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

archived programs
Year-to-Date
N / A
Jun Performance
-5.15%
Min Investment
$ 25,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.81%
Sharpe (RFR=1%)
-0.01
CAROR
0.07%
Assets
$ 2,878.0M
Worst DD
-22.49
S&P Correlation
0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Campbell Managed Futures Representative Account (f/k/a FME Large) -5.15 -4.04 - -11.26 5.73 - - 0.26
S&P 500 0.33 2.41 - 15.29 23.44 - - 35.74
+/- S&P 500 -5.48 -6.45 - -26.55 -17.71 - - -35.49

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
$ 25,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
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
80.00%
Other
20.00%
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
-22.49 27 - 3/1/2015 6/1/2017
-10.01 3 5 1/1/0001 3/1/2014
-0.27 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
33.07 6 8/1/2014 1/1/2015
8.30 2 6/1/2016 7/1/2016
5.36 3 4/1/2014 6/1/2014
5.23 1 11/1/2015 11/1/2015
4.34 1 2/1/2017 2/1/2017
3.80 2 1/1/2016 2/1/2016
3.21 1 7/1/2015 7/1/2015
2.80 1 3/1/2015 3/1/2015
1.52 1 4/1/2017 4/1/2017
1.06 1 9/1/2015 9/1/2015
0.46 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.71 3 4/1/2015 6/1/2015
-11.43 4 8/1/2016 11/1/2016
-10.16 3 3/1/2016 5/1/2016
-10.01 3 1/1/2014 3/1/2014
-5.47 2 5/1/2017 6/1/2017
-3.60 1 12/1/2015 12/1/2015
-2.64 1 1/1/2017 1/1/2017
-1.60 1 3/1/2017 3/1/2017
-1.27 1 10/1/2015 10/1/2015
-0.27 1 2/1/2015 2/1/2015
-0.25 1 8/1/2015 8/1/2015
-0.01 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable47.6250.0043.2445.1644.0052.63
Average Period Return0.070.802.344.282.903.90
Average Gain3.266.8313.3219.4919.7819.23
Average Loss-2.82-5.23-6.02-8.25-10.36-13.15
Best Period6.6916.1133.0743.7330.4729.39
Worst Period-9.27-13.71-13.37-14.79-15.86-19.35
Standard Deviation3.707.5412.1917.1716.6017.97
Gain Standard Deviation1.955.0110.8414.309.208.38
Loss Standard Deviation2.203.893.064.163.665.21
Sharpe Ratio (1%)0.010.090.170.220.130.16
Average Gain / Average Loss1.151.312.212.361.911.46
Profit / Loss Ratio1.051.311.691.951.501.63
Downside Deviation (10%)2.815.306.8010.3013.7516.57
Downside Deviation (5%)2.594.645.237.148.7210.31
Downside Deviation (0%)2.574.575.066.808.199.66
Sortino Ratio (10%)-0.12-0.08-0.02-0.07-0.34-0.38
Sortino Ratio (5%)0.010.150.400.530.250.28
Sortino Ratio (0%)0.030.180.460.630.350.40

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 4.34 2/2017
Diversified Trader Index Month 5 4.34 2/2017
Systematic Trader Index Month 8 4.34 2/2017
IASG CTA Index Month 9 4.34 2/2017
Trend Following Strategy Index Month 7 3.96 7/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.