Atlantic Capital Advisors LLC : Macro Commodities

archived programs
Year-to-Date
N / A
Dec Performance
-0.82%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.81%
Sharpe (RFR=1%)
0.58
CAROR
4.81%
Assets
$ 0k
Worst DD
-9.57
S&P Correlation
-0.13

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
Macro Commodities -0.82 - - - - -0.19 13.67 66.96
S&P 500 1.82 - - - - 78.02 57.83 170.50
+/- S&P 500 -2.64 - - - - -78.22 -44.15 -103.54

Strategy Description

Summary

The Macro Commodities portfolio is a commodities-only version of the Global Macro Diversified program; taking a systematic approach to discretionary trading, utilizing quantitative and fundamental data analysis. Results shown are a "carve-out" from the actual trading results of the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 10.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 70.00%
Intraday 5.00%

Decision-Making

Discretionary 40.00%
Systematic 60.00%

Composition

Softs
28.00%
Energy
20.00%
Grains
20.00%
Precious Metals
12.00%
Industrial Metals
10.00%
Livestock
10.00%
Composition Pie Chart

Summary

The Macro Commodities portfolio is a commodities-only version of the Global Macro Diversified program; taking a systematic approach to discretionary trading, utilizing quantitative and fundamental data analysis. Results shown are a "carve-out" from the actual trading results of the Diversified program.

Investment Strategy

Trading methodology utilizes statistical or system-based models, analyzing price-oriented and fundamental data, and discretionary economic and market analysis, including information flows, accessed through a broad array of contacts developed through many years of experience in commodities trading. Trading activity focuses on short to medium term flat-price trading and a variety of relative-value strategies including seasonal/calendar futures spreads and inter-commodity relative-value trades. Each approach is intended to have non-correlated returns and options are traded actively (almost exclusively from a limited risk, ie net positive gamma perspective), depending on valuations and risk management assessment.

Risk Management

All trades undergo quantitative and discretionary analysis determining position-sizing and initial stop levels. Strict risk parameters are assigned to each strategy and each trade, with portfolio margin-to-equity ranging between five percent (5%) and twenty percent (20 %). Risk is monitored on a constant real-time basis through electronic trading platforms and the company’s internal risk management systems, along with options analysis (when relevant) and detailed profit and loss reporting. Risk management adjustments are made via futures (including spreads) and/or options strategies.

   

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
-9.57 4 14 1/1/2015 5/1/2015
-8.57 5 - 7/1/2016 12/1/2016
-6.85 15 13 9/1/2012 12/1/2013
-6.74 7 2 9/1/2011 4/1/2012
-3.71 4 2 12/1/2008 4/1/2009
-3.36 7 2 9/1/2009 4/1/2010
-3.30 4 3 3/1/2008 7/1/2008
-2.92 2 3 5/1/2006 7/1/2006
-1.94 1 1 12/1/2010 1/1/2011
-1.85 5 1 3/1/2007 8/1/2007
-1.06 1 1 10/1/2008 11/1/2008
-0.74 1 2 9/1/2007 10/1/2007
-0.58 1 1 1/1/0001 2/1/2006
-0.16 1 1 4/1/2011 5/1/2011
-0.13 1 1 2/1/2011 3/1/2011
-0.11 1 1 6/1/2009 7/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
19.03 8 5/1/2010 12/1/2010
15.16 5 5/1/2012 9/1/2012
13.44 8 8/1/2006 3/1/2007
10.77 5 11/1/2007 3/1/2008
8.23 4 1/1/2016 4/1/2016
6.64 3 3/1/2006 5/1/2006
5.60 3 5/1/2014 7/1/2014
5.59 2 5/1/2009 6/1/2009
5.37 3 8/1/2008 10/1/2008
4.98 2 6/1/2016 7/1/2016
4.81 1 9/1/2007 9/1/2007
4.23 2 1/1/2014 2/1/2014
3.91 4 6/1/2011 9/1/2011
3.15 2 6/1/2015 7/1/2015
2.77 1 11/1/2014 11/1/2014
2.08 1 2/1/2011 2/1/2011
2.02 1 3/1/2010 3/1/2010
2.01 3 6/1/2013 8/1/2013
1.87 2 2/1/2013 3/1/2013
1.74 1 2/1/2012 2/1/2012
1.42 1 12/1/2008 12/1/2008
1.23 2 8/1/2009 9/1/2009
1.16 1 1/1/2015 1/1/2015
1.07 1 9/1/2014 9/1/2014
0.76 1 12/1/2011 12/1/2011
0.40 1 4/1/2011 4/1/2011
0.26 1 12/1/2012 12/1/2012
0.26 1 6/1/2007 6/1/2007
0.22 1 11/1/2013 11/1/2013
0.08 1 10/1/2015 10/1/2015
0.06 1 2/1/2009 2/1/2009
0.01 1 6/1/2008 6/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.57 4 2/1/2015 5/1/2015
-8.57 5 8/1/2016 12/1/2016
-5.08 2 10/1/2011 11/1/2011
-4.21 2 10/1/2012 11/1/2012
-3.71 2 3/1/2009 4/1/2009
-3.58 2 3/1/2014 4/1/2014
-3.30 5 10/1/2009 2/1/2010
-2.92 2 6/1/2006 7/1/2006
-2.76 2 9/1/2013 10/1/2013
-2.66 2 3/1/2012 4/1/2012
-2.39 2 4/1/2013 5/1/2013
-2.10 2 4/1/2008 5/1/2008
-2.04 1 4/1/2010 4/1/2010
-1.94 1 1/1/2011 1/1/2011
-1.70 1 10/1/2014 10/1/2014
-1.53 1 1/1/2012 1/1/2012
-1.52 2 11/1/2015 12/1/2015
-1.33 1 5/1/2016 5/1/2016
-1.30 1 12/1/2013 12/1/2013
-1.26 2 7/1/2007 8/1/2007
-1.24 1 7/1/2008 7/1/2008
-1.22 2 8/1/2015 9/1/2015
-1.06 1 11/1/2008 11/1/2008
-1.02 1 8/1/2014 8/1/2014
-0.86 2 4/1/2007 5/1/2007
-0.74 1 10/1/2007 10/1/2007
-0.64 1 12/1/2014 12/1/2014
-0.59 1 1/1/2013 1/1/2013
-0.58 1 2/1/2006 2/1/2006
-0.16 1 5/1/2011 5/1/2011
-0.13 1 3/1/2011 3/1/2011
-0.11 1 7/1/2009 7/1/2009
-0.06 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods131.00129.00126.00120.00114.00108.0096.0084.0072.00
Percent Profitable56.4960.4766.6775.0080.7081.4887.5092.86100.00
Average Period Return0.411.292.625.227.5610.3015.8722.3729.79
Average Gain1.713.595.167.939.9513.2418.6324.2229.79
Average Loss-1.28-2.23-2.44-2.90-2.45-2.64-3.44-1.66
Best Period6.4310.0714.3019.4724.9530.8635.8142.9260.79
Worst Period-3.50-8.72-9.11-8.28-6.05-5.83-7.48-2.871.99
Standard Deviation1.963.644.906.407.489.0311.5013.5816.02
Gain Standard Deviation1.482.543.794.796.227.259.4412.2616.02
Loss Standard Deviation0.991.762.152.511.781.542.180.92
Sharpe Ratio (1%)0.170.290.430.660.810.921.121.351.54
Average Gain / Average Loss1.341.612.112.734.065.015.4114.56
Profit / Loss Ratio1.742.474.238.1916.9622.0337.89189.31
Downside Deviation (10%)1.292.443.154.365.126.368.529.7910.06
Downside Deviation (5%)1.111.912.092.311.912.112.441.600.38
Downside Deviation (0%)1.061.781.871.911.321.311.420.50
Sortino Ratio (10%)0.000.030.050.05-0.010.010.010.080.22
Sortino Ratio (5%)0.300.551.021.823.173.935.2611.4365.30
Sortino Ratio (0%)0.390.731.412.745.727.8711.1544.97

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.