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Malachi Capital Management : Malachi S&P Program

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Year-to-Date
N / A
Mar Performance
0.16%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.48%
Sharpe (RFR=1%)
-1.26
CAROR
-5.90%
Assets
$ 47k
Worst DD
-12.43
S&P Correlation
-0.61
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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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
4/2009
Malachi S&P Program 0.16 - - - - - -2.24 -11.45
S&P 500 -0.10 - - - - - 14.27 281.32
+/- S&P 500 0.26 - - - - - -16.51 -292.78

Strategy Description

Summary

The Malachi S&P program is designed to profit from short-term trends and volatility in the S&P e-mini index futures market. It is primarily a discretionary program, with technical analysis components that include charting techniques and a proprietary computer program. The robustness... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 1

Trading

Trading Frequency 4200 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days
Intraday 50.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Fundamental
30.00%
Seasonal/cyclical
20.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Malachi S&P program is designed to profit from short-term trends and volatility in the S&P e-mini index futures market. It is primarily a discretionary program, with technical analysis components that include charting techniques and a proprietary computer program. The robustness of a trade, characterized by confirmation of multiple technical indicators, determines the position size and verifies the entry point.

   

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

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
-12.43 -1 - 1/1/0001 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
7.07 3 4/1/2010 6/1/2010
0.28 1 1/1/2010 1/1/2010
0.16 1 3/1/2011 3/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.72 9 4/1/2009 12/1/2009
-5.72 8 7/1/2010 2/1/2011
-3.27 2 2/1/2010 3/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable20.8313.6431.587.690.00
Average Period Return-0.49-1.32-2.41-3.18-6.76
Average Gain1.484.712.351.11
Average Loss-1.01-2.27-4.61-3.53-6.76
Best Period5.217.073.861.11-3.64
Worst Period-2.88-4.59-8.11-12.43-9.42
Standard Deviation1.582.803.693.591.87
Gain Standard Deviation2.132.141.32
Loss Standard Deviation0.901.291.783.501.87
Sharpe Ratio (1%)-0.36-0.56-0.79-1.16-4.41
Average Gain / Average Loss1.462.070.510.31
Profit / Loss Ratio0.380.330.230.03
Downside Deviation (10%)1.493.456.058.8714.46
Downside Deviation (5%)1.252.614.465.428.44
Downside Deviation (0%)1.192.414.074.686.98
Sortino Ratio (10%)-0.61-0.74-0.81-0.92-0.99
Sortino Ratio (5%)-0.46-0.60-0.65-0.77-0.98
Sortino Ratio (0%)-0.41-0.55-0.59-0.68-0.97

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.

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