M6 Capital Management LLC : Standard Program

archived programsClosed to new investments
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

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 YTD 1yr 3yr 5yr 10yr Since
7/2005
Standard Program -7.53 -5.52 - -19.78 -12.75 -21.83 7.31 52.28
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 117.47
+/- S&P 500 -0.59 -1.81 - -25.08 -41.85 -74.66 -169.74 -65.18

Strategy Description

Investment Strategy

The 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%
Strategy Pie Chart

Composition

Grains
70.00%
Livestock
30.00%
Composition Pie Chart

Investment Strategy

The 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.

   

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
-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
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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
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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
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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.