PAK Capital, LLC : PAK Capital Currency Program

Year-to-Date
0.43%
Sep Performance
0.23%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.62%
Sharpe (RFR=1%)
-0.14
CAROR
0.59%
Assets
$ 2.2M
Worst DD
-4.71
S&P Correlation
0.10

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
PAK Capital Currency Program 0.23 1.98 0.43 -1.27 - - - 1.42
S&P 500 1.72 1.19 18.74 2.15 - - - 22.17
+/- S&P 500 -1.49 0.79 -18.31 -3.42 - - - -20.75

Strategy Description

Summary

The PAK Capital Currency Program trades exchange-traded currency futures contracts - primarily the US Dollar against the Euro Currency, British Pound, Japanese Yen, Swiss Franc, Canadian Dollar, Australian Dollar and New Zealand Dollar.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1250 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
50.00%
Momentum
25.00%
Pattern Recognition
15.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The PAK Capital Currency Program trades exchange-traded currency futures contracts - primarily the US Dollar against the Euro Currency, British Pound, Japanese Yen, Swiss Franc, Canadian Dollar, Australian Dollar and New Zealand Dollar.

Investment Strategy

A combination of technical and fundamental analysis is utilized to pinpoint trade opportunities. The technical component of the Program is a modified version of the Richard Dennis “Turtle” system. Fundamental factors include macroeconomics, financial and geopolitical events and other external factors that affect market prices. Trading is directional and concentrates on clearly-defined opportunity sets as and when they emerge. Each currency is evaluated on price action, timing parameters, strength/weakness and other information. Trade initiation relies on price breakout, pattern recognition and the Advisor’s experience in analyzing the relevant fundamental and technical facts affecting futures prices. Trade selection is discretionary. A number of systematic momentum strategies are employed. The Program is designed to maximize profits with trades of short and intermediate-term duration though frequently has a long-term positioning bias. There are times when the Advisor’s trading program is fully positioned in the markets and times when it is not in the markets at all depending on assessment of the reward and risk ratio.

Risk Management

Effective risk management is a crucial aspect of the Program and the Advisor has set of defined risk parameters. Predetermined stop loss points are calculated for each trade based on market volatility and other factors. Stops are placed upon entry, and trailing stops are used to protect profits. The money management system determines and limits the amount of equity committed to each trade, as well as to each currency and group of currencies. Preservation of equity for client accounts during unfavorable markets is key to the success of its program.

   

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
-4.71 8 - 8/1/2018 4/1/2019
-1.29 3 2 9/1/2017 12/1/2017
-1.05 2 4 2/1/2018 4/1/2018
-0.05 1 1 5/1/2017 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
3.14 3 7/1/2017 9/1/2017
2.61 3 5/1/2019 7/1/2019
1.30 2 1/1/2018 2/1/2018
1.03 2 7/1/2018 8/1/2018
0.41 1 5/1/2017 5/1/2017
0.31 1 2/1/2019 2/1/2019
0.23 1 9/1/2019 9/1/2019
0.16 1 5/1/2018 5/1/2018
0.09 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.23 2 12/1/2018 1/1/2019
-1.71 2 9/1/2018 10/1/2018
-1.29 3 10/1/2017 12/1/2017
-1.24 2 3/1/2019 4/1/2019
-1.05 2 3/1/2018 4/1/2018
-0.12 1 8/1/2019 8/1/2019
-0.05 1 6/1/2017 6/1/2017
-0.04 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable51.7248.1550.0027.7825.00
Average Period Return0.050.13-0.28-1.14-1.72
Average Gain0.621.541.301.891.32
Average Loss-0.55-1.18-1.85-2.31-2.73
Best Period1.873.143.392.431.83
Worst Period-1.32-2.14-3.71-4.04-4.51
Standard Deviation0.761.571.972.202.05
Gain Standard Deviation0.520.870.980.640.63
Loss Standard Deviation0.430.621.331.181.04
Sharpe Ratio (1%)-0.04-0.08-0.39-0.97-1.57
Average Gain / Average Loss1.111.300.700.820.48
Profit / Loss Ratio1.191.210.700.320.16
Downside Deviation (10%)0.741.813.356.509.52
Downside Deviation (5%)0.531.121.892.973.78
Downside Deviation (0%)0.480.951.592.182.51
Sortino Ratio (10%)-0.48-0.61-0.82-0.94-0.98
Sortino Ratio (5%)-0.06-0.11-0.41-0.72-0.85
Sortino Ratio (0%)0.110.13-0.17-0.52-0.68

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 1.87 7/2019

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