Madison Park Capital Partners, LLC : MPCP Sentiment Trading Fund

archived programs
Year-to-Date
N / A
Dec Performance
-0.95%
Min Investment
$ 350k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
7.27%
Sharpe (RFR=1%)
1.42
CAROR
11.65%
Assets
$ 48.0M
Worst DD
-7.31
S&P Correlation
0.27

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
MPCP Sentiment Trading Fund -0.95 -7.31 - 0.22 35.27 - - 45.71
S&P 500 -0.42 4.39 - 11.39 63.72 - - 68.89
+/- S&P 500 -0.53 -11.70 - -11.17 -28.45 - - -23.18

Strategy Description

Summary

Objective: Madison Park Capital Partners (“MPCP”) is an opportunistic trading firm, which seeks to capitalize on short-term market dislocations within S&P 500 & VIX derivatives complexes. The firm’s philosophy is rooted in the behavioral finance axiom that investors tend to both over-react... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 350k
Trading Level Incremental Increase
$ 350k
CTA Max Funding Factor
3.00
Management Fee
0%
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
Any Investor
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-4.74%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
90.00%
Intraday
10.00%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Counter-trend
75.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Stock Indices
75.00%
VIX
25.00%
Composition Pie Chart

Summary

Objective: Madison Park Capital Partners (“MPCP”) is an opportunistic trading firm, which seeks to capitalize on short-term market dislocations within S&P 500 & VIX derivatives complexes. The firm’s philosophy is rooted in the behavioral finance axiom that investors tend to both over-react to “false news” and under-react to “real news".

Investment Strategy

Strategy: MPCP’s trading leverages its proprietary database and extensive research on 13 years of equity and bond market sentiment. MPCP derives sentiment using data mining and computational linguistics to parse the financial press by machine reading roughly 2,500+ articles daily and extracting sentiment from those that are deemed relevant. Approach: MPCP has identified a number of “sentiment evolution patterns”, which the market cycles through over time. Using machine learning it generates trading signals conditioned on these patterns and exploits them across four sub-strategies. Trading is driven systematically with a discretionary overlay to optimize relative value relationships. Platform: MPCP offers its trading strategies via a separately managed account platform designed to relieve investors from the “hedge fund fatigue” of recent years offering its clients full transparency, daily liquidity, 1256 Contract taxefficiency, unique strategy access for IRA accounts and a 0%/20% management/performance fee pricing structure.

Risk Management

Each sub-strategy is has maximum risk weighting based on the sentiment state in which we are trading. Margin to equity ranges between 5%-15% and a maximum notional leverage of no more than 200%.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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Average Gain:
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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
-7.31 3 - 9/1/2014 12/1/2014
-4.50 1 1 4/1/2012 5/1/2012
-2.34 3 1 4/1/2014 7/1/2014
-1.29 1 1 12/1/2013 1/1/2014
-0.49 1 1 7/1/2013 8/1/2013
-0.04 1 1 4/1/2013 5/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
23.30 11 6/1/2012 4/1/2013
11.34 9 8/1/2011 4/1/2012
7.81 3 2/1/2014 4/1/2014
6.44 4 9/1/2013 12/1/2013
4.74 2 6/1/2013 7/1/2013
4.04 2 8/1/2014 9/1/2014
0.57 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.95 1 10/1/2014 10/1/2014
-4.50 1 5/1/2012 5/1/2012
-2.34 3 5/1/2014 7/1/2014
-1.29 1 1/1/2014 1/1/2014
-0.95 1 12/1/2014 12/1/2014
-0.49 1 8/1/2013 8/1/2013
-0.04 1 5/1/2013 5/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable78.0587.1888.89100.00100.00100.00
Average Period Return0.942.906.4614.9424.7234.13
Average Gain1.733.937.7114.9424.7234.13
Average Loss-1.84-4.13-3.59
Best Period5.208.0912.5423.2536.2144.21
Worst Period-6.95-7.31-5.460.227.1019.34
Standard Deviation2.103.344.385.996.555.78
Gain Standard Deviation1.191.912.545.996.555.78
Loss Standard Deviation2.322.252.30
Sharpe Ratio (1%)0.410.791.362.333.545.56
Average Gain / Average Loss0.940.952.15
Profit / Loss Ratio3.336.4817.19
Downside Deviation (10%)1.472.062.131.200.10
Downside Deviation (5%)1.361.731.520.14
Downside Deviation (0%)1.341.651.37
Sortino Ratio (10%)0.370.811.878.26169.29
Sortino Ratio (5%)0.631.543.9397.57
Sortino Ratio (0%)0.711.764.72

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 9 2.16 4/2014
Stock Index Trader Index Month 8 3.51 2/2014
IASG CTA Index Sharpe 3 2.55 2012 - 2013
Stock Index Trader Index Month 10 2.37 10/2013
Stock Index Trader Index Month 8 2.54 9/2013
Stock Index Trader Index Month 7 3.82 6/2013
Stock Index Trader Index Month 8 3.32 4/2013
Stock Index Trader Index Month 10 1.70 3/2013
IASG CTA Index Sharpe 8 2.05 2011 - 2012
Stock Index Trader Index Month 2 3.16 12/2012
Stock Index Trader Index Month 6 5.20 6/2012
Systematic Trader Index Month 10 5.20 6/2012
IASG CTA Index Sharpe 2 9.48 2010 - 2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.