SkyDelta Capital Management : Delta Trading Program

archived programs
Year-to-Date
N / A
Aug Performance
-1.69%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.85%
Sharpe (RFR=0.50%)
0.74
CAROR
15.25%
Assets
$ 7.4M
Worst DD
-7.91
S&P Correlation
-0.05

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2007
Delta Trading Program -1.69 2.79 - 9.45 80.29 104.17 - 123.46
S&P 500 -3.13 0.14 - 16.09 55.59 27.27 - 16.06
+/- S&P 500 1.44 2.65 - -6.65 24.70 76.89 - 107.41

Strategy Description

Summary

Please note that the name of Quantech Fund has been changed to Delta Trading Program.

The Manager will invest the Fund's assets in accordance with its DELTA Trading Program, a proprietary trading program developed and refined by Managing Member, Jang Ho Joo and DELTA Exchange... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.30
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Pattern Recognition
10.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Energy
30.00%
Industrial Metals
20.00%
Precious Metals
20.00%
Currency Futures
10.00%
Grains
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

Please note that the name of Quantech Fund has been changed to Delta Trading Program.

The Manager will invest the Fund's assets in accordance with its DELTA Trading Program, a proprietary trading program developed and refined by Managing Member, Jang Ho Joo and DELTA Exchange Co., Ltd., a Korea-based company which specializes in developing traderoriented trading software and black-box type trading programs. The objective of the Manager's DELTA Trading Program is to achieve appreciation of the Fund's assets through the speculative trading in commodity interests, mainly futures contracts and related options. The program has the following features :- Multi-Strategy Program. Although the primary strategy of the DELTA Trading Program is trend following, the system also accommodates trend following, anti-trend following, pattern analysis and others. Trading strategies which use correlation between several products are used. Multitime frames for investments are used such as intraday, short-term, mid-term, longterm; but intraday and short-term trading is preferred for less risk exposure and more liquidity. -Diversified. The program tries to take advantage of the potential benefits of diversification by using market diversification (monitoring multiple markets for potential trade opportunities) and system diversification (a trading program which uses multi-factor analysis to guide trade decisions). However, because the Manager acts only on what it believes to be the most attractive trading opportunities, the positions held by the Fund at any given time will not always be diversified.- Risk Management. Effective risk management is a crucial aspect of the DELTA Trading Program. The limits of risk tolerance for each strategy are predefined. Total overnight positions are also limited. The risk of the strategies is measured by various yardsticks with the main standard being maximum drawdown. The leverages of the strategies are different for each product but average margin ratio is about 10% of the Fund. The portfolio of the strategies is composed in order to minimize maximum drawdown of the Fund. Fully automated trading platform is adopted so as to exclude the risk of the Manager's discretion.

Investment Strategy

Although the primary strategy of the Delta Trading Program is trend following, the system also accommodates anti-trend following, pattern analysis and others. Trading strategies which use correlation between several products are incorporated. Multi-time frames for investments are used such as intraday, short-term, mid-term, long- term; but intraday and short-term trading is preferred in an effort to manage risk and gain maximize liquidity.

The program trades futures and options on futures in up to fifty-five commodity markets. Market sectors include metals, currencies, energies, interest rates, stock indices, meats, grains, and softs. • Electronically Traded Futures Contracts. A substantial portion of the trades executed for the account will be in markets that are traded electronically. The Advisor believes that there are numerous advantages to electronic trading, including; low transaction costs, substantial liquidity, depth-of-market information, virtually instantaneous execution, near 24-hour access and efficient and accurate trade reporting

The program tries to take advantage of the potential benefits of diversification by using market diversification (monitoring multiple markets for potential trade opportunities) and system diversification (a trading program which uses multi-factor analysis to guide trade decisions). However, because the Advisor acts only on what it believes to be the most attractive trading opportunities, the positions held by the SDCM at any given time will not always be diversified.

Risk Management

Effective risk management is a crucial aspect of the Delta Trading Program. The limits of risk tolerance for each strategy are predefined. Total overnight positions are also limited. Risk is measured by analyzing various aspects of the trade and/or system, but the primary focus is on maximum drawdown. Fully automated trading platform is adopted so as to exclude the risk of the Advisor’s discretion.

   

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=0.50%)
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=0.50%)
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
-7.91 2 6 6/1/2009 8/1/2009
-7.35 7 5 2/1/2010 9/1/2010
-4.27 2 1 7/1/2007 9/1/2007
-3.62 2 4 6/1/2012 8/1/2012
-3.50 7 4 2/1/2008 9/1/2008
-2.58 1 1 4/1/2013 5/1/2013
-2.37 1 1 4/1/2007 5/1/2007
-2.01 1 2 1/1/0001 2/1/2007
-1.69 1 - 7/1/2013 8/1/2013
-1.69 1 3 12/1/2012 1/1/2013
-1.52 1 1 1/1/2009 2/1/2009
-0.69 1 1 3/1/2009 4/1/2009
-0.04 1 1 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
53.22 12 1/1/2011 12/1/2011
11.53 3 12/1/2009 2/1/2010
11.12 2 5/1/2012 6/1/2012
10.76 2 6/1/2007 7/1/2007
8.99 5 10/1/2007 2/1/2008
7.29 2 5/1/2009 6/1/2009
6.36 1 4/1/2013 4/1/2013
5.16 2 10/1/2010 11/1/2010
4.56 2 6/1/2013 7/1/2013
4.51 4 9/1/2012 12/1/2012
4.21 2 12/1/2008 1/1/2009
2.70 2 6/1/2010 7/1/2010
2.68 1 3/1/2009 3/1/2009
2.68 1 4/1/2010 4/1/2010
2.59 2 3/1/2007 4/1/2007
2.40 2 9/1/2009 10/1/2009
1.52 1 2/1/2013 2/1/2013
1.42 1 3/1/2012 3/1/2012
0.87 1 10/1/2008 10/1/2008
0.06 1 7/1/2008 7/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.91 2 7/1/2009 8/1/2009
-6.21 2 8/1/2010 9/1/2010
-5.47 1 3/1/2010 3/1/2010
-4.27 2 8/1/2007 9/1/2007
-3.62 2 7/1/2012 8/1/2012
-3.37 4 3/1/2008 6/1/2008
-2.58 1 5/1/2013 5/1/2013
-2.37 1 5/1/2007 5/1/2007
-2.33 1 12/1/2010 12/1/2010
-2.01 1 2/1/2007 2/1/2007
-1.69 1 8/1/2013 8/1/2013
-1.69 1 1/1/2013 1/1/2013
-1.52 1 2/1/2009 2/1/2009
-1.48 1 3/1/2013 3/1/2013
-0.90 1 5/1/2010 5/1/2010
-0.69 1 4/1/2009 4/1/2009
-0.61 1 11/1/2008 11/1/2008
-0.47 1 11/1/2009 11/1/2009
-0.20 2 8/1/2008 9/1/2008
-0.04 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods68.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable55.8866.2366.2279.4180.6580.3675.0075.00
Average Period Return0.654.348.9818.6828.1931.9236.6751.89
Average Gain2.478.4416.5127.5238.6343.1452.1571.37
Average Loss-1.78-5.36-7.23-15.45-15.34-13.98-9.80-6.54
Best Period9.9990.70111.83113.38123.88127.3181.8896.97
Worst Period-5.47-21.36-21.36-22.46-22.46-18.82-11.83-10.93
Standard Deviation2.8417.9826.5039.0144.6043.0036.5843.31
Gain Standard Deviation2.3220.5129.4538.9943.5140.6828.4230.66
Loss Standard Deviation1.356.988.017.985.712.031.313.92
Sharpe Ratio (1%)0.200.230.320.450.600.700.921.10
Average Gain / Average Loss1.391.572.281.782.523.085.3210.90
Profit / Loss Ratio1.884.465.606.8710.5012.6215.9732.71
Downside Deviation (10%)1.654.596.539.9910.5110.9012.8815.43
Downside Deviation (5%)1.474.265.718.247.797.146.445.67
Downside Deviation (0%)1.434.185.537.837.166.264.943.75
Sortino Ratio (10%)0.150.681.001.371.961.991.621.97
Sortino Ratio (5%)0.380.961.482.153.424.195.228.44
Sortino Ratio (0%)0.451.041.622.393.945.107.4313.84

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.