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Managed Programs |
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Kottke-Willis Enhanced |
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| The Kottke-Willis Enhanced Program is a technically based futures trading program. The program utilizes proprietary trading
models which incorporate volume, market velocity, and advanced pattern
recognition elements to establish positions in areas of retracement within a
trend. The program places a heavy
emphasis on risk control. Exposure to
adverse price action is reduced by limiting trade duration to predictable
time frames (generally 2-7 days).
Options are used to minimize risk when they offer superior risk/reward
scenarios to the underlying futures markets.
The program is diversified across 8 sectors (Grains, Softs, Meats,
Energies, Currencies, Fixed income, and Stock Indexes). The Kottke-Willis Enhanced Managed Program
provides proven returns with low correlation to other technical trading
programs. |
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| Start
to date: |
77.4% |
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Sharpe Ratio: |
1.21 |
Trailing 12 Months: |
2.5% |
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| Disclaimer: There
is risk of loss in futures and options trading. Past performance is not necessarily
indicative of future results. |
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| Barclay
Systematic Index VAMI (Value Added Index) is a CTA trend following benchmark
provided by Managed Account Reports LLC. |
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| Performance Record |
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Monthly
Return Statistics |
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| Month |
Willis |
S&P |
Barclay |
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Willis |
S&P 500 |
Barclay |
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| Ending |
Return |
500 |
Index** |
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Winning Months: |
43 |
38 |
32 |
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Losing Months: |
19 |
24 |
30 |
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| Jul-10 |
-0.37% |
6.88% |
0.18% |
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% of profitable Months: |
69% |
61% |
52% |
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| Jun-10 |
0.65% |
-5.39% |
-0.05% |
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Average Winning Month: |
2% |
3% |
2% |
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| May-10 |
0.83% |
-8.20% |
-0.78% |
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Average Losing Month: |
-1% |
-5% |
-1% |
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| Apr-10 |
0.54% |
1.48% |
0.42% |
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Max peak-to-valley (%): |
-6% |
-53% |
-6% |
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| Mar-10 |
-0.22% |
5.88% |
1.56% |
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Max peak-to-valley (mths): |
18 |
33 |
19 |
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| Feb-10 |
0.56% |
2.85% |
-0.09% |
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Annual Sharpe Ratio: |
1.21 |
-0.20 |
0.43 |
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| Jan-10 |
0.61% |
-3.70% |
-2.63% |
Monthly Std.Dev. of
returns: |
2.1% |
4.8% |
1.9% |
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| Dec-09 |
-1.18% |
1.78% |
-2.26% |
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Correlation with S&P 500: |
-0.07 |
1.00 |
-0.12 |
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| Nov-09 |
1.62% |
5.74% |
2.73% |
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Correlation with Barclay: |
0.32 |
-0.12 |
1.00 |
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| Oct-09 |
-0.11% |
-1.98% |
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Minimum Investment: |
$200,000
USD |
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| Sep-09 |
-0.97% |
3.57% |
0.89% |
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| Aug-09 |
0.59% |
3.36% |
0.74% |
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| Jul-09 |
0.10% |
0.07% |
-0.41% |
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| Jun-09 |
-0.46% |
0.02% |
-1.39% |
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Contact: Carmen Soldato |
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| May-09 |
1.16% |
5.31% |
2.11% |
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Kottke
Associates, LLC |
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| Apr-09 |
-1.37% |
9.39% |
-1.39% |
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|
141 W. Jackson Blvd., Suite 1220 |
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| Mar-09 |
-1.94% |
8.54% |
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Chicago, Illinois 60604 |
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| Feb-09 |
0.12% |
-10.99% |
-0.23% |
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csoldato@kottkeassociates.com |
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| Jan-09 |
0.84% |
-8.57% |
-0.50% |
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www.kottkeassociates.com |
(312) 697-2995 |
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| System Began
Trading: |
Jun-2005 |
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| **
The Barclay Systematic Index performance for July 2010 is an estimate as of
08/18/10; with only 85.22% |
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| of
funds in this category having reported their returns. |
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| CME, CBOT & NYMEX
Member Firm. FCM/ CTA/ CPO NFA Member. |
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© 2002 - 2010 Kottke Associates, LLC |
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