Malachi Capital Management : Malachi Red Deer Program

archived programs
Year-to-Date
N / A
Dec Performance
-0.18%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.53%
Sharpe (RFR=1%)
-0.15
CAROR
-
Assets
$ 3.3M
Worst DD
-6.52
S&P Correlation
0.02

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
Malachi Red Deer Program -0.18 - - - - - - -0.31
S&P 500 0.71 - - - - - - 184.21
+/- S&P 500 -0.89 - - - - - - -184.52

Strategy Description

Summary

The Malachi Red Deer program trades lean hog seasonal spreads and outright positions. It is primarily a discretionary program, with technical components focused on trade entry and exit points. Trade duration for seasonal spreads is generally from three to six weeks, though individual... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 60.00%
Intraday 20.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Counter-trend
10.00%
Seasonal/cyclical
50.00%
Technical
10.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Livestock
100.00%
Composition Pie Chart

Summary

The Malachi Red Deer program trades lean hog seasonal spreads and outright positions. It is primarily a discretionary program, with technical components focused on trade entry and exit points. Trade duration for seasonal spreads is generally from three to six weeks, though individual legs of a particular spread may be modified over time to establish a new spread position. Many positions may be considered "scalps" that are completed intraday or are held for a short period of time to take advantage of market anomalies.

Investment Strategy

The Malachi Red Deer program is designed to exploit the trader's three decades of experience in Chicago’s hog trading pit and his fundamental knowledge of hog, cattle and grain markets. The program is based on the trader's personal account trading methodology and was recently revised to exploit more volatile market conditions. The trader’s own account is traded at a level of $4 million in the program alongside investor accounts, and average pricing is used for all trades. See information brochure for complete details.

Risk Management

Malachi’s overall risk management approach is centered on sound money management methods and risk calculations for all trades. Malachi calculates risk subjectively by analyzing fundamental and technical factors (such as volatility, open interest, seasonal influences, supply and demand, news events, etc.) in light of its money management techniques.

   

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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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
-6.52 4 - 8/1/2012 12/1/2012
-3.31 2 2 4/1/2012 6/1/2012
-0.66 2 2 12/1/2011 2/1/2012
-0.37 1 1 9/1/2011 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
5.64 2 7/1/2012 8/1/2012
2.58 2 8/1/2011 9/1/2011
2.02 2 11/1/2011 12/1/2011
0.79 2 3/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.52 4 9/1/2012 12/1/2012
-3.31 2 5/1/2012 6/1/2012
-0.66 2 1/1/2012 2/1/2012
-0.37 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable47.0653.3358.33
Average Period Return0.000.030.34
Average Gain1.372.371.90
Average Loss-1.22-2.64-1.83
Best Period3.345.433.92
Worst Period-4.52-6.35-3.19
Standard Deviation1.883.222.23
Gain Standard Deviation1.111.591.27
Loss Standard Deviation1.572.371.08
Sharpe Ratio (1%)-0.04-0.07-0.07
Average Gain / Average Loss1.120.901.04
Profit / Loss Ratio1.001.031.45
Downside Deviation (10%)1.603.042.98
Downside Deviation (5%)1.442.481.63
Downside Deviation (0%)1.402.341.33
Sortino Ratio (10%)-0.25-0.39-0.71
Sortino Ratio (5%)-0.06-0.09-0.09
Sortino Ratio (0%)0.000.010.26

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.