Campbell & Company, LP : Campbell Managed Futures Composite (f/k/a FME Large) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance 4.26% Min Investment $ 50,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.29% Sharpe (RFR=1%) 0.55 CAROR 9.85% Assets $ 3,287.0M Worst DD -41.92 S&P Correlation 0.11 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since4/1983 Campbell Managed Futures Composite (f/k/a FME Large) 4.26 - - - - -8.88 17.23 2,323.44 S&P 500 3.72 - - - - 73.07 67.99 2,368.91 +/- S&P 500 0.54 - - - - -81.95 -50.76 -45.47 Strategy Description SummaryAt Campbell we believe that diversification across strategies and time-horizons are a valuable tool for navigating rapidly changing markets. Diversification presents greater opportunity for returns because it eliminates dependency upon any one strategy, market, or macroeconomic environment.... Read More Account & Fees Type Managed Account Minimum Investment $ 50,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition SummaryAt Campbell we believe that diversification across strategies and time-horizons are a valuable tool for navigating rapidly changing markets. Diversification presents greater opportunity for returns because it eliminates dependency upon any one strategy, market, or macroeconomic environment. Our systematic approach to diversification allows us to search for and exploit return potential across a variety of asset classes. Our research team uses sophisticated techniques and experience to understand existing market conditions and to implement strategies that recognize changes in these conditions. Portfolios are comprised of both trend following and non-trend following models that trade across multiple time horizons in a variety of instruments and sectors across North America, Europe and Asia. The goal of strategy diversification is to perform well across a broad range of market conditions and volatility states rather than to focus on any specific set of conditions. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -41.92 8 5 3/1/1986 11/1/1986 -31.75 18 21 7/1/1993 1/1/1995 -29.31 31 58 6/1/2007 1/1/2010 -22.00 22 - 3/1/2015 1/1/2017 -16.27 7 9 9/1/1987 4/1/1988 -14.51 2 3 7/1/1985 9/1/1985 -13.85 6 3 10/1/2001 4/1/2002 -12.98 6 9 3/1/2004 9/1/2004 -11.58 3 2 7/1/1989 10/1/1989 -11.50 1 2 4/1/1990 5/1/1990 -11.06 4 1 10/1/1990 2/1/1991 -10.46 4 2 12/1/1991 4/1/1992 -10.35 9 5 1/1/0001 12/1/1983 -8.89 6 3 3/1/2006 9/1/2006 -8.62 2 3 1/1/2007 3/1/2007 -8.54 3 3 3/1/2001 6/1/2001 -7.96 1 2 6/1/1991 7/1/1991 -7.57 3 2 2/1/1997 5/1/1997 -7.25 2 1 4/1/1987 6/1/1987 -6.74 2 4 8/1/1992 10/1/1992 -6.28 1 1 12/1/1985 1/1/1986 -6.00 2 2 9/1/2002 11/1/2002 -5.90 1 2 3/1/1998 4/1/1998 -5.79 1 3 2/1/1993 3/1/1993 -5.50 1 1 5/1/1984 6/1/1984 -5.39 1 2 7/1/2005 8/1/2005 -5.28 2 5 5/1/2003 7/1/2003 -5.14 1 2 7/1/1997 8/1/1997 -4.83 1 3 12/1/1998 1/1/1999 -4.38 1 2 2/1/2003 3/1/2003 -4.30 1 1 11/1/1996 12/1/1996 -4.25 1 3 9/1/1999 10/1/1999 -4.11 3 2 1/1/2000 4/1/2000 -3.68 1 1 6/1/1998 7/1/1998 -3.25 1 1 4/1/1999 5/1/1999 -3.23 1 2 8/1/2000 9/1/2000 -3.12 1 2 10/1/1984 11/1/1984 -2.76 1 3 11/1/2005 12/1/2005 -2.38 1 1 1/1/1998 2/1/1998 -2.18 1 1 5/1/1985 6/1/1985 -2.03 1 1 10/1/1991 11/1/1991 -1.99 1 1 1/1/1989 2/1/1989 -1.87 1 1 3/1/1991 4/1/1991 -1.72 1 1 6/1/2000 7/1/2000 -1.34 1 1 7/1/1984 8/1/1984 -1.12 1 1 7/1/1987 8/1/1987 -1.09 1 2 12/1/2000 1/1/2001 -0.50 1 1 10/1/1998 11/1/1998 -0.41 1 1 1/1/2015 2/1/2015 -0.15 1 1 6/1/1999 7/1/1999 Show More Consecutive Gains Run-up Length (Mos.) Start End 84.12 5 12/1/1986 4/1/1987 39.00 5 6/1/1990 10/1/1990 34.70 6 8/1/2014 1/1/2015 32.86 6 6/1/1996 11/1/1996 31.51 5 3/1/1989 7/1/1989 29.98 5 5/1/2002 9/1/2002 29.75 4 5/1/1992 8/1/1992 29.59 6 11/1/1989 4/1/1990 28.95 6 12/1/1984 5/1/1985 25.48 2 2/1/1986 3/1/1986 23.75 6 10/1/2003 3/1/2004 20.41 1 3/1/1991 3/1/1991 20.29 3 12/1/2002 2/1/2003 19.44 4 2/1/1995 5/1/1995 18.72 3 10/1/1985 12/1/1985 17.45 1 12/1/1991 12/1/1991 17.45 3 8/1/1998 10/1/1998 17.41 5 12/1/2012 4/1/2013 16.41 5 1/1/1984 5/1/1984 16.27 4 7/1/2001 10/1/2001 15.80 5 9/1/1997 1/1/1998 14.61 4 4/1/1993 7/1/1993 14.44 3 8/1/2010 10/1/2010 13.74 1 2/1/1993 2/1/1993 13.38 5 3/1/2005 7/1/2005 13.34 4 10/1/2006 1/1/2007 13.22 2 7/1/1986 8/1/1986 12.65 2 12/1/1995 1/1/1996 12.51 3 4/1/2007 6/1/2007 11.95 3 10/1/2000 12/1/2000 11.71 2 6/1/1997 7/1/1997 11.34 2 9/1/1984 10/1/1984 10.78 3 8/1/1991 10/1/1991 10.06 2 5/1/1988 6/1/1988 10.03 3 9/1/2005 11/1/2005 9.80 1 7/1/1987 7/1/1987 9.35 2 7/1/2011 8/1/2011 9.31 2 3/1/1996 4/1/1996 8.87 3 12/1/2011 2/1/2012 8.30 2 6/1/2016 7/1/2016 8.06 3 2/1/1999 4/1/1999 8.04 3 11/1/1999 1/1/2000 7.90 1 1/1/1989 1/1/1989 7.72 2 2/1/2001 3/1/2001 7.64 2 5/1/2008 6/1/2008 7.64 2 1/1/1997 2/1/1997 7.64 2 9/1/2007 10/1/2007 7.38 3 10/1/2004 12/1/2004 7.30 2 9/1/1994 10/1/1994 7.00 1 3/1/1994 3/1/1994 6.86 1 7/1/1984 7/1/1984 6.83 1 4/1/2011 4/1/2011 6.47 2 5/1/1998 6/1/1998 6.26 1 11/1/1992 11/1/1992 6.15 3 2/1/2010 4/1/2010 5.83 1 8/1/1995 8/1/1995 5.48 1 7/1/1985 7/1/1985 5.25 1 6/1/1994 6/1/1994 5.24 2 4/1/2012 5/1/2012 5.10 1 7/1/2012 7/1/2012 5.01 1 5/1/1986 5/1/1986 5.00 1 12/1/2010 12/1/2010 4.95 1 3/1/1998 3/1/1998 4.92 2 4/1/2003 5/1/2003 4.89 1 11/1/2015 11/1/2015 4.80 1 9/1/1988 9/1/1988 4.75 2 5/1/2000 6/1/2000 4.66 2 5/1/2014 6/1/2014 4.63 1 6/1/1999 6/1/1999 4.34 2 5/1/1991 6/1/1991 4.27 1 3/1/2006 3/1/2006 4.26 1 2/1/2017 2/1/2017 4.01 2 10/1/2013 11/1/2013 3.85 1 9/1/2009 9/1/2009 3.80 2 1/1/2016 2/1/2016 3.71 1 12/1/2001 12/1/2001 3.39 1 11/1/2009 11/1/2009 3.27 1 7/1/1983 7/1/1983 3.09 1 7/1/2015 7/1/2015 3.08 1 8/1/2000 8/1/2000 3.00 2 8/1/1999 9/1/1999 2.79 1 3/1/2015 3/1/2015 2.71 1 9/1/1987 9/1/1987 2.54 1 2/1/2011 2/1/2011 2.42 1 8/1/2003 8/1/2003 2.39 1 2/1/1988 2/1/1988 2.11 1 12/1/1987 12/1/1987 2.01 1 1/1/2006 1/1/2006 1.68 3 12/1/2008 2/1/2009 1.50 1 2/1/2008 2/1/2008 1.23 1 5/1/2001 5/1/2001 1.20 1 10/1/1995 10/1/1995 1.04 1 3/1/1992 3/1/1992 0.90 1 9/1/2015 9/1/2015 0.83 1 9/1/1983 9/1/1983 0.67 1 12/1/1998 12/1/1998 0.59 1 11/1/1993 11/1/1993 0.46 1 12/1/2016 12/1/2016 0.18 1 5/1/1983 5/1/1983 0.16 1 7/1/2009 7/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -35.59 3 9/1/1986 11/1/1986 -17.68 1 6/1/1986 6/1/1986 -16.79 2 7/1/2007 8/1/2007 -15.73 3 11/1/1994 1/1/1995 -14.59 3 8/1/1993 10/1/1993 -14.51 2 8/1/1985 9/1/1985 -13.91 2 10/1/1987 11/1/1987 -13.76 3 4/1/2015 6/1/2015 -12.98 6 4/1/2004 9/1/2004 -11.58 3 8/1/1989 10/1/1989 -11.54 5 12/1/2013 4/1/2014 -11.50 1 5/1/1990 5/1/1990 -11.43 4 8/1/2016 11/1/2016 -11.23 3 12/1/1993 2/1/1994 -11.06 4 11/1/1990 2/1/1991 -10.47 2 12/1/2009 1/1/2010 -10.16 3 3/1/2016 5/1/2016 -10.12 3 9/1/2011 11/1/2011 -9.81 4 8/1/2012 11/1/2012 -9.62 1 11/1/2001 11/1/2001 -9.25 4 3/1/2009 6/1/2009 -9.06 3 10/1/1983 12/1/1983 -8.89 6 4/1/2006 9/1/2006 -8.83 2 1/1/1992 2/1/1992 -8.62 2 2/1/2007 3/1/2007 -8.58 3 11/1/2007 1/1/2008 -8.09 4 1/1/2002 4/1/2002 -8.08 1 4/1/2001 4/1/2001 -7.98 2 7/1/1994 8/1/1994 -7.96 1 7/1/1991 7/1/1991 -7.87 1 4/1/1986 4/1/1986 -7.57 3 3/1/1997 5/1/1997 -7.25 2 5/1/1987 6/1/1987 -7.12 2 5/1/2011 6/1/2011 -6.90 2 3/1/1988 4/1/1988 -6.74 2 9/1/1992 10/1/1992 -6.48 1 3/1/2011 3/1/2011 -6.28 1 1/1/1986 1/1/1986 -6.28 5 7/1/2008 11/1/2008 -6.00 2 10/1/2002 11/1/2002 -5.90 1 4/1/1998 4/1/1998 -5.79 1 3/1/1993 3/1/1993 -5.74 5 5/1/2013 9/1/2013 -5.63 1 2/1/1996 2/1/1996 -5.50 1 6/1/1984 6/1/1984 -5.39 1 8/1/2005 8/1/2005 -5.28 2 6/1/2003 7/1/2003 -5.14 1 8/1/1997 8/1/1997 -4.94 3 5/1/2010 7/1/2010 -4.91 2 6/1/1995 7/1/1995 -4.87 1 6/1/2012 6/1/2012 -4.83 1 1/1/1999 1/1/1999 -4.50 2 4/1/1994 5/1/1994 -4.38 1 3/1/2003 3/1/2003 -4.30 1 12/1/1996 12/1/1996 -4.25 1 10/1/1999 10/1/1999 -4.11 3 2/1/2000 4/1/2000 -3.71 1 6/1/1983 6/1/1983 -3.68 1 7/1/1998 7/1/1998 -3.65 1 12/1/2015 12/1/2015 -3.47 1 9/1/1995 9/1/1995 -3.25 1 5/1/1999 5/1/1999 -3.24 2 1/1/2005 2/1/2005 -3.23 1 9/1/2000 9/1/2000 -3.12 1 11/1/1984 11/1/1984 -2.79 1 4/1/1992 4/1/1992 -2.76 1 12/1/2005 12/1/2005 -2.70 2 3/1/2008 4/1/2008 -2.64 1 1/1/2017 1/1/2017 -2.55 1 3/1/2012 3/1/2012 -2.38 1 2/1/1998 2/1/1998 -2.18 1 6/1/1985 6/1/1985 -2.04 2 12/1/1992 1/1/1993 -2.03 1 11/1/1991 11/1/1991 -1.99 1 2/1/1989 2/1/1989 -1.87 1 4/1/1991 4/1/1991 -1.72 1 7/1/2000 7/1/2000 -1.71 1 6/1/2001 6/1/2001 -1.71 1 5/1/1996 5/1/1996 -1.58 1 2/1/2006 2/1/2006 -1.54 1 11/1/2010 11/1/2010 -1.47 1 10/1/2015 10/1/2015 -1.47 1 8/1/1983 8/1/1983 -1.40 1 10/1/2009 10/1/2009 -1.37 1 9/1/2003 9/1/2003 -1.34 1 8/1/1984 8/1/1984 -1.13 1 1/1/2011 1/1/2011 -1.12 1 8/1/1987 8/1/1987 -1.09 1 1/1/2001 1/1/2001 -1.08 1 8/1/2009 8/1/2009 -0.90 2 7/1/1988 8/1/1988 -0.83 3 10/1/1988 12/1/1988 -0.50 1 11/1/1998 11/1/1998 -0.41 1 2/1/2015 2/1/2015 -0.40 1 4/1/1983 4/1/1983 -0.24 1 11/1/1995 11/1/1995 -0.19 1 8/1/2015 8/1/2015 -0.15 1 7/1/1999 7/1/1999 -0.10 1 7/1/2014 7/1/2014 -0.08 1 1/1/1988 1/1/1988 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods407.00405.00402.00396.00390.00384.00372.00360.00348.00 Percent Profitable54.7959.2665.4274.2478.9779.9586.0288.8987.07 Average Period Return0.922.785.6111.5918.1625.1139.7657.1476.28 Average Gain4.408.2111.8818.3025.4133.6147.6565.5888.77 Average Loss-3.29-5.11-6.24-7.76-9.10-8.78-8.78-10.41-7.81 Best Period33.7156.6876.4464.3878.4696.15152.42249.54347.60 Worst Period-17.68-35.59-39.97-30.45-31.75-24.72-27.53-22.98-19.75 Standard Deviation5.289.2812.7516.6921.1426.0737.3650.2563.69 Gain Standard Deviation4.067.5510.8313.7017.4221.9134.1846.8258.71 Loss Standard Deviation3.054.855.775.986.555.947.336.734.85 Sharpe Ratio (1%)0.160.270.400.630.790.890.981.061.12 Average Gain / Average Loss1.341.611.902.362.793.835.436.3011.37 Profit / Loss Ratio1.622.343.606.8010.4915.2533.3950.3976.53 Downside Deviation (10%)3.225.096.157.228.369.0910.4111.9414.37 Downside Deviation (5%)3.054.605.215.385.715.515.195.324.97 Downside Deviation (0%)3.014.494.994.965.134.744.264.123.30 Sortino Ratio (10%)0.160.310.510.911.261.642.312.983.39 Sortino Ratio (5%)0.270.550.981.972.924.197.079.9714.31 Sortino Ratio (0%)0.310.621.122.343.545.309.3313.8823.14 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index 5 Year 10 135.73 1995 - 2000 IASG CTA Index Annual 8 35.95 1996 IASG CTA Index 5 Year 7 199.91 1988 - 1993 IASG CTA Index 3 Year 5 55.92 1990 - 1993 IASG CTA Index Annual 6 13.59 1992 IASG CTA Index 3 Year 4 101.43 1989 - 1992 IASG CTA Index 5 Year 3 209.31 1987 - 1992 IASG CTA Index 5 Year 3 347.60 1986 - 1991 IASG CTA Index Annual 3 31.12 1991 IASG CTA Index 3 Year 6 152.21 1988 - 1991 IASG CTA Index 3 Year 4 107.67 1987 - 1990 IASG CTA Index 5 Year 4 137.44 1985 - 1990 IASG CTA Index Sharpe 9 0.64 1989 IASG CTA Index 3 Year 3 152.42 1986 - 1989 IASG CTA Index Annual 2 42.23 1989 IASG CTA Index 5 Year 2 133.59 1984 - 1989 IASG CTA Index 5 Year 2 108.52 1983 - 1988 IASG CTA Index Sharpe 9 0.49 1988 IASG CTA Index Annual 5 7.96 1988 IASG CTA Index 3 Year 5 23.44 1985 - 1988 IASG CTA Index 3 Year 3 52.12 1984 - 1987 IASG CTA Index Sharpe 4 0.50 1987 IASG CTA Index Annual 4 64.38 1987 IASG CTA Index Sharpe 4 0.14 1986 IASG CTA Index 3 Year 2 17.49 1983 - 1986 IASG CTA Index Annual 5 -30.45 1986 IASG CTA Index Annual 2 33.05 1985 IASG CTA Index Sharpe 3 0.91 1985 IASG CTA Index Annual 2 26.96 1984 IASG CTA Index Sharpe 3 0.53 1984 IASG CTA Index Sharpe 2 -1.82 1983 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel