PRIM' Finance : PRIM KappaVol

archived programs
Year-to-Date
N / A
Jun Performance
0.23%
Min Investment
$ 10k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
8.89%
Sharpe (RFR=1%)
0.10
CAROR
1.54%
Assets
$ 1.1M
Worst DD
-17.61
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
12/2002
PRIM KappaVol 0.23 - - - - - 8.30 17.51
S&P 500 -1.50 - - - - - 64.80 307.38
+/- S&P 500 1.73 - - - - - -56.50 -289.87

Strategy Description

Summary

-A technical management systematically applied to 26 futures markets, to follow the trend with a reactive program, in a proprietary risk management model. The risk management is the priority of the trading program, leading to a different asset allocation and performance distributi... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-A technical management systematically applied to 26 futures markets, to follow the trend with a reactive program, in a proprietary risk management model. The risk management is the priority of the trading program, leading to a different asset allocation and performance distribution.

   

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
-17.61 42 - 1/1/2008 7/1/2011
-13.15 23 32 2/1/2003 1/1/2005
-1.74 1 1 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
16.99 6 6/1/2007 11/1/2007
13.52 3 10/1/2011 12/1/2011
9.65 1 1/1/2008 1/1/2008
7.65 3 10/1/2009 12/1/2009
7.65 1 5/1/2006 5/1/2006
6.16 1 11/1/2008 11/1/2008
6.05 2 6/1/2008 7/1/2008
5.78 3 10/1/2012 12/1/2012
5.75 9 2/1/2005 10/1/2005
4.74 3 12/1/2002 2/1/2003
4.72 2 6/1/2012 7/1/2012
4.64 2 7/1/2009 8/1/2009
4.26 2 3/1/2013 4/1/2013
4.05 4 11/1/2006 2/1/2007
3.44 2 3/1/2012 4/1/2012
2.93 1 11/1/2010 11/1/2010
2.86 1 3/1/2009 3/1/2009
2.56 7 12/1/2003 6/1/2004
2.04 1 9/1/2008 9/1/2008
2.01 1 2/1/2010 2/1/2010
1.95 1 8/1/2011 8/1/2011
1.74 1 1/1/2006 1/1/2006
1.17 1 1/1/2009 1/1/2009
0.86 1 10/1/2004 10/1/2004
0.80 1 4/1/2011 4/1/2011
0.73 1 9/1/2003 9/1/2003
0.23 1 6/1/2013 6/1/2013
0.21 1 5/1/2009 5/1/2009
0.20 1 7/1/2006 7/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.06 6 3/1/2003 8/1/2003
-10.62 4 2/1/2008 5/1/2008
-10.39 8 3/1/2010 10/1/2010
-6.70 3 8/1/2006 10/1/2006
-6.40 1 2/1/2009 2/1/2009
-6.10 1 12/1/2008 12/1/2008
-5.79 1 5/1/2012 5/1/2012
-4.75 4 12/1/2010 3/1/2011
-4.50 2 1/1/2012 2/1/2012
-4.10 3 5/1/2011 7/1/2011
-3.64 3 2/1/2006 4/1/2006
-3.07 1 10/1/2008 10/1/2008
-2.69 1 4/1/2009 4/1/2009
-2.62 1 1/1/2010 1/1/2010
-2.44 3 11/1/2004 1/1/2005
-2.34 2 10/1/2003 11/1/2003
-2.09 2 8/1/2012 9/1/2012
-1.74 2 1/1/2013 2/1/2013
-1.74 1 12/1/2007 12/1/2007
-1.64 3 3/1/2007 5/1/2007
-1.62 3 7/1/2004 9/1/2004
-1.45 1 9/1/2009 9/1/2009
-1.18 1 9/1/2011 9/1/2011
-0.89 2 11/1/2005 12/1/2005
-0.76 1 5/1/2013 5/1/2013
-0.69 1 6/1/2009 6/1/2009
-0.21 1 8/1/2008 8/1/2008
-0.07 1 6/1/2006 6/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods127.00125.00122.00116.00110.00104.0092.0080.0068.00
Percent Profitable50.3951.2050.8257.7666.3667.3168.4871.2595.59
Average Period Return0.160.440.781.762.893.806.259.7513.68
Average Gain1.933.685.296.427.308.6311.8615.2714.48
Average Loss-1.63-2.96-3.87-4.61-5.80-6.14-5.96-3.93-3.68
Best Period9.6513.5220.4826.1425.2026.1433.3031.6731.44
Worst Period-6.40-11.08-11.06-12.01-13.42-12.96-14.01-9.03-6.16
Standard Deviation2.574.285.867.208.529.0111.1410.938.20
Gain Standard Deviation2.093.034.345.476.556.638.627.637.44
Loss Standard Deviation1.572.312.733.354.093.173.712.512.68
Sharpe Ratio (1%)0.030.040.050.110.160.200.290.521.05
Average Gain / Average Loss1.181.241.371.391.261.411.993.893.94
Profit / Loss Ratio1.201.301.411.902.482.894.339.6385.36
Downside Deviation (10%)1.813.344.876.788.7510.3914.1815.9316.14
Downside Deviation (5%)1.632.763.614.244.855.005.484.512.05
Downside Deviation (0%)1.592.623.313.694.103.943.922.490.90
Sortino Ratio (10%)-0.14-0.24-0.35-0.48-0.54-0.62-0.67-0.74-0.86
Sortino Ratio (5%)0.050.070.080.180.290.360.591.264.18
Sortino Ratio (0%)0.100.170.240.480.710.971.593.9215.23

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.