Caerus Group : Oil Program

Year-to-Date
12.78%
Nov Performance
-1.48%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.43%
Sharpe (RFR=1%)
-0.46
CAROR
-6.39%
Assets
$ 426k
Worst DD
-21.83
S&P Correlation
0.34

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
7/2018
Oil Program -1.48 2.60 -12.78 -14.99 - - - -14.76
S&P 500 10.75 3.47 12.10 15.30 - - - 28.59
+/- S&P 500 -12.23 -0.87 -24.87 -30.29 - - - -43.34

Strategy Description

Summary

Caerus Group specializes in energy trading with exchange traded derivatives. The trade methodology is based upon a price action discipline seeking price momentum in conjuction with volatility. The strategy deploys a systematic risk management process with defined trading rules. We... 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 4000 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

Caerus Group specializes in energy trading with exchange traded derivatives. The trade methodology is based upon a price action discipline seeking price momentum in conjuction with volatility. The strategy deploys a systematic risk management process with defined trading rules. We focus on trading NYMEX Crude Oil Futures (CL) with intraday positions to avoid the overnight risk.

Investment Strategy

Our trade methodology is based on a price action discipline seeking price momentum in conjuction with volatility.

Risk Management

The program's risk premium is achieved through a systematic trade management process with defined trading rules. Program trades only intraday positions to remove overnight risk.

   

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
-21.83 14 - 1/1/2019 3/1/2020
-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
6.16 1 4/1/2020 4/1/2020
6.01 3 11/1/2018 1/1/2019
5.58 3 8/1/2020 10/1/2020
2.07 1 6/1/2020 6/1/2020
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
-21.33 5 11/1/2019 3/1/2020
-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
-2.93 1 5/1/2020 5/1/2020
-2.71 1 7/1/2020 7/1/2020
-1.48 1 11/1/2020 11/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable48.2851.8554.1716.670.00
Average Period Return-0.46-1.43-3.50-8.99-13.46
Average Gain2.713.783.463.23
Average Loss-3.43-7.05-11.74-11.44-13.46
Best Period9.2411.5611.035.35-2.27
Worst Period-8.81-18.80-20.79-18.64-20.00
Standard Deviation4.177.178.777.635.31
Gain Standard Deviation2.863.033.112.73
Loss Standard Deviation2.775.965.275.595.31
Sharpe Ratio (1%)-0.13-0.23-0.46-1.31-2.82
Average Gain / Average Loss0.790.540.290.28
Profit / Loss Ratio0.740.580.350.06
Downside Deviation (10%)3.366.9910.2315.8421.66
Downside Deviation (5%)3.176.448.9512.3815.80
Downside Deviation (0%)3.136.308.6411.5414.39
Sortino Ratio (10%)-0.26-0.38-0.58-0.88-0.97
Sortino Ratio (5%)-0.17-0.26-0.45-0.81-0.95
Sortino Ratio (0%)-0.15-0.23-0.41-0.78-0.94

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.