Caerus Group : Oil Futures Trading Program

Year-to-Date
1.41%
Oct Performance
0.69%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.34%
Sharpe (RFR=1%)
0.09
CAROR
-
Assets
$ 508k
Worst DD
-11.84
S&P Correlation
0.32

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
7/2018
Oil Futures Trading Program 0.69 2.83 1.41 5.35 - - - 1.80
S&P 500 2.04 1.92 21.16 12.01 - - - 5.69
+/- S&P 500 -1.35 0.91 -19.75 -6.66 - - - -3.89

Strategy Description

Summary

Absolute momentum trading program for WTI Light Sweet Crude Oil futures (ticker symbol CL). Program will only trade CL futures with intraday positions.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.50
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Seasonal/cyclical
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Absolute momentum trading program for WTI Light Sweet Crude Oil futures (ticker symbol CL). Program will only trade CL futures with intraday positions.

Investment Strategy

Program's methodology is a price action discipline based on technical indicators. The goal is to deploy a systematic, methodical, rules-based system to achieve a competitive edge in the market.

Risk Management

Program trades only intraday positions. Advisor aims to appropriately size positions for risk control.

   

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
-11.84 4 - 1/1/2019 5/1/2019
-3.69 3 2 7/1/2018 10/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
9.62 2 6/1/2019 7/1/2019
8.00 2 9/1/2019 10/1/2019
6.01 3 11/1/2018 1/1/2019
0.41 1 4/1/2019 4/1/2019
0.34 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.82 1 5/1/2019 5/1/2019
-4.79 1 8/1/2019 8/1/2019
-4.75 2 2/1/2019 3/1/2019
-3.69 3 8/1/2018 10/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods16.0014.0011.00
Percent Profitable56.2550.0063.64
Average Period Return0.19-0.01-1.41
Average Gain2.694.361.88
Average Loss-3.02-4.39-7.17
Best Period9.2411.563.91
Worst Period-7.82-9.75-9.80
Standard Deviation4.145.595.00
Gain Standard Deviation3.383.611.40
Loss Standard Deviation2.503.163.15
Sharpe Ratio (1%)0.03-0.05-0.38
Average Gain / Average Loss0.890.990.26
Profit / Loss Ratio1.140.990.46
Downside Deviation (10%)2.744.486.12
Downside Deviation (5%)2.563.884.91
Downside Deviation (0%)2.523.734.63
Sortino Ratio (10%)-0.08-0.28-0.63
Sortino Ratio (5%)0.04-0.07-0.39
Sortino Ratio (0%)0.080.00-0.30

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.