Lexington Asset Management : Lexington Keystone Trading Program Class A

Year-to-Date: N / A
Feb Performance: -9.82%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 22.01%
Sharpe (RFR=1%): -0.06
CAROR: -2.64%

Assets: $ 7.4M
Worst DD: -48.68
S&P Correlation: -0.24

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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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 10/2006
Lexington Keystone Trading Program Class A	-9.82	-	-	-	-	-	-30.95	-15.75
S&P 500	1.11	-	-	-	-	-	80.04	194.60
+/- S&P 500	-10.93	-	-	-	-	-	-111.00	-210.35

Strategy Description

Summary

Lexington Asset Management (LexAm) is an innovative alternative investment advisor specializing in the trading of global commodities and futures markets. LexAm's proprietary systematic trading methodology provides a unique solution for the diversification and enhancement of traditional... Read More

Account & Fees

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

Subscriptions

High Water Mark	Yes
Subscription Frequency	15-30 Days
Redemption Frequency	15-30 Days
Investor Requirements	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	1800 RT/YR/$M
Avg. Margin-to-Equity	10%
Targeted Worst DD
Worst Peak-to-Trough	41.29%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Trend-following: 100.00%

Composition

Softs: 18.00%
Currency Futures: 15.00%
Grains: 13.00%
Interest Rates: 13.00%
Stock Indices: 12.00%
Energy: 11.00%
Industrial Metals: 9.00%
Precious Metals: 9.00%

Summary

Investment Strategy

The Keystone Trading Program is managed by Lexington Asset Management, LLC, a commodity trading advisor. The program’s philosophy is to participate in and profit from sustained directional price movements experienced by a diverse group of global futures markets. Lexington’s approach is systematic and disciplined, thus eliminating emotional decisions that often lead to poor performance results. Several different trading systems are utilized among various time frames. These systems have been thoroughly backtested over many years and have proved themselves in regards to profitability and robustness.

Risk Management

Risk is managed at the system level with the implementation of stops designed to limit losses. Furthermore, the diversification across markets, systems and time frames provides significant profit potential, while reducing portfolio risk over time.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-48.68	39	-	11/1/2009	2/1/2013
-15.34	11	5	1/1/0001	8/1/2007
-12.46	5	3	2/1/2008	7/1/2008
-10.88	2	4	2/1/2009	4/1/2009
-4.32	2	1	8/1/2009	10/1/2009
-0.99	1	1	12/1/2008	1/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
57.78	6	9/1/2007	2/1/2008
32.32	5	8/1/2008	12/1/2008
19.37	5	6/1/2010	10/1/2010
9.78	1	3/1/2010	3/1/2010
9.16	1	7/1/2011	7/1/2011
8.22	1	5/1/2009	5/1/2009
8.06	1	9/1/2011	9/1/2011
7.88	1	11/1/2009	11/1/2009
6.51	1	4/1/2011	4/1/2011
5.97	1	7/1/2012	7/1/2012
5.47	2	7/1/2009	8/1/2009
4.45	2	6/1/2007	7/1/2007
4.14	1	2/1/2011	2/1/2011
3.57	2	1/1/2012	2/1/2012
3.20	2	5/1/2008	6/1/2008
2.38	1	2/1/2009	2/1/2009
1.89	1	1/1/2013	1/1/2013
1.60	1	5/1/2012	5/1/2012
0.10	1	4/1/2007	4/1/2007

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-20.33	5	8/1/2012	12/1/2012
-19.06	3	11/1/2010	1/1/2011
-18.37	3	12/1/2009	2/1/2010
-13.24	2	4/1/2010	5/1/2010
-10.88	2	3/1/2009	4/1/2009
-10.45	6	10/1/2006	3/1/2007
-10.06	3	10/1/2011	12/1/2011
-9.82	1	2/1/2013	2/1/2013
-9.41	2	3/1/2012	4/1/2012
-9.38	2	5/1/2011	6/1/2011
-8.59	2	3/1/2008	4/1/2008
-8.55	1	6/1/2012	6/1/2012
-7.20	1	7/1/2008	7/1/2008
-5.00	1	3/1/2011	3/1/2011
-4.98	1	8/1/2007	8/1/2007
-4.84	1	5/1/2007	5/1/2007
-4.32	2	9/1/2009	10/1/2009
-0.99	1	1/1/2009	1/1/2009
-0.30	1	6/1/2009	6/1/2009
-0.29	1	8/1/2011	8/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	77.00	75.00	72.00	66.00	60.00	54.00	42.00	30.00
Percent Profitable	46.75	36.00	44.44	43.94	45.00	46.30	50.00	56.67
Average Period Return	-0.03	0.15	0.94	4.60	8.52	10.91	10.80	13.34
Average Gain	4.98	11.47	15.10	25.33	37.17	44.63	43.70	38.44
Average Loss	-4.43	-6.21	-10.38	-11.65	-14.92	-18.16	-22.10	-19.48
Best Period	22.90	34.85	57.78	55.27	85.26	87.90	65.42	53.36
Worst Period	-11.66	-19.06	-25.23	-34.70	-34.28	-36.71	-42.26	-46.28
Standard Deviation	6.35	11.16	16.20	22.96	30.89	36.97	37.39	32.36
Gain Standard Deviation	5.12	10.28	13.49	18.60	23.12	26.85	21.10	11.06
Loss Standard Deviation	3.37	4.76	6.09	8.05	8.11	8.91	12.11	17.53
Sharpe Ratio (1%)	-0.02	-0.01	0.03	0.16	0.23	0.24	0.21	0.29
Average Gain / Average Loss	1.13	1.85	1.45	2.17	2.49	2.46	1.98	1.97
Profit / Loss Ratio	0.99	1.04	1.16	1.70	2.04	2.12	1.98	2.58
Downside Deviation (10%)	4.28	7.04	10.58	13.86	17.73	21.86	28.14	29.26
Downside Deviation (5%)	4.09	6.39	9.27	11.19	13.54	16.11	19.64	19.05
Downside Deviation (0%)	4.04	6.23	8.94	10.56	12.55	14.77	17.72	16.95
Sortino Ratio (10%)	-0.10	-0.15	-0.14	-0.03	0.05	0.03	-0.18	-0.28
Sortino Ratio (5%)	-0.03	-0.01	0.05	0.32	0.52	0.55	0.40	0.49
Sortino Ratio (0%)	-0.01	0.02	0.11	0.44	0.68	0.74	0.61	0.79

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.

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Lexington Asset Management : Lexington Keystone Trading Program Class A

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Lexington Asset Management : Lexington Keystone Trading Program Class A

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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