M6 Capital Management LLC : Standard Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance -7.53% Min Investment $ 300k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 12.87% Sharpe (RFR=1%) 0.23 CAROR 3.20% Assets $ 78.8M Worst DD -22.94 S&P Correlation -0.03 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since7/2005 Standard Program -7.53 - - - -19.06 -16.12 -2.91 52.28 S&P 500 -6.94 - - - 29.10 52.82 177.05 201.19 +/- S&P 500 -0.59 - - - -48.16 -68.94 -179.96 -148.91 Strategy Description Investment StrategyThe CTA will utilize both fundamental and technical analysis in his trading program. Fundamental analysis looks at external factors that affect the supply and demand of a particular commodity interest in order to anticipate future prices. Such fundamental analysis may include:... Read More Account & Fees Type Managed Account Minimum Investment $ 300k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 4500 RT/YR/$M Avg. Margin-to-Equity 3% Targeted Worst DD Worst Peak-to-Trough Sector Focus Agricultural Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Fundamental 100.00% Composition Grains 70.00% Livestock 30.00% Investment StrategyThe CTA will utilize both fundamental and technical analysis in his trading program. Fundamental analysis looks at external factors that affect the supply and demand of a particular commodity interest in order to anticipate future prices. Such fundamental analysis may include: economic issues, weather patterns, political occurrences, foreign monetary exchange rates and production patterns. Technical analysis is based on the theory that a study of the markets themselves will provide a means of anticipating future prices. Technical analysis generally includes a study of daily, weekly, and monthly price fluctuations, open interest and trading volume. Such price predictions are generally based on computer-generated signals, mathematical relationships, chart interpretation or any combination of such items. The CTA will utilize fundamental analysis to determine which markets have potentially favorable trading opportunities and will utilize technical analysis to help time entry to and exit from such markets in order to maximize profitability and to minimize risk to investors. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -22.94 75 - 7/1/2012 10/1/2018 -15.40 11 6 7/1/2006 6/1/2007 -11.66 2 3 1/1/2008 3/1/2008 -11.06 8 6 10/1/2010 6/1/2011 -8.74 5 11 6/1/2009 11/1/2009 -6.19 7 5 6/1/2008 1/1/2009 -4.52 4 1 8/1/2005 12/1/2005 -3.61 2 1 4/1/2006 6/1/2006 -3.53 3 1 12/1/2011 3/1/2012 -1.02 1 1 4/1/2012 5/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.82 2 9/1/2010 10/1/2010 23.21 2 7/1/2005 8/1/2005 19.48 7 7/1/2007 1/1/2008 18.51 4 1/1/2006 4/1/2006 17.88 2 6/1/2012 7/1/2012 13.65 6 7/1/2011 12/1/2011 13.42 3 4/1/2008 6/1/2008 11.28 7 1/1/2017 7/1/2017 9.45 3 7/1/2014 9/1/2014 9.09 3 6/1/2015 8/1/2015 6.88 5 2/1/2009 6/1/2009 6.84 2 8/1/2016 9/1/2016 6.35 1 6/1/2016 6/1/2016 5.70 3 11/1/2015 1/1/2016 5.47 2 5/1/2010 6/1/2010 5.05 2 12/1/2009 1/1/2010 4.82 1 7/1/2006 7/1/2006 4.63 3 6/1/2013 8/1/2013 4.19 3 9/1/2017 11/1/2017 3.97 1 5/1/2014 5/1/2014 3.94 5 11/1/2012 3/1/2013 3.82 1 11/1/2005 11/1/2005 3.79 1 4/1/2012 4/1/2012 2.67 1 4/1/2011 4/1/2011 2.48 1 3/1/2018 3/1/2018 2.36 1 3/1/2010 3/1/2010 2.17 2 8/1/2018 9/1/2018 1.85 2 12/1/2010 1/1/2011 1.81 1 8/1/2008 8/1/2008 1.54 2 10/1/2008 11/1/2008 1.54 2 10/1/2006 11/1/2006 1.35 1 3/1/2015 3/1/2015 1.02 1 10/1/2009 10/1/2009 1.00 1 1/1/2015 1/1/2015 0.87 1 2/1/2012 2/1/2012 0.39 1 2/1/2014 2/1/2014 0.35 1 1/1/2007 1/1/2007 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.69 3 10/1/2014 12/1/2014 -11.66 2 2/1/2008 3/1/2008 -11.49 5 2/1/2007 6/1/2007 -11.36 4 4/1/2018 7/1/2018 -8.33 3 8/1/2012 10/1/2012 -8.22 4 2/1/2016 5/1/2016 -7.74 3 12/1/2017 2/1/2018 -7.53 1 10/1/2018 10/1/2018 -7.43 3 10/1/2016 12/1/2016 -7.31 5 9/1/2013 1/1/2014 -6.74 3 7/1/2009 9/1/2009 -6.68 1 11/1/2010 11/1/2010 -6.65 2 5/1/2011 6/1/2011 -5.97 2 8/1/2006 9/1/2006 -5.94 2 12/1/2008 1/1/2009 -4.43 2 9/1/2005 10/1/2005 -4.22 2 3/1/2014 4/1/2014 -4.05 1 8/1/2017 8/1/2017 -3.87 2 4/1/2015 5/1/2015 -3.77 1 12/1/2005 12/1/2005 -3.64 2 7/1/2010 8/1/2010 -3.61 2 5/1/2006 6/1/2006 -3.19 1 7/1/2008 7/1/2008 -3.13 1 11/1/2009 11/1/2009 -3.10 1 4/1/2010 4/1/2010 -3.03 1 2/1/2015 2/1/2015 -3.01 1 2/1/2010 2/1/2010 -2.94 1 7/1/2016 7/1/2016 -2.89 1 1/1/2012 1/1/2012 -2.36 2 2/1/2011 3/1/2011 -2.21 1 6/1/2014 6/1/2014 -2.13 2 9/1/2015 10/1/2015 -1.52 1 3/1/2012 3/1/2012 -1.02 1 5/1/2012 5/1/2012 -0.71 2 4/1/2013 5/1/2013 -0.34 1 9/1/2008 9/1/2008 -0.25 1 12/1/2006 12/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods160.00158.00155.00149.00143.00137.00125.00113.00101.00 Percent Profitable54.3853.1652.2661.0762.2468.6171.2076.1189.11 Average Period Return0.330.891.653.224.806.6110.6614.4220.39 Average Gain2.765.307.618.9510.7812.4716.9620.7324.14 Average Loss-2.56-4.11-4.88-5.77-5.06-6.22-4.92-5.67-10.28 Best Period17.8923.2926.8634.3834.1645.6145.9048.5856.06 Worst Period-10.21-11.69-13.72-19.78-15.70-15.96-15.94-15.36-21.83 Standard Deviation3.726.147.859.3410.2311.9614.8316.7016.92 Gain Standard Deviation3.014.645.736.887.939.5712.8313.9113.67 Loss Standard Deviation2.013.003.394.104.133.913.814.236.15 Sharpe Ratio (1%)0.070.100.150.240.320.380.510.620.90 Average Gain / Average Loss1.081.291.561.552.132.013.453.662.35 Profit / Loss Ratio1.281.461.712.433.514.398.5211.6519.22 Downside Deviation (10%)2.424.195.607.298.5510.1612.7816.0716.78 Downside Deviation (5%)2.243.614.384.934.755.104.755.235.50 Downside Deviation (0%)2.193.474.094.414.004.103.323.443.90 Sortino Ratio (10%)-0.03-0.08-0.15-0.24-0.33-0.36-0.40-0.44-0.43 Sortino Ratio (5%)0.110.180.260.450.690.901.611.982.78 Sortino Ratio (0%)0.150.260.400.731.201.613.214.205.22 Top Performer Badges Index Award Type Rank Performance Period Agricultural Trader Index Month 7 0.11 9/2018 Agricultural Trader Index Month 2 2.13 8/2018 Discretionary Trader Index Month 5 2.13 8/2018 Agricultural Trader Index Month 4 2.40 3/2018 Discretionary Trader Index Month 9 2.40 3/2018 Agricultural Trader Index Month 7 1.31 11/2017 Discretionary Trader Index Month 7 2.59 10/2017 Agricultural Trader Index Month 3 2.59 10/2017 Agricultural Trader Index Month 2 5.00 7/2017 Discretionary Trader Index Month 4 5.00 7/2017 Agricultural Trader Index Month 5 2.19 5/2017 Agricultural Trader Index Month 2 1.31 4/2017 Agricultural Trader Index Month 9 0.87 3/2017 Agricultural Trader Index Month 9 0.22 2/2017 Agricultural Trader Index Month 9 0.44 1/2017 Agricultural Trader Index Month 6 1.22 9/2016 Agricultural Trader Index Month 1 5.55 8/2016 IASG CTA Index Month 3 5.55 8/2016 Discretionary Trader Index Month 3 5.55 8/2016 Agricultural Trader Index Month 5 6.35 6/2016 Discretionary Trader Index Month 7 6.35 6/2016 Agricultural Trader Index Month 2 1.62 1/2016 Discretionary Trader Index Month 4 3.08 12/2015 Agricultural Trader Index Month 4 3.08 12/2015 IASG CTA Index Month 8 3.08 12/2015 Agricultural Trader Index Month 8 0.90 11/2015 IASG CTA Index Month 6 7.37 8/2015 Discretionary Trader Index Month 1 7.37 8/2015 Agricultural Trader Index Month 1 7.37 8/2015 Agricultural Trader Index Month 9 4.44 9/2014 Agricultural Trader Index Month 9 4.28 7/2014 Agricultural Trader Index Month 5 4.02 5/2014 Agricultural Trader Index Month 10 0.39 2/2014 Discretionary Trader Index Month 9 3.85 8/2013 Agricultural Trader Index Month 3 3.85 8/2013 Agricultural Trader Index Month 5 0.81 3/2013 Agricultural Trader Index Month 7 1.06 1/2013 Agricultural Trader Index Month 7 0.56 12/2012 Agricultural Trader Index Month 5 0.42 11/2012 Agricultural Trader Index Month 9 8.07 7/2012 Agricultural Trader Index Month 8 9.08 6/2012 Agricultural Trader Index Month 5 3.79 4/2012 Agricultural Trader Index Month 6 1.28 12/2011 Agricultural Trader Index Month 4 3.29 10/2011 Agricultural Trader Index Month 7 0.25 9/2011 Agricultural Trader Index Month 7 3.51 8/2011 Agricultural Trader Index Month 5 4.63 7/2011 Agricultural Trader Index Month 9 2.67 4/2011 Agricultural Trader Index Month 10 1.40 1/2011 Agricultural Trader Index Month 6 17.89 10/2010 Discretionary Trader Index Month 7 17.89 10/2010 Agricultural Trader Index Month 10 5.88 9/2010 Agricultural Trader Index Month 6 3.61 6/2010 Agricultural Trader Index Month 7 1.80 5/2010 Agricultural Trader Index Month 5 2.36 3/2010 Agricultural Trader Index Month 8 4.24 1/2010 Agricultural Trader Index Month 7 0.78 12/2009 Agricultural Trader Index Month 6 1.02 10/2009 Agricultural Trader Index Month 8 2.11 6/2009 Agricultural Trader Index Month 7 2.28 4/2009 Agricultural Trader Index Month 9 0.20 3/2009 Agricultural Trader Index Month 9 1.18 2/2009 Agricultural Trader Index Month 7 0.26 11/2008 Agricultural Trader Index Month 4 1.28 10/2008 Agricultural Trader Index Month 7 -0.34 9/2008 Agricultural Trader Index Month 8 1.81 8/2008 Agricultural Trader Index Month 8 -3.19 7/2008 Agricultural Trader Index Month 6 8.75 6/2008 Discretionary Trader Index Month 8 8.75 6/2008 Agricultural Trader Index Month 6 2.03 5/2008 Agricultural Trader Index Month 7 2.21 4/2008 Agricultural Trader Index Month 8 -1.62 3/2008 Agricultural Trader Index Month 9 0.09 1/2008 Agricultural Trader Index Month 7 3.02 12/2007 Agricultural Trader Index Month 3 1.35 11/2007 Agricultural Trader Index Month 3 3.06 10/2007 Agricultural Trader Index Month 7 1.30 9/2007 Agricultural Trader Index Month 3 3.06 8/2007 Discretionary Trader Index Month 9 3.06 8/2007 Discretionary Trader Index Month 3 6.26 7/2007 Agricultural Trader Index Month 1 6.26 7/2007 Agricultural Trader Index Month 10 -0.11 6/2007 Agricultural Trader Index Month 9 -3.96 4/2007 Agricultural Trader Index Month 9 -5.51 3/2007 Agricultural Trader Index Month 9 -0.81 2/2007 Agricultural Trader Index Month 8 0.35 1/2007 Agricultural Trader Index Month 7 -0.25 12/2006 Agricultural Trader Index Month 10 1.33 11/2006 Agricultural Trader Index Month 7 0.21 10/2006 Agricultural Trader Index Month 9 -3.37 9/2006 Agricultural Trader Index Month 8 -2.69 8/2006 IASG CTA Index Month 6 4.82 7/2006 Agricultural Trader Index Month 2 4.82 7/2006 Discretionary Trader Index Month 5 4.82 7/2006 Agricultural Trader Index Month 5 -0.66 6/2006 Agricultural Trader Index Month 7 -2.97 5/2006 Discretionary Trader Index Month 8 4.07 4/2006 Agricultural Trader Index Month 3 4.07 4/2006 Agricultural Trader Index Month 5 3.52 3/2006 Discretionary Trader Index Month 9 3.52 3/2006 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel