Skylark Capital Management LLC : Treasury Program

archived programs
Year-to-Date
N / A
Aug Performance
-3.13%
Min Investment
$ 15k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
9.47%
Sharpe (RFR=1%)
-0.24
CAROR
-
Assets
$ 50k
Worst DD
-8.18
S&P Correlation
0.21

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
4/2010
Treasury Program -3.13 - - - - - 4.01 -2.41
S&P 500 -5.68 - - - - - 7.52 191.92
+/- S&P 500 2.55 - - - - - -3.51 -194.32

Strategy Description

Summary

The Fixed Income Futures Program is a blended combination of systematic and discretionary trading primarily focused on financial futures.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 15k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3700 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 6.00%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 30.00%
Intraday 70.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Counter-trend
70.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The Fixed Income Futures Program is a blended combination of systematic and discretionary trading primarily focused on financial futures.

Investment Strategy

The program utilizes quantitative techniques to identify trending and non-trending markets and apply high to mid-frequency strategies. Trades may consist of long and short positions and may last anywhere from moments to days. Because of the short duration of trades, we are able to keep the average margin-to-equity below 20%.

Risk Management

The Fixed Income Futures Program primary focus is to have high-risk adjusted returns with low volatility. Strict disciplined risk management is applied from before a trade is put on until the exit. Every trade has a measured risk, typically not exceeding 2% of account value.

   

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
-8.18 5 - 3/1/2011 8/1/2011
-8.14 6 5 4/1/2010 10/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
13.82 5 11/1/2010 3/1/2011
2.66 1 6/1/2010 6/1/2010
1.66 1 4/1/2010 4/1/2010
0.35 1 5/1/2011 5/1/2011
0.12 1 9/1/2010 9/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.66 2 7/1/2010 8/1/2010
-6.59 3 6/1/2011 8/1/2011
-3.68 1 5/1/2010 5/1/2010
-2.05 1 4/1/2011 4/1/2011
-0.59 1 10/1/2010 10/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable52.9453.3366.67
Average Period Return-0.110.172.18
Average Gain2.004.435.76
Average Loss-2.48-4.70-4.97
Best Period5.037.6513.14
Worst Period-3.80-6.59-8.14
Standard Deviation2.735.076.73
Gain Standard Deviation1.782.354.91
Loss Standard Deviation1.151.322.74
Sharpe Ratio (1%)-0.07-0.020.25
Average Gain / Average Loss0.810.941.16
Profit / Loss Ratio0.911.082.32
Downside Deviation (10%)2.114.144.60
Downside Deviation (5%)1.913.483.44
Downside Deviation (0%)1.853.323.18
Sortino Ratio (10%)-0.24-0.26-0.06
Sortino Ratio (5%)-0.10-0.020.49
Sortino Ratio (0%)-0.060.050.69

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.