Caddo Capital Management, LLC : Caddo Tactical Diversification Program

Year-to-Date
1.87%
Oct Performance
-0.27%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
10.00%
Annualized Vol
6.32%
Sharpe (RFR=1%)
0.25
CAROR
2.43%
Assets
$ 31.4M
Worst DD
-8.73
S&P Correlation
0.10

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Caddo Tactical Diversification Program -0.27 -0.41 1.87 1.79 2.31 0.51 - 23.64
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 146.62
+/- S&P 500 2.50 -0.37 0.65 -5.87 -24.66 -55.15 - -122.98

Strategy Description

Summary

Caddo’s flagship Tactical Diversification Program, is an all-weather product designed to generate alpha in a wide variety of market conditions while producing little to no beta to broad asset classes such as stocks and bonds. This unique product is well suited for institutional investors... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 5.00
Management Fee 0%
Performance Fee 10.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 923 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.76%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 2.00%
1-3 Months 24.00%
1-30 Days 52.00%
Intraday 22.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
15.00%
Momentum
50.00%
Option-purchasing
20.00%
Other
15.00%
Strategy Pie Chart

Composition

Interest Rates
24.00%
Currency Futures
14.00%
Grains
12.00%
Softs
12.00%
Energy
11.00%
Stock Indices
10.00%
Precious Metals
8.00%
Livestock
6.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

Caddo’s flagship Tactical Diversification Program, is an all-weather product designed to generate alpha in a wide variety of market conditions while producing little to no beta to broad asset classes such as stocks and bonds. This unique product is well suited for institutional investors needing to diversify and potentially profit during difficult periods such as low volatility, rising interest rates and periods of market stress. The program seeks alpha from market momentum, counter-trend and volatility changes across multiple time horizons. The Tactical Diversification Program trades 45 markets across commodity, financial and currency futures as well as long equity options.

   

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
-8.73 25 - 4/1/2015 5/1/2017
-7.76 4 4 7/1/2012 11/1/2012
-6.51 2 6 7/1/2013 9/1/2013
-2.89 3 1 3/1/2014 6/1/2014
-1.87 1 1 5/1/2012 6/1/2012
-1.47 1 1 5/1/2013 6/1/2013
-1.44 1 1 1/1/0001 1/1/2012
-1.41 1 1 9/1/2014 10/1/2014
-0.64 1 1 2/1/2015 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
11.27 4 2/1/2012 5/1/2012
7.45 1 7/1/2012 7/1/2012
7.20 2 2/1/2014 3/1/2014
6.67 3 7/1/2014 9/1/2014
6.27 3 3/1/2013 5/1/2013
6.24 1 1/1/2018 1/1/2018
5.69 4 11/1/2014 2/1/2015
5.64 2 12/1/2012 1/1/2013
3.73 4 1/1/2016 4/1/2016
3.20 3 3/1/2020 5/1/2020
2.94 6 11/1/2018 4/1/2019
2.03 3 6/1/2017 8/1/2017
1.53 3 8/1/2015 10/1/2015
1.50 1 7/1/2013 7/1/2013
1.01 1 4/1/2015 4/1/2015
0.99 1 7/1/2020 7/1/2020
0.97 1 7/1/2016 7/1/2016
0.95 3 10/1/2013 12/1/2013
0.77 2 10/1/2017 11/1/2017
0.74 2 11/1/2016 12/1/2016
0.60 1 5/1/2014 5/1/2014
0.52 2 7/1/2018 8/1/2018
0.49 1 4/1/2017 4/1/2017
0.42 1 1/1/2020 1/1/2020
0.21 1 5/1/2018 5/1/2018
0.14 1 6/1/2019 6/1/2019
0.08 1 10/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.76 4 8/1/2012 11/1/2012
-6.51 2 8/1/2013 9/1/2013
-5.46 3 5/1/2015 7/1/2015
-5.40 3 2/1/2018 4/1/2018
-4.47 3 1/1/2017 3/1/2017
-2.62 2 11/1/2015 12/1/2015
-1.99 1 4/1/2014 4/1/2014
-1.93 1 2/1/2020 2/1/2020
-1.87 1 6/1/2012 6/1/2012
-1.75 3 8/1/2016 10/1/2016
-1.52 3 7/1/2019 9/1/2019
-1.51 1 6/1/2014 6/1/2014
-1.47 1 5/1/2017 5/1/2017
-1.47 1 6/1/2013 6/1/2013
-1.44 1 1/1/2012 1/1/2012
-1.41 1 10/1/2014 10/1/2014
-1.41 2 9/1/2018 10/1/2018
-0.75 1 9/1/2017 9/1/2017
-0.75 3 8/1/2020 10/1/2020
-0.64 1 3/1/2015 3/1/2015
-0.58 1 1/1/2014 1/1/2014
-0.57 1 2/1/2013 2/1/2013
-0.41 1 5/1/2019 5/1/2019
-0.41 2 5/1/2016 6/1/2016
-0.34 1 12/1/2017 12/1/2017
-0.14 2 11/1/2019 12/1/2019
-0.07 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods106.00104.00101.0095.0089.0083.0071.0059.0047.00
Percent Profitable54.7262.5059.4168.4266.2968.6753.5255.9374.47
Average Period Return0.220.671.161.872.503.194.354.405.40
Average Gain1.352.443.663.915.016.2110.039.528.21
Average Loss-1.18-2.29-2.49-2.55-2.44-3.45-2.19-2.09-2.78
Best Period7.458.6017.3315.6320.8216.5031.0923.7025.78
Worst Period-3.53-6.96-6.17-5.64-4.22-7.37-6.72-5.87-7.55
Standard Deviation1.833.144.194.695.356.098.257.927.29
Gain Standard Deviation1.572.263.474.164.854.827.477.106.19
Loss Standard Deviation0.971.941.801.891.311.681.391.662.42
Sharpe Ratio (1%)0.070.130.160.190.190.190.160.040.04
Average Gain / Average Loss1.151.071.471.532.051.804.584.552.95
Profit / Loss Ratio1.421.782.153.324.043.955.285.788.60
Downside Deviation (10%)1.242.483.465.056.989.2013.7818.8623.37
Downside Deviation (5%)1.051.952.222.262.433.233.704.364.40
Downside Deviation (0%)1.011.831.951.771.602.141.761.761.83
Sortino Ratio (10%)-0.15-0.23-0.38-0.62-0.73-0.77-0.83-0.91-0.95
Sortino Ratio (5%)0.130.210.300.380.410.360.360.080.07
Sortino Ratio (0%)0.210.360.601.061.561.492.472.502.95

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.