Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
-DESCRIPTION OF THE ADVISOR'S TRADING PROGRAM: The Advisor's trading program would be classified as both systematic and long term trend following. A distinct difference between this program compared to other long term trading following programs is that at times the Advisor's program will avoid taking positions in markets that are determined to be trading sideways or trading in a direction that is counter to the major trend as defined by the program's criteria. The portfolio would be defined as broadly diversified among a variety of market complexes available for trading in the major futures exchanges through out the world. A). ENTRY STRATEGY: The entry strategy used in the Advisor's Program attempts to enter a market in the direction of the major trend (defined mathematically by the Advisor) with the objective of accumulating time in a profitable price move. Holding time for profitable positions can last as long as a single calendar year. B). EXIT STRATEGY: The exit strategy used in the Advisor's Program attempts to hold on to a position for as long as the price trend (as mathematically defined by the Advisor) enables a profitable result or a losing result that is within the risk parameters of the trading program. Typical holding time for a losing position is from a few days to a few weeks. C). MARKETS INCLUDED IN THE PORTFOLIO: The Advisor would deem the portfolio as broadly diversified among many types of market complexes. Those markets of consideration in the US futures exchanges might include: UST-Bonds, T-Notes, Muni Bonds, T-Bills, Eurodollars, British Pound, Swiss Franc, D-Mark, Japanese Yen, Canadian Dollar, Crude Oil, Heating Oil, Unleaded Gas, Gold, Silver, Copper, Platinum, Corn, Soybeans, Wheat, Natural Gas, Live Cattle, Live Hogs, Pork Bellies, Coffee, Orange Juice, Cocoa, Sugar, Cotton. Markets traded in non-US exchanges in London, Paris, and Tokyo are considered as well.
AUM & Cumulative Returns
Distribution
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
Keck Capital Management LLC The Keck Program
Average RoR
1.04%
Max Gain
32.74%
Gain Frequency
55.37%
Average Gain
7.09%
Gain Deviation
5.63%
Risk
Standard Deviation
8.65%
Worst Loss
-23.71%
Loss Frequency
44.63%
Average Loss
-6.48%
Loss Deviation
5.11%
Reward/Risk
Sharpe (RFR=1%)
0.11
Skewness
0.11
Kurtosis
0.51
Reward
Keck Capital Management LLC The Keck Program
Compound RoR
8.31%
Average RoR
11.73%
Max Gain
62.18%
Gain Frequency
79.66%
Average Gain
20.92%
Gain Deviation
19.51%
Risk
Standard Deviation
29.97%
Worst Loss
-51.81%
Loss Frequency
20.34%
Average Loss
-24.25%
Loss Deviation
17.71%
Reward/Risk
Sharpe (RFR=1%)
0.38
Skewness
-0.36
Kurtosis
-0.30
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 (Months)
Recovery (Months)
Peak
Valley
-60.74
25
—
6/2016
7/2018
-29.25
6
2
2/2008
8/2008
-28.98
2
6
6/2007
8/2007
-28.49
13
11
3/2004
4/2005
-26.84
20
18
9/2011
5/2013
-25.06
2
8
11/2009
1/2010
-17.13
3
5
3/2015
6/2015
-13.48
2
5
6/2006
8/2006
-12.67
1
3
1/2007
2/2007
-11.67
4
3
2/2009
6/2009
-11.02
3
1
2/2016
5/2016
-10.90
2
2
4/2011
6/2011
-9.34
1
1
9/2009
10/2009
-7.72
1
1
11/2015
12/2015
-1.90
1
1
12/2010
1/2011
-1.71
1
1
1/2015
2/2015
-1.49
1
1
10/2010
11/2010
-0.68
1
1
2/2011
3/2011
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
62.94
6
9/2008
2/2009
51.92
4
12/2003
3/2004
41.55
2
1/2008
2/2008
37.76
4
3/2007
6/2007
35.90
5
5/2005
9/2005
33.83
3
7/2011
9/2011
32.76
3
9/2013
11/2013
31.98
3
11/2014
1/2015
30.81
6
1/2006
6/2006
22.43
5
9/2006
1/2007
21.67
2
9/2007
10/2007
19.79
3
8/2010
10/2010
19.17
2
8/2014
9/2014
19.06
2
1/2016
2/2016
18.76
3
9/2004
11/2004
18.17
3
7/2009
9/2009
17.01
1
11/2015
11/2015
13.57
1
1/2018
1/2018
13.17
1
3/2005
3/2005
13.15
1
6/2016
6/2016
13.01
2
5/2010
6/2010
12.81
1
8/2018
8/2018
12.70
2
1/2012
2/2012
12.42
1
11/2009
11/2009
11.91
1
2/2014
2/2014
9.84
1
4/2011
4/2011
9.48
1
2/2011
2/2011
8.96
1
9/2015
9/2015
8.62
2
12/2012
1/2013
8.05
1
11/2005
11/2005
7.99
2
2/2010
3/2010
6.94
1
7/2004
7/2004
6.55
2
4/2012
5/2012
6.24
1
7/2012
7/2012
5.79
1
3/2015
3/2015
5.65
1
7/2015
7/2015
4.90
1
11/2011
11/2011
4.88
1
12/2010
12/2010
4.45
1
5/2015
5/2015
4.40
1
5/2014
5/2014
3.66
2
11/2016
12/2016
3.40
1
6/2018
6/2018
3.11
2
6/2013
7/2013
2.93
1
9/2012
9/2012
2.66
1
4/2018
4/2018
2.10
1
4/2013
4/2013
0.90
1
4/2017
4/2017
0.77
2
5/2008
6/2008
0.57
1
9/2016
9/2016
0.47
1
2/2017
2/2017
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-43.07
8
5/2017
12/2017
-28.98
2
7/2007
8/2007
-25.58
3
4/2004
6/2004
-25.06
2
12/2009
1/2010
-24.21
2
3/2008
4/2008
-17.73
1
6/2012
6/2012
-17.52
1
10/2011
10/2011
-16.88
3
12/2004
2/2005
-15.20
1
6/2015
6/2015
-13.48
2
7/2006
8/2006
-13.06
1
4/2005
4/2005
-12.90
2
3/2014
4/2014
-12.67
1
2/2007
2/2007
-12.35
2
12/2013
1/2014
-11.98
1
10/2005
10/2005
-11.67
4
3/2009
6/2009
-11.02
3
3/2016
5/2016
-10.90
2
5/2011
6/2011
-10.29
1
5/2013
5/2013
-9.80
1
10/2016
10/2016
-9.34
1
10/2009
10/2009
-9.29
1
1/2017
1/2017
-9.19
1
5/2018
5/2018
-8.77
2
2/2018
3/2018
-8.22
2
6/2014
7/2014
-8.20
2
10/2012
11/2012
-7.95
1
3/2017
3/2017
-7.72
1
12/2015
12/2015
-7.50
2
7/2016
8/2016
-7.49
1
8/2004
8/2004
-7.36
2
7/2008
8/2008
-7.35
1
10/2015
10/2015
-6.59
2
11/2007
12/2007
-6.44
1
4/2015
4/2015
-6.22
1
7/2018
7/2018
-6.18
2
2/2013
3/2013
-5.09
1
3/2012
3/2012
-3.60
1
8/2012
8/2012
-2.74
1
12/2005
12/2005
-1.90
1
1/2011
1/2011
-1.71
1
2/2015
2/2015
-1.56
1
4/2010
4/2010
-1.49
1
11/2010
11/2010
-1.45
1
8/2015
8/2015
-0.94
1
7/2010
7/2010
-0.89
1
8/2013
8/2013
-0.68
1
3/2011
3/2011
-0.59
1
10/2014
10/2014
-0.16
1
12/2011
12/2011
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.