Campbell & Company, LP : Trend Following Portfolio

archived programs
Year-to-Date
N / A
Jul Performance
2.81%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.40%
Sharpe (RFR=1%)
0.28
CAROR
3.94%
Assets
$ 203.0M
Worst DD
-24.23
S&P Correlation
0.15

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Trend Following Portfolio 2.81 -2.54 - -11.42 9.19 8.97 - 35.38
S&P 500 1.93 3.45 - 13.48 27.75 78.82 - 138.00
+/- S&P 500 0.88 -5.99 - -24.90 -18.56 -69.85 - -102.62

Strategy Description

Summary

Campbell & Company's trading models are designed to detect and exploit medium-term to long-term price trends, and also to apply proven risk management and portfolio management principles. The concepts on which the trading models are based were originally developed in 1976 and 1980,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
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
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
700 RT/YR/$M
Avg. Margin-to-Equity
27%
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
100.00%
Strategy Pie Chart

Composition

Summary

Campbell & Company's trading models are designed to detect and exploit medium-term to long-term price trends, and also to apply proven risk management and portfolio management principles. The concepts on which the trading models are based were originally developed in 1976 and 1980, but since that time they have continued to evolve as a result of Campbell's continuing commitment to creative research.

Campbell believes that utilizing multiple trading models for the same client account provides diversification, and is most beneficial when numerous contracts of each commodity are traded. Five trend-following trading models and a sixth model that sometimes trades with the trend and sometimes trades against the trend are presently used. More or fewer trading models may be used in the future. Every trading model does not trade every market. The trading models are primarily different in their sensitivity to price action. One model, for example, may establish a position relatively quickly and risk a comparatively small amount of capital, while another model may establish a position less quickly and risk more capital. The models may also vary as to the time or price at which the transactions determined by them are signaled. For example, one model may establish a position at any time during the day after a price level has been reached, while another may establish a position only at the opening or closing of the market on the same day. It is possible that one model may establish a long position while another model establishes a short position in the same market. Since it is unlikely that both positions would prove profitable, in retrospect one or both trades will appear to have been unnecessary. It is Campbell's policy to follow trades signaled by each model independent of what the other models may be recommending.

Campbell applies a portfolio management strategy to measure and manage overall portfolio risk. This strategy includes portfolio structure, balance, capital allocation, and risk limitation. One objective of portfolio management is to determine periods of relatively high and low portfolio risk, and when such points are reached, the firm may reduce or increase position size accordingly. It is possible, however, that during periods of reduction in position size the return that would have been realized had the account been fully invested would be reduced

Investment Strategy

Trend Following strategies exist in diversified portfolios and have only been offered as a standalone since November 2009. Information relating to the extracted performance of the Trend Following strategies, as it was part of a broader portfolio, can be made available to a QEP purchaser, including most institutions.

   

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:
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Risk
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Loss Frequency:
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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:
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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
-24.23 27 - 3/1/2015 6/1/2017
-12.64 11 5 4/1/2013 3/1/2014
-11.73 2 8 11/1/2009 1/1/2010
-11.66 5 6 5/1/2012 10/1/2012
-10.82 2 7 8/1/2011 10/1/2011
-5.95 1 1 2/1/2011 3/1/2011
-5.24 2 1 4/1/2011 6/1/2011
-1.97 1 1 10/1/2010 11/1/2010
-1.81 1 1 1/1/0001 10/1/2009
-0.61 1 1 1/1/2015 2/1/2015
-0.39 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
53.57 10 4/1/2014 1/1/2015
15.71 6 11/1/2012 4/1/2013
14.26 3 8/1/2010 10/1/2010
11.84 3 2/1/2010 4/1/2010
10.94 2 7/1/2011 8/1/2011
9.80 2 6/1/2016 7/1/2016
9.32 4 11/1/2011 2/1/2012
7.19 1 4/1/2011 4/1/2011
5.69 1 11/1/2009 11/1/2009
4.98 2 10/1/2013 11/1/2013
4.85 2 4/1/2012 5/1/2012
4.43 3 7/1/2015 9/1/2015
4.38 1 7/1/2012 7/1/2012
4.36 1 12/1/2010 12/1/2010
4.01 1 2/1/2017 2/1/2017
3.87 1 11/1/2015 11/1/2015
2.98 1 2/1/2011 2/1/2011
2.81 1 7/1/2017 7/1/2017
2.38 1 3/1/2015 3/1/2015
1.99 2 1/1/2016 2/1/2016
0.89 1 4/1/2017 4/1/2017
0.28 1 11/1/2016 11/1/2016
0.05 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.23 3 4/1/2015 6/1/2015
-11.73 2 12/1/2009 1/1/2010
-11.45 3 8/1/2012 10/1/2012
-10.85 4 12/1/2013 3/1/2014
-10.82 2 9/1/2011 10/1/2011
-10.10 3 8/1/2016 10/1/2016
-10.08 3 3/1/2016 5/1/2016
-5.95 1 3/1/2011 3/1/2011
-5.24 2 5/1/2011 6/1/2011
-5.20 2 5/1/2017 6/1/2017
-5.14 3 5/1/2010 7/1/2010
-4.55 2 5/1/2013 6/1/2013
-4.43 1 6/1/2012 6/1/2012
-3.46 1 12/1/2015 12/1/2015
-2.76 1 10/1/2015 10/1/2015
-2.26 2 8/1/2013 9/1/2013
-2.15 2 12/1/2016 1/1/2017
-1.97 1 11/1/2010 11/1/2010
-1.82 1 3/1/2017 3/1/2017
-1.81 1 10/1/2009 10/1/2009
-1.35 1 3/1/2012 3/1/2012
-0.61 1 2/1/2015 2/1/2015
-0.39 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00
Percent Profitable54.2655.4351.6957.8368.8374.6598.31100.00100.00
Average Period Return0.401.212.765.878.7712.1520.3726.1536.71
Average Gain3.306.129.7314.4316.7219.4520.7826.1536.71
Average Loss-3.05-4.91-4.70-5.87-8.78-9.34-3.48
Best Period10.4119.5437.7556.2746.2546.0246.3158.5886.45
Worst Period-9.31-14.23-11.78-15.31-17.86-21.05-3.488.378.97
Standard Deviation3.876.9910.2414.6015.9816.6811.9411.4520.83
Gain Standard Deviation2.214.849.5813.2712.4612.0211.6211.4520.83
Loss Standard Deviation2.213.573.305.035.077.00
Sharpe Ratio (1%)0.080.140.220.330.450.611.451.931.52
Average Gain / Average Loss1.081.252.072.461.902.085.97
Profit / Loss Ratio1.281.552.223.374.216.14346.16
Downside Deviation (10%)2.774.735.507.839.7410.805.574.637.20
Downside Deviation (5%)2.584.174.265.506.386.660.97
Downside Deviation (0%)2.544.033.974.995.635.810.45
Sortino Ratio (10%)0.000.000.050.110.120.180.830.991.26
Sortino Ratio (5%)0.120.230.530.891.141.5217.81
Sortino Ratio (0%)0.160.300.701.181.562.0944.94

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.