MKW Futures : Dollar Value FX

archived programs
Year-to-Date
N / A
Dec Performance
0.09%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
4.00%
Sharpe (RFR=1%)
1.26
CAROR
6.13%
Assets
$ 9.9M
Worst DD
-3.50
S&P Correlation
0.33

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
1/2011
Dollar Value FX 0.09 - - - - 0.26 - 34.63
S&P 500 -1.75 - - - - 62.49 - 151.63
+/- S&P 500 1.84 - - - - -62.23 - -117.00

Strategy Description

Summary

Lambay Capital trading as MKW Futures has since January 2011 developed a new program called the Dollar Value FX program, DVFX. This trading program has been operating as a proprietary client.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 4.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $3.50
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 2.80%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 45.00%
Intraday 5.00%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Currency Futures
90.00%
Currency FX
10.00%
Composition Pie Chart

Summary

Lambay Capital trading as MKW Futures has since January 2011 developed a new program called the Dollar Value FX program, DVFX. This trading program has been operating as a proprietary client.

Investment Strategy

The investment objective of the DVFX is to deliver a risk adjusted return in excess of 10% with a volatility target of less than 5%.It trades spot FX and exchange-traded currencies mostly on the IFUS but also on the CME. The DVFX will typically seek to profit by taking advantage of differences in the valuation US Dollar Index Futures (DX) relative to the firm’s valuation model.

Risk Management

Investments, on both an individual and portfolio basis, will be subject to continuous real-time mark to market as well as an on-going risk management process. Occasionally, the DVFX program will exhibit a mark-to-market loss.. In the case that the mark-to-market loss is approaching our margin limit of 30% of nominal account value, (due to margin increases or sustained distance from our model valuation), then positions in the portfolio will be reduced.

   

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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
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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
-3.50 6 - 7/1/2014 1/1/2015
-2.26 1 3 8/1/2011 9/1/2011
-0.48 2 1 6/1/2012 8/1/2012
-0.27 1 2 3/1/2012 4/1/2012
-0.22 1 1 4/1/2011 5/1/2011
-0.21 4 1 11/1/2013 3/1/2014
-0.15 1 1 9/1/2013 10/1/2013
-0.14 1 1 6/1/2011 7/1/2011
-0.11 1 1 4/1/2013 5/1/2013
-0.10 1 1 7/1/2013 8/1/2013
-0.08 1 1 4/1/2014 5/1/2014
-0.01 1 1 9/1/2012 10/1/2012
-0.01 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
8.55 4 1/1/2011 4/1/2011
7.49 6 10/1/2011 3/1/2012
5.09 2 5/1/2012 6/1/2012
4.88 3 11/1/2012 1/1/2013
2.28 2 3/1/2013 4/1/2013
1.91 3 2/1/2015 4/1/2015
1.90 2 6/1/2013 7/1/2013
1.33 1 9/1/2013 9/1/2013
1.30 1 9/1/2012 9/1/2012
0.82 1 6/1/2011 6/1/2011
0.80 1 8/1/2011 8/1/2011
0.73 1 11/1/2013 11/1/2013
0.53 2 6/1/2014 7/1/2014
0.50 1 4/1/2014 4/1/2014
0.28 1 6/1/2015 6/1/2015
0.26 2 11/1/2015 12/1/2015
0.16 1 1/1/2014 1/1/2014
0.05 1 9/1/2014 9/1/2014
0.03 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.44 4 10/1/2014 1/1/2015
-2.26 1 9/1/2011 9/1/2011
-0.48 2 7/1/2012 8/1/2012
-0.27 1 4/1/2012 4/1/2012
-0.22 1 5/1/2011 5/1/2011
-0.21 2 2/1/2014 3/1/2014
-0.20 1 10/1/2015 10/1/2015
-0.16 1 12/1/2013 12/1/2013
-0.15 1 10/1/2013 10/1/2013
-0.14 1 7/1/2011 7/1/2011
-0.11 1 8/1/2014 8/1/2014
-0.11 1 5/1/2013 5/1/2013
-0.10 1 5/1/2015 5/1/2015
-0.10 1 8/1/2013 8/1/2013
-0.08 1 5/1/2014 5/1/2014
-0.07 2 7/1/2015 8/1/2015
-0.01 1 2/1/2013 2/1/2013
-0.01 1 10/1/2012 10/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable60.0077.5987.2775.5172.0989.19100.00100.00
Average Period Return0.501.502.885.949.6713.3920.4325.49
Average Gain1.072.173.578.3613.7215.0720.4325.49
Average Loss-0.35-0.81-1.83-1.49-0.78-0.47
Best Period4.836.969.2015.1521.0426.2135.4133.68
Worst Period-2.26-3.33-3.50-2.79-1.33-0.826.6721.40
Standard Deviation1.152.083.275.688.129.578.283.77
Gain Standard Deviation1.101.802.884.315.628.728.283.77
Loss Standard Deviation0.591.121.070.470.390.28
Sharpe Ratio (1%)0.360.600.730.871.011.192.105.68
Average Gain / Average Loss3.002.691.955.6017.5432.01
Profit / Loss Ratio4.709.3113.3517.2545.32264.11
Downside Deviation (10%)0.601.181.903.484.625.123.110.04
Downside Deviation (5%)0.450.710.911.261.230.85
Downside Deviation (0%)0.420.640.740.770.460.17
Sortino Ratio (10%)0.160.240.220.270.450.611.5096.17
Sortino Ratio (5%)0.941.762.623.936.6613.33
Sortino Ratio (0%)1.202.363.887.7021.1076.77

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.