XVA Capital Management, LLC : Purple Sheet

archived programs
Year-to-Date
N / A
Mar Performance
-2.59%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
47.36%
Sharpe (RFR=1%)
-0.30
CAROR
-
Assets
$ 181k
Worst DD
-31.07
S&P Correlation
0.95

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Purple Sheet -2.59 - - - - - - -13.50
S&P 500 0.69 - - - - - - 106.04
+/- S&P 500 -3.28 - - - - - - -119.54

Strategy Description

Summary

The Purple Sheet is a volatility program focused on exploiting short term movements in the futures markets – mainly in energy, precious metals, softs, grains and currencies.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 5.86%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Grains
20.00%
Softs
20.00%
Composition Pie Chart

Summary

The Purple Sheet is a volatility program focused on exploiting short term movements in the futures markets – mainly in energy, precious metals, softs, grains and currencies.

   

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
-31.07 1 - 12/1/2013 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
23.21 4 9/1/2013 12/1/2013
4.56 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.07 1 1/1/2014 1/1/2014
-2.59 1 3/1/2014 3/1/2014
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable71.4340.00
Average Period Return-1.08-8.45
Average Gain5.2219.04
Average Loss-16.83-26.77
Best Period8.2520.92
Worst Period-31.07-29.79
Standard Deviation13.6725.21
Gain Standard Deviation2.332.65
Loss Standard Deviation20.142.92
Sharpe Ratio (1%)-0.09-0.34
Average Gain / Average Loss0.310.71
Profit / Loss Ratio0.780.47
Downside Deviation (10%)11.9521.77
Downside Deviation (5%)11.8221.01
Downside Deviation (0%)11.7820.82
Sortino Ratio (10%)-0.12-0.44
Sortino Ratio (5%)-0.10-0.41
Sortino Ratio (0%)-0.09-0.41

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.