 -8.60 - - - - - - 140.86
+/- S&P 500 8.54 - - - - - - -114.17

Strategy Description

Account & Fees

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

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 15000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

   

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
-21.34 1 4 6/1/2007 7/1/2007
-8.22 2 3 1/1/2007 3/1/2007
-0.06 1 - 5/1/2008 6/1/2008
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
36.37 10 8/1/2007 5/1/2008
28.27 3 4/1/2007 6/1/2007
0.37 1 1/1/2007 1/1/2007
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-21.34 1 7/1/2007 7/1/2007
-8.22 2 2/1/2007 3/1/2007
-0.06 1 6/1/2008 6/1/2008
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable77.7875.0092.31100.00
Average Period Return1.685.2412.9725.25
Average Gain4.288.8214.6725.25
Average Loss-7.45-5.51-7.39
Best Period20.7228.2729.4835.35
Worst Period-21.34-7.88-7.397.21
Standard Deviation8.6010.069.9110.12
Gain Standard Deviation6.568.898.1410.12
Loss Standard Deviation9.483.18
Sharpe Ratio (1%)0.190.501.262.40
Average Gain / Average Loss0.571.601.98
Profit / Loss Ratio2.014.8123.81
Downside Deviation (10%)5.363.642.74
Downside Deviation (5%)5.253.192.19
Downside Deviation (0%)5.223.082.05
Sortino Ratio (10%)0.241.103.83
Sortino Ratio (5%)0.301.565.70
Sortino Ratio (0%)0.321.706.33

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.