Cauldron Investments, LLC : Cauldron Systematic

Year-to-Date
15.06%
Jul Performance
1.01%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
8.96%
Sharpe (RFR=1%)
1.60
CAROR
15.98%
Assets
$ 38.3M
Worst DD
-7.18
S&P Correlation
0.87

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
1/2017
Cauldron Systematic 1.01 2.17 15.06 10.26 - - - 46.68
S&P 500 1.31 1.17 18.88 5.82 - - - 29.45
+/- S&P 500 -0.30 1.00 -3.83 4.45 - - - 17.23

Strategy Description

Summary

A trading system to achieve better risk-adjusted returns in the U.S. equity market bench marked by S&P 500 Index via it futures and options on futures.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
70.00%
1-30 Days
30.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
5.00%
Option-writing
25.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

A trading system to achieve better risk-adjusted returns in the U.S. equity market bench marked by S&P 500 Index via it futures and options on futures.

Investment Strategy

Use trend-following as the basic strategy, supplemented by writing put options to augment returns in market flat periods. Use counter-trend trading when proprietary buy or sell signal occurs.

Risk Management

Like any trend following trading system, exit existing positions when the underlying trend terminates. Use stop order to exit short put positions when they reach certain predetermined points.

   

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
-7.18 3 2 9/1/2018 12/1/2018
-5.17 1 5 1/1/2018 2/1/2018
-4.08 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
29.31 13 1/1/2017 1/1/2018
12.61 4 1/1/2019 4/1/2019
12.00 7 3/1/2018 9/1/2018
6.52 2 6/1/2019 7/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.18 3 10/1/2018 12/1/2018
-5.17 1 2/1/2018 2/1/2018
-4.08 1 5/1/2019 5/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable83.8782.7692.31100.00100.00
Average Period Return1.283.617.3715.0722.79
Average Gain2.165.008.0415.0722.79
Average Loss-3.32-3.06-0.58
Best Period5.9910.2917.3026.8730.51
Worst Period-5.17-7.18-1.122.8313.43
Standard Deviation2.594.014.556.345.60
Gain Standard Deviation1.592.554.066.345.60
Loss Standard Deviation1.742.790.76
Sharpe Ratio (1%)0.460.841.512.223.80
Average Gain / Average Loss0.651.6313.87
Profit / Loss Ratio3.397.83166.49
Downside Deviation (10%)1.622.060.950.50
Downside Deviation (5%)1.501.720.33
Downside Deviation (0%)1.471.640.22
Sortino Ratio (10%)0.541.155.1620.17
Sortino Ratio (5%)0.791.9520.58
Sortino Ratio (0%)0.872.2033.67

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 5.45 6/2019
Stock Index Trader Index Month 3 3.42 4/2019
Stock Index Trader Index Month 3 3.42 4/2019
Stock Index Trader Index Month 2 3.89 2/2019
Stock Index Trader Index Month 2 3.89 2/2019
Stock Index Trader Index Month 2 3.89 2/2019
Stock Index Trader Index Month 2 3.89 2/2019
Stock Index Trader Index Month 5 4.30 1/2019
Trend Following Strategy Index Month 6 4.30 1/2019

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