By Matthew Bradbard
In this month’s Manager’s Corner Update, we have Camkay Capital Management, answer our “25 Questions Every Investor Should Ask”. Plus get the latest rankings from Barclay Hedge and sign up to receive our Managed Futures Kit.
The Stock Indices Short-Term Program attempts to take advantage of short-term inefficiencies in the stock index futures markets by using multiple independent intra-day and swing trading models. Trades are generated with proprietary computer generated signals. The average holding period for the swing trading models is five trading days, but can be as short as one day and as long as twenty days. The intra-day strategies are primarily trend following in nature and utilize market volatility. The swing trading strategies are primarily counter-trend in nature, with some incorporating fundamental data as well. This combination of time frames and model types is designed with the intention of providing consistent returns during any market environment.
Click below to view performance capsules: Short Indices Stock-Term
25 Questions Every Investor Should Ask
1. What is the name of the program/programs and who are the listed Principals?
Stock Indices Short-Term. Gary Hart is sole Principal.
2. Can you provide us with some details of your corporate background?
Camkay Capital Management, LLC, is an Arizona Limited Liability Company formed under the laws of the State of Arizona on December 5, 2008. It is owned by Mr. Gary D. Hart and he is its sole trading principal. It was registered as a Commodity Trading Advisor with the Commodity Futures Trading Commission ("CFTC") and became a Member of the National Futures Association (“NFA”) on March 5, 2009.
3. Who are the Principals with trading authority?
4. Can you provide details on the principal and/or managers’ education, career and trading background?
Gary Hart graduated from Oklahoma State University in 1992 with a Bachelor of Architectural Engineering. He earned a Master of Science in Structural Engineering from Arizona State University in 1999. He worked as a structural engineer starting in 1993, and from January of 1998 through July of 2010, he owned a structural engineering firm, Hart Engineering, PLLC. Since January of 2009 through the present, in addition to Camkay Capital Management LLC, Mr. Hart has owned a trading system vendor business, Trendfinder Trading Systems LLC. He began trading commodity futures in 1998 and started using mechanical trading systems in 2001. Since 2001 he has focused on trading the stock index futures with intraday and short-term algorithmic trading systems.
5. Which firm calculates your performance numbers?
Dan Scheffel, CPA
6. What is the minimum investment for your program?
7. Do you accept notional funding?
Yes, up to 50%. 8. What is your management and incentive fee structure?
Clients may choose 2/20 or 0/25. 9. What is your program’s capacity?
Estimated to be approximately $50 million.
10. When did you start trading this program?
March 2012 11. What type of accounts do you manage?
Separately managed futures accounts. 12. Can you give a brief description of your program?
Stock Indices Short-Term attempts to take advantage of short-term inefficiencies in the stock index futures markets by using multiple independent intra-day and swing trading models. The average holding period for the swing trading models is five trading days, but can be as short as one day and as long as twenty days. The intra-day strategies are primarily trend following in nature and utilize market volatility, and the swing trading strategies are primarily counter-trend in nature with some incorporating fundamental data. This combination of time frames and model types is designed with the intention of providing consistent returns during any market environment. 13. Do you have a systematic or discretionary approach to the market and what are your program goals?
Utilize a systematic approach. The performance goal is to average 20-25% annual returns with annual volatility less than 20% and a maximum drawdown less than 20%. 14. What is the average holding period for each trade?
Intraday trades average 3 hours, and swing trades average 1 week. 15. Do you trade options within your program? If yes, please describe the types of options traded and how options risk is monitored.
No options trading in this program.
16. Are there any liquidity constraints in the markets you trade?
Yes. This program trades the emini contracts of the S&P 500, S&P MidCap and Russell 2000. There are liquidity restraints for the S&P MidCap and Russell 2000. 17. In what types of market environments does your trading program do well and /or struggle?
It is designed to do well in all market environments. The intraday systems in this program tend to do best in volatile markets and struggle in markets with low volatility. The swing systems in this program tend to be consistent in all market environments. Overall this program will likely have the biggest returns during volatile markets. 18. What is the standard range of margin to equity usage for the program and how long do you hold the average trade?
Margin/Equity varies from 0 to 20%. The average trade is 1 week. 19. How do you manage risk/reward and what metrics are employed?
Every trade has a stop loss order active during all exchange hours. Maximum risk per trade is 0.75% for intraday trades and 3% per trade for swing trades. 20. What are the optimal market conditions for your strategy?
A market with high volatility or a trending market. 21. Describe your worst drawdown to date, how did it happen and what actions have been taken (if any) to prevent similar drawdowns?
It occurred during May 2012. The maximum drawdown was 11.0% because both the swing systems had losses and the intraday systems had losses. This is rare but will happen. One modification was incorporated into the intraday systems (additional volatility filtering was added) to reduce the potential drawdowns going forward. 22. What are your investment goals?
The performance goal is to average 20-25% annual returns with annual volatility less than 20% and a maximum drawdown less than 20%.
23. What makes your program unique and different from other managers in your sector?
The combination of trading time frames and methodologies. The systems used in the program are very unique yet simple. No data mining or optimization is employed.
24. Do you feel you have an edge if so what is it?
Utilizing simple systems that exploit persistent stock market characteristics, which sometimes includes incorporating fundamental data. Over 95% of development time is spent reading and researching market characteristics and less the 5% is spent coding and testing.
25. What is the one piece of advice that you would give to a new start-up CTA?
Be humble, patient and never sacrifice your values. Before even starting be 100% clear you have something unique to offer and that your trading methodology exploits edges that will likely be persistent for a very long time.