MKC Global Investments LLC : MKC Global Fund, LP

archived programs
Year-to-Date
N / A
Jun Performance
-0.28%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.92%
Sharpe (RFR=1%)
0.17
CAROR
2.40%
Assets
$ 0k
Worst DD
-29.35
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
MKC Global Fund, LP -0.28 - - - - - 21.21 8.67
S&P 500 -1.50 - - - - - 64.80 222.58
+/- S&P 500 1.22 - - - - - -43.60 -213.91

Strategy Description

Summary

MKC Global Investments is a Commodity Trading Advisor (CTA) and a Commodity Pool Operator (CPO). We operate with the primary purpose of generating absolute returns for the limited partners. The company is based in Seattle, Washington. MKC Global Investments utilizes a proprietary system... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 12

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

MKC Global Investments is a Commodity Trading Advisor (CTA) and a Commodity Pool Operator (CPO). We operate with the primary purpose of generating absolute returns for the limited partners. The company is based in Seattle, Washington. MKC Global Investments utilizes a proprietary system designed to capture long term trends in the global futures and currency markets. Using the price of a market alone, not fundamental analysis or economic data, gives us the information needed to determine when to enter and exit a market. Risk management constitutes the majority of our system and remains the most important and involved aspect of MKC's methodology and portfolio management.

Investment Strategy

Our system utilizes price alone to signal when to enter a market, when to exit a market and helps determine position size. Broadly speaking, as trend followers, we choose to be buyers of a rising market and sellers of a declining one. Our system signals to go long after a market bottoms and begins to rise and signals us to exit after it peaks and begins to decline. The reverse holds true for short trades. Therefore, by definition we rarely catch turning points in a market's price, rather our strategy rides the price trend between them.

Risk Management

In actuality, MKC's system for entering and exiting a market involves only a handful of parameters. Our system is complex enough to generate the highest quality signals possible through thorough historical back testing, but broad enough to profitably work for every market in the world. We use the same system for every market, worldwide. Conversely, the substantial risk management protocols employed are more detailed. We enter a market with a predetermined stop price and only risk a maximum of 1% of assets under management per trade. Each market's volatility is tracked continuously in order to determine when the volatility skews the risk/reward ratio. The system also tracks the correlation of each position to ensure proper diversification. We believe in diversification to such an extent that MKC Global Investments trades more markets globally than almost any other managed futures fund. Several other aspects of our risk management system exist to lower the volatility of our portfolio and reduce the duration and extend of draw-downs. Risk management must be the cornerstone to any profitable strategy geared for long-term survival.

   

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
-29.35 17 - 9/1/2011 2/1/2013
-19.08 3 5 4/1/2010 7/1/2010
-12.69 2 2 4/1/2011 6/1/2011
-6.80 3 1 12/1/2010 3/1/2011
-6.50 1 2 1/1/0001 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
37.26 5 8/1/2010 12/1/2010
35.82 3 7/1/2011 9/1/2011
16.01 1 4/1/2011 4/1/2011
12.55 3 2/1/2010 4/1/2010
6.87 2 4/1/2012 5/1/2012
6.49 1 7/1/2012 7/1/2012
4.91 2 11/1/2011 12/1/2011
3.44 2 3/1/2013 4/1/2013
0.94 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.08 3 5/1/2010 7/1/2010
-16.16 7 8/1/2012 2/1/2013
-13.61 1 10/1/2011 10/1/2011
-12.69 2 5/1/2011 6/1/2011
-10.95 3 1/1/2012 3/1/2012
-8.27 1 6/1/2012 6/1/2012
-6.50 1 1/1/2010 1/1/2010
-5.15 1 3/1/2011 3/1/2011
-2.65 1 1/1/2011 1/1/2011
-0.77 2 5/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable47.6252.5040.5461.2968.0063.16
Average Period Return0.431.502.728.2512.3415.91
Average Gain5.829.0417.3321.3425.2628.58
Average Loss-4.47-6.84-7.23-12.47-15.11-5.82
Best Period17.6635.8237.5750.5059.4648.29
Worst Period-15.19-19.08-19.29-22.22-28.76-13.34
Standard Deviation6.9110.6215.0919.8324.6020.08
Gain Standard Deviation5.118.6912.7513.1118.1113.26
Loss Standard Deviation4.074.555.075.217.624.01
Sharpe Ratio (1%)0.050.120.150.370.440.69
Average Gain / Average Loss1.301.322.401.711.674.91
Profit / Loss Ratio1.181.461.632.713.558.42
Downside Deviation (10%)4.566.358.4111.3013.5910.03
Downside Deviation (5%)4.385.777.088.9410.235.26
Downside Deviation (0%)4.335.626.768.369.454.19
Sortino Ratio (10%)0.000.040.030.290.350.56
Sortino Ratio (5%)0.080.220.310.811.062.64
Sortino Ratio (0%)0.100.270.400.991.313.80

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.