Vilk Commodity Services Limited : Vilk Base Metals Relative Value Program

archived programs
Year-to-Date
N / A
Jun Performance
-0.01%
Min Investment
$ 2,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.11%
Sharpe (RFR=1%)
0.52
CAROR
4.07%
Assets
$ 17.3M
Worst DD
-4.46
S&P Correlation
-0.03

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
1/2013
Vilk Base Metals Relative Value Program -0.01 4.49 - 4.20 6.20 22.66 - 24.56
S&P 500 0.48 2.93 - 11.21 30.43 67.53 - 79.62
+/- S&P 500 -0.49 1.55 - -7.01 -24.23 -44.87 - -55.06

Strategy Description

Summary

Vilk Commodity Services Limited is an independent Investment Manager authorised and regulated by the Financial Conduct Authority. The company was founded in 2012 and is based in the City of London.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

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

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
95.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
30.00%
Technical
20.00%
Other
50.00%
Strategy Pie Chart

Composition

Industrial Metals
100.00%
Composition Pie Chart

Summary

Vilk Commodity Services Limited is an independent Investment Manager authorised and regulated by the Financial Conduct Authority. The company was founded in 2012 and is based in the City of London.

Investment Strategy

The Vilk Base Metals Relative Value Program is a discretionary relative value approach to the commodity markets, underpinned by a quantitative framework. It aims to produce absolute returns in all market cycles. Fundamental and technical analysis are used along with the continued study of internal and external data to maximise alpha.

Risk Management

Risk management is at the core of the program and reviewed throughout the investment process, at strategy and portfolio level. Operational risk is also continually reviewed and improved by the automation of processes and the increased transparency of all parts of the investment cycle.

   

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
-4.46 6 12 3/1/2015 9/1/2015
-4.21 5 2 10/1/2017 3/1/2018
-3.45 4 4 1/1/2017 5/1/2017
-3.40 2 1 3/1/2013 5/1/2013
-3.29 2 2 1/1/2014 3/1/2014
-2.84 2 1 6/1/2014 8/1/2014
-2.39 2 3 10/1/2014 12/1/2014
-1.83 1 1 11/1/2013 12/1/2013
-1.77 2 1 1/1/0001 2/1/2013
-0.42 1 3 9/1/2016 10/1/2016
-0.01 1 - 5/1/2018 6/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
18.52 6 6/1/2013 11/1/2013
6.49 3 4/1/2014 6/1/2014
5.52 3 8/1/2017 10/1/2017
4.54 2 8/1/2016 9/1/2016
4.50 2 4/1/2018 5/1/2018
3.60 2 9/1/2014 10/1/2014
2.95 3 1/1/2015 3/1/2015
2.67 1 3/1/2013 3/1/2013
2.23 2 10/1/2015 11/1/2015
1.99 1 1/1/2014 1/1/2014
1.80 1 6/1/2017 6/1/2017
1.68 2 5/1/2016 6/1/2016
1.27 3 1/1/2016 3/1/2016
1.24 1 1/1/2017 1/1/2017
0.34 1 11/1/2016 11/1/2016
0.10 2 3/1/2017 4/1/2017
0.00 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.21 5 11/1/2017 3/1/2018
-4.17 4 6/1/2015 9/1/2015
-3.40 2 4/1/2013 5/1/2013
-3.29 2 2/1/2014 3/1/2014
-3.21 1 7/1/2016 7/1/2016
-2.84 2 7/1/2014 8/1/2014
-2.39 2 11/1/2014 12/1/2014
-2.29 1 5/1/2017 5/1/2017
-1.83 1 12/1/2013 12/1/2013
-1.77 2 1/1/2013 2/1/2013
-1.35 1 7/1/2017 7/1/2017
-1.29 1 2/1/2017 2/1/2017
-1.12 1 4/1/2016 4/1/2016
-0.46 1 12/1/2015 12/1/2015
-0.42 1 10/1/2016 10/1/2016
-0.31 1 12/1/2016 12/1/2016
-0.30 1 4/1/2015 4/1/2015
-0.01 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00
Percent Profitable54.5560.9475.4176.3685.7193.0296.77100.00
Average Period Return0.351.102.173.865.005.847.9513.10
Average Gain1.612.833.515.516.046.378.2413.10
Average Loss-1.16-1.61-1.93-1.47-1.30-1.21-1.00
Best Period5.049.8418.5220.3422.4923.2422.0923.74
Worst Period-3.21-3.27-4.46-3.77-2.25-2.19-1.004.60
Standard Deviation1.762.964.225.716.676.976.976.82
Gain Standard Deviation1.232.463.975.556.646.946.886.82
Loss Standard Deviation0.910.921.281.170.760.99
Sharpe Ratio (1%)0.150.290.400.500.520.550.711.32
Average Gain / Average Loss1.381.761.823.764.655.278.22
Profit / Loss Ratio1.662.755.5812.1427.9170.26246.64
Downside Deviation (10%)1.221.882.473.895.447.0910.2410.73
Downside Deviation (5%)1.031.291.351.341.181.091.21
Downside Deviation (0%)0.991.151.140.900.560.380.18
Sortino Ratio (10%)-0.05-0.07-0.12-0.29-0.48-0.62-0.76-0.79
Sortino Ratio (5%)0.260.661.242.142.963.534.05
Sortino Ratio (0%)0.350.951.914.308.9315.2244.12

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 10 2.20 5/2018
Discretionary Trader Index Month 10 2.25 4/2018
Discretionary Trader Index Month 9 2.23 10/2017

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