MKW Futures : Lambay Capital Volatility Program

archived programs
Year-to-Date
N / A
Jul Performance
-0.18%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
1.80%
Sharpe (RFR=1%)
-3.26
CAROR
-
Assets
$ 956k
Worst DD
-4.54
S&P Correlation
-0.11

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
Lambay Capital Volatility Program -0.18 - - - - - - -4.39
S&P 500 1.26 - - - - - - 206.20
+/- S&P 500 -1.44 - - - - - - -210.59

Strategy Description

Summary

The program will take volatility and directional positions using option spreads on futures in currencies, precious metals, stock indices and energy.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $6.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 10.00%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 95.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Precious Metals
20.00%
Energy
15.00%
Stock Indices
15.00%
Composition Pie Chart

Summary

The program will take volatility and directional positions using option spreads on futures in currencies, precious metals, stock indices and energy.

Investment Strategy

The strategy will involve buying and selling option spreads,i.e. calls against calls and puts against puts, when the market moves to extremes. The idea is to capture outlier positions while maintaining limited quantifiable risk. No naked short option positions will be allowed.

Risk Management

Risk is limited by having restrictions on the underlying exposure, Delta, as well as volatility, Vega, and time decay, Theta.

   

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
-4.54 10 - 9/1/2011 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
0.15 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.54 10 10/1/2011 7/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable9.090.00
Average Period Return-0.41-1.43
Average Gain0.15
Average Loss-0.46-1.43
Best Period0.15-0.33
Worst Period-1.53-3.34
Standard Deviation0.521.20
Gain Standard Deviation
Loss Standard Deviation0.511.20
Sharpe Ratio (1%)-0.94-1.40
Average Gain / Average Loss0.32
Profit / Loss Ratio0.03
Downside Deviation (10%)0.952.88
Downside Deviation (5%)0.702.02
Downside Deviation (0%)0.641.82
Sortino Ratio (10%)-0.85-0.92
Sortino Ratio (5%)-0.70-0.83
Sortino Ratio (0%)-0.64-0.78

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.