Lekka Capital Management, LLC : EuroDocII

archived programs
Year-to-Date
N / A
Apr Performance
2.30%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.14%
Sharpe (RFR=1%)
-1.34
CAROR
-
Assets
$ 859k
Worst DD
-15.29
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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/2012
EuroDocII 2.30 - - - - - - -13.34
S&P 500 1.81 - - - - - - 146.32
+/- S&P 500 0.49 - - - - - - -159.66

Strategy Description

Summary

The Lekka Capital management ("Lekka") EuroDocII program involves spread-trading in EuroDollar futures contracts. These contracts provide exchange trading of risk forward interest rates in 3-month U.S. Dollar LIBOR. A spread metric in the trading system sets spreads in anticipation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 8000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 40.00%
1-3 Months 40.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Fundamental
34.00%
Pattern Recognition
33.00%
Spreading/hedging
33.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The Lekka Capital management ("Lekka") EuroDocII program involves spread-trading in EuroDollar futures contracts. These contracts provide exchange trading of risk forward interest rates in 3-month U.S. Dollar LIBOR. A spread metric in the trading system sets spreads in anticipation of how these interest rate forecasts may change. Trading follows a low-leverage disciplined approach designed to minimize the size of drawdowns. This program is systematic with a discretionary overlay.

Investment Strategy

The trading system employs a slow, non-trending systematic trading methodology with a discretionary overlay. It positions Eurodollar futures contracts which are traded on the CME Globex system. Eurodollar futures provide a market-based estimate of forward interest rates on 3-month LIBOR on a quarterly basis, out 10 years into the future. This set of future prices forms an estimate for the future trend in U.S. dollar LIBOR interest rates. This becomes an estimate for the “forward LIBOR yield curve”, which is used to price future lending and borrowing commitments as well as interest rate swap coupons.

Risk Management

The EuroDocII program is intended to be a low-leverage trading system that provides steady yields with minimum variance. To accomplish this, it targets margin to equity ratios in the range of 17% - 20%; however, leverage may be higher or lower depending on the risk and market conditions. Despite having somewhat flexible leverage, risk management is in place to minimize potential drawdowns. Position monitoring is layered, and as such it is conducted on both an individual contract basis as well as on a unilateral basis. There are many position components of this trading strategy; it is not a simple one-position long/short trending methodology. Consequently, risk is not so much the risk of the overall system as it is the risk which may be concentrated in particular components. To illustrate, eliminating one troublesome position may reduce overall risk more than non-discretionarily reducing overall leverage. If the trading program experiences a 5% intra-month drawdown event, the Trading Manager will evaluate to see if this was just an adverse occurrence, or, if changing market dynamics have altered the underlying trading premise and methodology.

   

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
-15.29 -1 - 1/1/0001 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
2.47 1 12/1/2012 12/1/2012
2.30 1 4/1/2013 4/1/2013
1.91 2 9/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.39 3 1/1/2013 3/1/2013
-4.91 1 8/1/2012 8/1/2012
-0.35 1 11/1/2012 11/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable44.4442.86
Average Period Return-1.50-3.76
Average Gain1.671.99
Average Loss-4.04-8.07
Best Period2.472.88
Worst Period-9.70-14.39
Standard Deviation4.086.85
Gain Standard Deviation0.850.77
Loss Standard Deviation3.845.97
Sharpe Ratio (1%)-0.39-0.58
Average Gain / Average Loss0.410.25
Profit / Loss Ratio0.330.18
Downside Deviation (10%)4.188.04
Downside Deviation (5%)4.007.40
Downside Deviation (0%)3.957.24
Sortino Ratio (10%)-0.46-0.62
Sortino Ratio (5%)-0.40-0.54
Sortino Ratio (0%)-0.38-0.52

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.