MKW Futures : Delta V

archived programs
Year-to-Date
N / A
Dec Performance
-0.36%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
3.09%
Sharpe (RFR=1%)
0.14
CAROR
1.38%
Assets
$ 10.8M
Worst DD
-3.15
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
1/2014
Delta V -0.36 - - - - -1.51 - 2.78
S&P 500 -1.75 - - - - 62.49 - 94.36
+/- S&P 500 1.39 - - - - -64.01 - -91.59

Strategy Description

Summary

The Delta V Program is a trading strategy that uses exchange traded options on futures to take advantage of fluctuations in the price of the underlying traded instruments. The program uses a proprietary analytical process where an instruments volatility and trend are modelled to determine... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 4.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $3.45
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 2500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 0.20%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 2.00%
1-30 Days 88.00%
Intraday 10.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Option-purchasing
10.00%
Option-spreads
90.00%
Strategy Pie Chart

Composition

Currency Futures
30.00%
Energy
15.00%
Grains
15.00%
Livestock
15.00%
Stock Indices
9.00%
Precious Metals
8.00%
Interest Rates
8.00%
Composition Pie Chart

Summary

The Delta V Program is a trading strategy that uses exchange traded options on futures to take advantage of fluctuations in the price of the underlying traded instruments. The program uses a proprietary analytical process where an instruments volatility and trend are modelled to determine the correct option strategies and combinations.

Investment Strategy

The models parameters are based on directional volatility calculations and the application of defined trading rules. Once trading has commenced orders are placed in the market and are monitored accordingly

Risk Management

The program maintains positive tail risk to limit risk exposure to outlying events and the investment process is rule based and managed by experienced traders.

   

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
-3.15 11 - 1/1/2015 12/1/2015
-0.81 2 1 10/1/2014 12/1/2014
-0.39 2 1 6/1/2014 8/1/2014
-0.21 1 2 1/1/0001 1/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
4.97 2 9/1/2014 10/1/2014
1.28 1 1/1/2015 1/1/2015
1.23 5 2/1/2014 6/1/2014
0.85 2 4/1/2015 5/1/2015
0.47 1 7/1/2015 7/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-2.34 5 8/1/2015 12/1/2015
-1.43 2 2/1/2015 3/1/2015
-0.81 2 11/1/2014 12/1/2014
-0.70 1 6/1/2015 6/1/2015
-0.39 2 7/1/2014 8/1/2014
-0.21 1 1/1/2014 1/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable45.8363.6457.8976.92100.00
Average Period Return0.120.441.222.973.79
Average Gain0.791.192.884.453.79
Average Loss-0.45-0.86-1.07-1.96
Best Period2.784.725.476.345.46
Worst Period-0.85-1.74-2.22-2.101.74
Standard Deviation0.891.622.543.041.27
Gain Standard Deviation0.901.551.981.351.27
Loss Standard Deviation0.260.590.790.13
Sharpe Ratio (1%)0.040.120.280.651.80
Average Gain / Average Loss1.751.382.692.27
Profit / Loss Ratio1.482.413.707.58
Downside Deviation (10%)0.671.442.483.543.98
Downside Deviation (5%)0.440.751.131.42
Downside Deviation (0%)0.380.620.840.94
Sortino Ratio (10%)-0.43-0.55-0.51-0.57-0.96
Sortino Ratio (5%)0.080.260.641.39
Sortino Ratio (0%)0.310.721.443.15

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.