Campbell & Company, LP : Campbell Managed Futures Composite (f/k/a FME Large)

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

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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	2020	1yr	3yr	5yr	10yr	Since 4/1983
Campbell Managed Futures Composite (f/k/a FME Large)	4.26	-	-	-	-	-8.78	11.15	2,323.44
S&P 500	3.72	-	-	-	-	73.07	67.99	2,160.80
+/- S&P 500	0.54	-	-	-	-	-81.86	-56.84	162.64

Strategy Description

Summary

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

Summary

At 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:

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	407.00	405.00	402.00	396.00	390.00	384.00	372.00	360.00	348.00
Percent Profitable	54.79	59.26	65.42	74.24	78.97	79.95	86.02	88.89	87.07
Average Period Return	0.92	2.78	5.61	11.59	18.16	25.11	39.76	57.14	76.28
Average Gain	4.40	8.21	11.88	18.30	25.41	33.61	47.65	65.58	88.77
Average Loss	-3.29	-5.11	-6.24	-7.76	-9.10	-8.78	-8.78	-10.41	-7.81
Best Period	33.71	56.68	76.44	64.38	78.46	96.15	152.42	249.54	347.60
Worst Period	-17.68	-35.59	-39.97	-30.45	-31.75	-24.72	-27.53	-22.98	-19.75
Standard Deviation	5.28	9.28	12.75	16.69	21.14	26.07	37.36	50.25	63.69
Gain Standard Deviation	4.06	7.55	10.83	13.70	17.42	21.91	34.18	46.82	58.71
Loss Standard Deviation	3.05	4.85	5.77	5.98	6.55	5.94	7.33	6.73	4.85
Sharpe Ratio (1%)	0.16	0.27	0.40	0.63	0.79	0.89	0.98	1.06	1.12
Average Gain / Average Loss	1.34	1.61	1.90	2.36	2.79	3.83	5.43	6.30	11.37
Profit / Loss Ratio	1.62	2.34	3.60	6.80	10.49	15.25	33.39	50.39	76.53
Downside Deviation (10%)	3.22	5.09	6.15	7.22	8.36	9.09	10.41	11.94	14.37
Downside Deviation (5%)	3.05	4.60	5.21	5.38	5.71	5.51	5.19	5.32	4.97
Downside Deviation (0%)	3.01	4.49	4.99	4.96	5.13	4.74	4.26	4.12	3.30
Sortino Ratio (10%)	0.16	0.31	0.51	0.91	1.26	1.64	2.31	2.98	3.39
Sortino Ratio (5%)	0.27	0.55	0.98	1.97	2.92	4.19	7.07	9.97	14.31
Sortino Ratio (0%)	0.31	0.62	1.12	2.34	3.54	5.30	9.33	13.88	23.14

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.

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Campbell & Company, LP : Campbell Managed Futures Composite (f/k/a FME Large)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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Campbell & Company, LP : Campbell Managed Futures Composite (f/k/a FME Large)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

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