Ring Capital Management LLC : S&P E-Mini Select

archived programs
Year-to-Date
0.17%
Jan Performance
-0.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.32%
Sharpe (RFR=1%)
0.50
CAROR
7.72%
Assets
$ 540k
Worst DD
-26.73
S&P Correlation
-0.16

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
S&P E-Mini Select -0.17 -0.45 -0.17 -12.06 -17.62 27.42 - 69.38
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 - 103.96
+/- S&P 500 -8.04 -0.17 -8.04 -7.82 -55.59 -22.74 - -34.58

Strategy Description

Summary

Ring Capital Management LLC is a CTA established in 2006 for the purpose of developing and employing systematic trading systems for the futures markets.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 20k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
400 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
5.93%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Ring Capital Management LLC is a CTA established in 2006 for the purpose of developing and employing systematic trading systems for the futures markets.

Investment Strategy

The S&P E-Mini Select Program uses a 100% systematic approach for trading the S&P500 e-mini futures contract. The development of the program was guided by the following key goals:

• Achieve highly competitive absolute returns
• Limit time in the market to 30% or less.
• Achieve a low to no correlation with the S&P500 Index.

The program trades in the direction of the intermediate term trend and may enter long or short positions. Exit prices are generated at the time of entry and adjusted daily. The program does not trade options.

Risk Management

Markets have become increasingly subject to “news headline” volatility and unforeseen events. The S&P E-Mini Select Program was designed to significantly reduce exposure to the market while still achieving highly competitive absolute returns. The program was designed with the target of limiting time in the market to 30% or less. The average time in position is less than 7 days. Exit prices are determined at the time of entry and are updated daily based on market conditions.

   

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
-26.73 6 - 11/1/2015 5/1/2016
-5.93 3 1 2/1/2013 5/1/2013
-0.68 4 2 4/1/2012 8/1/2012
-0.51 3 1 1/1/0001 3/1/2012
-0.49 3 1 6/1/2015 9/1/2015
-0.34 2 1 3/1/2015 5/1/2015
-0.34 2 1 11/1/2012 1/1/2013
-0.34 2 1 4/1/2014 6/1/2014
-0.17 1 1 10/1/2014 11/1/2014
-0.17 1 1 1/1/2015 2/1/2015
-0.17 1 1 6/1/2013 7/1/2013
-0.17 1 1 10/1/2013 11/1/2013
-0.17 1 1 2/1/2014 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
12.84 4 7/1/2014 10/1/2014
11.85 3 9/1/2012 11/1/2012
10.30 1 6/1/2013 6/1/2013
10.17 2 12/1/2014 1/1/2015
9.32 1 4/1/2014 4/1/2014
8.85 1 10/1/2018 10/1/2018
8.00 2 10/1/2015 11/1/2015
6.79 1 1/1/2017 1/1/2017
6.47 3 8/1/2013 10/1/2013
5.77 1 9/1/2016 9/1/2016
5.16 2 3/1/2017 4/1/2017
4.77 1 6/1/2015 6/1/2015
4.61 3 12/1/2013 2/1/2014
4.26 1 1/1/2018 1/1/2018
4.07 1 6/1/2016 6/1/2016
3.82 1 7/1/2017 7/1/2017
3.77 1 4/1/2012 4/1/2012
2.94 2 6/1/2018 7/1/2018
2.22 1 2/1/2013 2/1/2013
1.34 1 3/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.73 6 12/1/2015 5/1/2016
-20.90 4 2/1/2018 5/1/2018
-5.93 3 3/1/2013 5/1/2013
-3.14 3 10/1/2016 12/1/2016
-0.83 5 8/1/2017 12/1/2017
-0.68 4 5/1/2012 8/1/2012
-0.51 3 1/1/2012 3/1/2012
-0.49 3 7/1/2015 9/1/2015
-0.45 3 11/1/2018 1/1/2019
-0.34 2 5/1/2017 6/1/2017
-0.34 2 8/1/2018 9/1/2018
-0.34 2 4/1/2015 5/1/2015
-0.34 2 5/1/2014 6/1/2014
-0.34 2 12/1/2012 1/1/2013
-0.33 2 7/1/2016 8/1/2016
-0.17 1 2/1/2015 2/1/2015
-0.17 1 11/1/2014 11/1/2014
-0.17 1 3/1/2014 3/1/2014
-0.17 1 11/1/2013 11/1/2013
-0.17 1 7/1/2013 7/1/2013
-0.16 1 2/1/2017 2/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods85.0083.0080.0074.0068.0062.0050.0038.0026.00
Percent Profitable38.8277.1183.7567.5755.8867.7476.0094.74100.00
Average Period Return0.732.264.458.8114.8620.8630.9839.3952.69
Average Gain3.825.288.9520.1333.3633.1346.0941.8252.69
Average Loss-1.24-7.88-18.76-14.76-8.57-4.91-16.84-4.39
Best Period10.3011.8521.1736.7950.0966.6386.49105.9681.36
Worst Period-22.98-26.39-26.73-22.03-16.32-21.13-18.39-6.7623.57
Standard Deviation4.427.7311.2917.6022.2026.5336.8428.7921.83
Gain Standard Deviation2.742.954.537.219.3223.6328.6427.5721.83
Loss Standard Deviation4.1710.035.463.753.334.821.983.34
Sharpe Ratio (1%)0.150.260.350.440.600.710.761.232.18
Average Gain / Average Loss3.090.670.481.363.896.752.749.52
Profit / Loss Ratio1.962.252.462.844.9314.178.67171.32
Downside Deviation (10%)3.486.398.8211.4510.959.7416.0910.320.80
Downside Deviation (5%)3.396.088.059.227.044.779.782.10
Downside Deviation (0%)3.376.017.858.666.093.868.301.14
Sortino Ratio (10%)0.090.160.220.330.661.090.951.7331.46
Sortino Ratio (5%)0.190.330.490.851.903.952.8616.86
Sortino Ratio (0%)0.220.380.571.022.445.403.7334.41

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 8.85 10/2018
Stock Index Trader Index Month 2 8.85 10/2018
IASG CTA Index Month 4 8.85 10/2018
Stock Index Trader Index Month 4 2.78 6/2018
Stock Index Trader Index Month 3 4.26 1/2018
Stock Index Trader Index Month 2 3.82 7/2017
Stock Index Trader Index Month 3 3.23 4/2017
Stock Index Trader Index Month 10 1.87 3/2017
Stock Index Trader Index Month 1 6.79 1/2017
Systematic Trader Index Month 2 6.79 1/2017
IASG CTA Index Month 4 6.79 1/2017
Systematic Trader Index Month 6 5.77 9/2016
IASG CTA Index Month 7 5.77 9/2016
Stock Index Trader Index Month 2 5.77 9/2016
Stock Index Trader Index Month 3 4.07 6/2016
Stock Index Trader Index Month 10 -0.16 1/2016
IASG CTA Index Sharpe 6 1.73 2014 - 2015
IASG CTA Index 3 Year Rolling 7 79.86 2012 - 2015
IASG CTA Index Year Rolling 8 23.03 2014 - 2015
Stock Index Trader Index Month 1 7.19 11/2015
Stock Index Trader Index Month 10 0.76 10/2015
Systematic Trader Index Month 10 4.77 6/2015
Stock Index Trader Index Month 4 4.77 6/2015
Stock Index Trader Index Month 3 8.52 1/2015
Stock Index Trader Index Month 10 1.52 12/2014

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