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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: |
77.8% |
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Sharpe Ratio: |
1.59 |
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Trailing 12 Months: |
21.1% |
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| Disclaimer:
There is risk of loss in futures and options trading. Past performance is not necessarily
indicative of future results. 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 |
Returns |
500 |
Index** |
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Winning Months: |
31 |
24 |
23 |
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Losing Months: |
10 |
17 |
18 |
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| 10/31/08 |
0.76% |
-16.94% |
4.03% |
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% of profitable Months: |
75.6% |
58.5% |
56.1% |
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| 9/30/08 |
2.14% |
-9.08% |
1.88% |
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Average Winning Months: |
2.4% |
2.1% |
2.2% |
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| 8/31/08 |
2.29% |
1.22% |
-0.01% |
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Average Losing Months: |
-1.4% |
-3.8% |
-1.2% |
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| 7/31/08 |
0.58% |
-0.99% |
-3.40% |
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Max peak-to-valley (%): |
-6.1% |
-37.5% |
-5.2% |
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| 6/30/08 |
2.37% |
-8.60% |
2.27% |
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Max peak-to-valley (mths): |
10 |
12 |
16 |
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| 5/31/08 |
0.85% |
4.75% |
1.31% |
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Annual Sharpe Ratio: |
1.59 |
-0.53 |
0.64 |
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| 4/30/08 |
0.93% |
4.75% |
-0.88% |
Monthly Std.Dev. of returns: |
2.4% |
4.2% |
2.1% |
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| 3/31/08 |
3.60% |
-0.60% |
-1.15% |
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Correlation with S&P 500: |
0.033 |
1.000 |
-0.213 |
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| 2/29/08 |
6.81% |
-3.48% |
6.41% |
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Correlation with Barclay: |
0.273 |
-0.213 |
1.000 |
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| 1/31/08 |
-2.97% |
-6.12% |
2.72% |
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Minimum Investment: |
$800,000 USD |
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| 12/31/07 |
0.34% |
-0.86% |
1.03% |
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| 11/30/07 |
1.89% |
-4.40% |
0.92% |
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| 10/31/07 |
2.36% |
1.48% |
2.42% |
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| 9/30/07 |
4.45% |
3.58% |
4.50% |
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| 8/31/07 |
-2.02% |
1.29% |
-2.11% |
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Contact:
Carmen Soldato |
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| 7/31/07 |
-1.38% |
-3.20% |
-1.14% |
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Kottke Associates, LLC |
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| 6/30/07 |
1.73% |
-1.78% |
1.78% |
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141 W.
Jackson Blvd., Suite 1220 |
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| 5/31/07 |
0.05% |
3.26% |
1.43% |
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Chicago,
Illinois 60604 |
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| 4/30/07 |
0.92% |
4.33% |
2.16% |
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csoldato@kottkeassociates.com |
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| System Began
Trading: |
Jun-2005 |
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www.kottkeassociates.com |
(312)
697-2995 |
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| **
The Barclay Systematic Index performance for October 08 is an estimate as of
11/11/08; with only 71.28% |
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| of
funds in this category having reported their returns. |
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| CME, CBOT &
NYMEX Clearing Member Firm. FCM/ CTA/ CPO NFA Member. © 2002 - 2008 Kottke
Associates, LLC |
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