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

archived programs
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

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 Since
4/1983
Campbell Managed Futures Composite (f/k/a FME Large) 4.26 1.97 - -12.12 12.31 10.41 2.14 2,323.44
S&P 500 3.72 7.50 - 22.33 27.11 73.07 67.99 1,337.24
+/- S&P 500 0.54 -5.52 - -34.45 -14.80 -62.66 -65.84 986.21

Strategy Description

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.... 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%
Strategy Pie Chart

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.

   

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
-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
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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
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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
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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 Rolling 10 135.73 1995 - 2000
IASG CTA Index Year Rolling 8 35.95 1995 - 1996
IASG CTA Index 5 Year Rolling 7 199.91 1988 - 1993
IASG CTA Index 3 Year Rolling 5 55.92 1990 - 1993
IASG CTA Index Year Rolling 6 13.59 1991 - 1992
IASG CTA Index 3 Year Rolling 4 101.43 1989 - 1992
IASG CTA Index 5 Year Rolling 3 209.31 1987 - 1992
IASG CTA Index 5 Year Rolling 3 347.60 1986 - 1991
IASG CTA Index Year Rolling 3 31.12 1990 - 1991
IASG CTA Index 3 Year Rolling 6 152.21 1988 - 1991
IASG CTA Index 3 Year Rolling 4 107.67 1987 - 1990
IASG CTA Index 5 Year Rolling 4 137.44 1985 - 1990
IASG CTA Index Sharpe 9 0.64 1988 - 1989
IASG CTA Index 3 Year Rolling 3 152.42 1986 - 1989
IASG CTA Index Year Rolling 2 42.23 1988 - 1989
IASG CTA Index 5 Year Rolling 2 133.59 1984 - 1989
IASG CTA Index 5 Year Rolling 2 108.52 1983 - 1988
IASG CTA Index Sharpe 9 0.49 1987 - 1988
IASG CTA Index Year Rolling 5 7.96 1987 - 1988
IASG CTA Index 3 Year Rolling 5 23.44 1985 - 1988
IASG CTA Index 3 Year Rolling 3 52.12 1984 - 1987
IASG CTA Index Sharpe 4 0.50 1986 - 1987
IASG CTA Index Year Rolling 4 64.38 1986 - 1987
IASG CTA Index Sharpe 4 0.14 1985 - 1986
IASG CTA Index 3 Year Rolling 2 17.49 1983 - 1986
IASG CTA Index Year Rolling 5 -30.45 1985 - 1986
IASG CTA Index Year Rolling 2 33.05 1984 - 1985
IASG CTA Index Sharpe 3 0.91 1984 - 1985
IASG CTA Index Year Rolling 2 26.96 1983 - 1984
IASG CTA Index Sharpe 3 0.53 1983 - 1984
IASG CTA Index Sharpe 2 -1.82 1982 - 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.