Lexington Asset Management : Lexington Keystone Trading Program Class A

archived programs
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

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 - - - - - -39.84 -15.75
S&P 500 1.11 - - - - - 80.04 151.40
+/- S&P 500 -10.93 - - - - - -119.88 -167.15

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%
Strategy Pie Chart

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%
Composition Pie Chart

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 asset investment portfolios (stocks and bonds).

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00
Percent Profitable46.7536.0044.4443.9445.0046.3050.0056.67
Average Period Return-0.030.150.944.608.5210.9110.8013.34
Average Gain4.9811.4715.1025.3337.1744.6343.7038.44
Average Loss-4.43-6.21-10.38-11.65-14.92-18.16-22.10-19.48
Best Period22.9034.8557.7855.2785.2687.9065.4253.36
Worst Period-11.66-19.06-25.23-34.70-34.28-36.71-42.26-46.28
Standard Deviation6.3511.1616.2022.9630.8936.9737.3932.36
Gain Standard Deviation5.1210.2813.4918.6023.1226.8521.1011.06
Loss Standard Deviation3.374.766.098.058.118.9112.1117.53
Sharpe Ratio (1%)-0.02-0.010.030.160.230.240.210.29
Average Gain / Average Loss1.131.851.452.172.492.461.981.97
Profit / Loss Ratio0.991.041.161.702.042.121.982.58
Downside Deviation (10%)4.287.0410.5813.8617.7321.8628.1429.26
Downside Deviation (5%)4.096.399.2711.1913.5416.1119.6419.05
Downside Deviation (0%)4.046.238.9410.5612.5514.7717.7216.95
Sortino Ratio (10%)-0.10-0.15-0.14-0.030.050.03-0.18-0.28
Sortino Ratio (5%)-0.03-0.010.050.320.520.550.400.49
Sortino Ratio (0%)-0.010.020.110.440.680.740.610.79

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.