Cauldron Investments, LLC : Stock Index Plus

archived programsClosed to new investments
Year-to-Date
N / A
Sep Performance
1.33%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.18%
Sharpe (RFR=1%)
1.12
CAROR
11.36%
Assets
$ 29.7M
Worst DD
-11.83
S&P Correlation
0.67

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Stock Index Plus 1.33 1.33 - -0.57 14.11 35.40 - 163.31
S&P 500 0.43 7.20 - 14.67 50.24 71.54 - 163.64
+/- S&P 500 0.90 -5.87 - -15.24 -36.12 -36.14 - -0.33

Strategy Description

Summary

The Stock Index Plus Program (SIP) is a multi-strategy, systematic, rules-based trading system focused in stock market indices such as the S&P 500, via trading its futures contracts and options. It consists of three independent subsystems: (1) trend-following, (2) trend-reversal, and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
10.00%
4-12 Months
20.00%
1-3 Months
30.00%
1-30 Days
40.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
15.00%
Option-writing
35.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Stock Index Plus Program (SIP) is a multi-strategy, systematic, rules-based trading system focused in stock market indices such as the S&P 500, via trading its futures contracts and options. It consists of three independent subsystems: (1) trend-following, (2) trend-reversal, and (3) options writing. This investment program is not intended to be an uncorrelated supplement to allocating capital assets in equity markets. Instead, it intends to provide a superior alternative to allocating capital assets in equity markets, with higher returns and lower volatility. The characteristics of the performance of SIP is therefore highly correlated with the stock market in bull markets, and either uncorrelated or negatively correlated in bear markets.

Investment Strategy

1. Trend-following 2. Trend-reversal 3. Options Writing

Risk Management

The program uses low levels of leverage in all three subsystems to control risk, in addition to predetermined maximum risk percentages to control risk in both the trend-reversal and options writing systems.

   

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
-11.83 1 - 1/1/2018 2/1/2018
-10.82 2 6 4/1/2010 6/1/2010
-10.59 7 11 7/1/2015 2/1/2016
-8.53 3 5 5/1/2011 8/1/2011
-4.04 3 1 10/1/2013 1/1/2014
-1.49 2 1 11/1/2014 1/1/2015
-1.00 1 1 2/1/2015 3/1/2015
-0.60 1 1 4/1/2012 5/1/2012
-0.06 1 1 5/1/2015 6/1/2015
-0.03 1 1 1/1/2010 2/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
35.78 17 6/1/2012 10/1/2013
20.81 9 9/1/2010 5/1/2011
19.13 10 2/1/2014 11/1/2014
13.69 16 10/1/2016 1/1/2018
12.62 4 1/1/2012 4/1/2012
11.20 7 3/1/2018 9/1/2018
10.60 6 3/1/2016 8/1/2016
8.68 2 9/1/2011 10/1/2011
7.81 2 3/1/2010 4/1/2010
6.79 4 10/1/2009 1/1/2010
5.77 1 7/1/2010 7/1/2010
5.39 4 9/1/2015 12/1/2015
3.94 1 2/1/2015 2/1/2015
3.39 1 7/1/2015 7/1/2015
2.96 2 4/1/2015 5/1/2015
0.78 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.83 1 2/1/2018 2/1/2018
-10.82 2 5/1/2010 6/1/2010
-9.55 1 8/1/2015 8/1/2015
-8.53 3 6/1/2011 8/1/2011
-6.20 2 1/1/2016 2/1/2016
-3.68 1 1/1/2014 1/1/2014
-1.51 1 9/1/2016 9/1/2016
-1.49 2 12/1/2014 1/1/2015
-1.14 1 11/1/2013 11/1/2013
-1.00 1 3/1/2015 3/1/2015
-0.71 2 11/1/2011 12/1/2011
-0.60 1 5/1/2012 5/1/2012
-0.06 1 6/1/2015 6/1/2015
-0.04 1 8/1/2010 8/1/2010
-0.03 1 2/1/2010 2/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00
Percent Profitable80.5681.1377.6785.5795.60100.00100.00100.00100.00
Average Period Return0.942.785.5011.6818.6425.9142.6461.5080.90
Average Gain1.834.578.1014.0019.5425.9142.6461.5080.90
Average Loss-2.75-4.93-3.54-2.04-1.14
Best Period7.4011.5317.0627.4542.6958.8585.70106.78128.53
Worst Period-11.83-10.58-8.97-5.83-2.625.322.8316.6935.27
Standard Deviation2.654.536.368.3711.8915.3023.2326.7426.22
Gain Standard Deviation1.472.314.426.6411.3515.3023.2326.7426.22
Loss Standard Deviation3.253.502.701.501.08
Sharpe Ratio (1%)0.320.560.791.281.441.561.702.152.89
Average Gain / Average Loss0.660.932.296.8517.12
Profit / Loss Ratio2.753.987.9640.62372.44
Downside Deviation (10%)1.983.063.112.872.591.422.971.16
Downside Deviation (5%)1.882.702.281.280.600.02
Downside Deviation (0%)1.852.612.090.950.31
Sortino Ratio (10%)0.270.510.972.334.2611.049.0434.57
Sortino Ratio (5%)0.450.942.198.3428.471709.23
Sortino Ratio (0%)0.511.072.6412.2860.15

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 0.00 10/2018
Stock Index Trader Index Month 8 1.33 9/2018
Trend Following Strategy Index Month 7 1.33 9/2018
Trend Following Strategy Index Month 5 1.33 9/2018
Stock Index Trader Index Month 8 1.33 9/2018
Stock Index Trader Index Month 10 1.20 8/2018
Trend Following Strategy Index Month 7 1.83 7/2018
Stock Index Trader Index Month 6 2.03 6/2018
Trend Following Strategy Index Month 9 2.03 6/2018
Trend Following Strategy Index Month 9 1.34 5/2018
Stock Index Trader Index Month 10 1.34 5/2018
Trend Following Strategy Index Month 5 1.76 3/2018
Trend Following Strategy Index Month 5 1.17 9/2017
Stock Index Trader Index Month 8 1.17 9/2017
Trend Following Strategy Index Month 7 0.73 6/2017
Trend Following Strategy Index Month 9 1.01 3/2017
Stock Index Trader Index Month 9 0.86 2/2017
Trend Following Strategy Index Month 8 1.21 1/2017
Stock Index Trader Index Month 10 0.61 12/2016
Trend Following Strategy Index Month 10 0.50 10/2016
Trend Following Strategy Index Month 3 1.02 8/2016
Stock Index Trader Index Month 9 1.44 7/2016
Stock Index Trader Index Month 3 3.19 5/2016
Trend Following Strategy Index Month 2 3.19 5/2016
IASG CTA Index Month 6 3.19 5/2016
Systematic Trader Index Month 6 3.19 5/2016
Trend Following Strategy Index Month 6 2.84 3/2016
Stock Index Trader Index Month 3 2.84 3/2016
IASG CTA Index Sharpe 8 1.56 2014 - 2015
IASG CTA Index 5 Year Rolling 8 94.54 2010 - 2015
Trend Following Strategy Index Month 9 0.19 12/2015
Trend Following Strategy Index Month 6 2.77 10/2015
Stock Index Trader Index Month 5 2.77 10/2015
Stock Index Trader Index Month 9 3.39 7/2015
Trend Following Strategy Index Month 7 3.94 2/2015
IASG CTA Index Sharpe 9 1.90 2013 - 2014
IASG CTA Index 3 Year Rolling 10 73.81 2011 - 2014
Stock Index Trader Index Month 4 2.94 4/2014
Stock Index Trader Index Month 4 4.83 2/2014
IASG CTA Index Sharpe 6 1.95 2012 - 2013
Stock Index Trader Index Month 6 4.25 7/2013
Stock Index Trader Index Month 9 3.09 4/2013
Stock Index Trader Index Month 8 2.08 3/2013
Stock Index Trader Index Month 4 4.06 1/2013
Trend Following Strategy Index Month 5 1.80 10/2012
Stock Index Trader Index Month 8 1.95 9/2012
Stock Index Trader Index Month 10 4.00 6/2012
Trend Following Strategy Index Month 2 4.00 6/2012
Stock Index Trader Index Month 6 3.83 3/2012
Trend Following Strategy Index Month 9 3.83 3/2012
Stock Index Trader Index Month 5 4.53 2/2012
Trend Following Strategy Index Month 3 5.88 10/2011
Stock Index Trader Index Month 7 5.88 10/2011
Stock Index Trader Index Month 6 2.19 4/2011
Trend Following Strategy Index Month 7 2.79 3/2011
Stock Index Trader Index Month 8 2.81 2/2011
Stock Index Trader Index Month 5 3.88 12/2010
Stock Index Trader Index Month 10 3.33 10/2010
Stock Index Trader Index Month 8 1.54 9/2010
Systematic Trader Index Month 9 5.84 7/2010
Trend Following Strategy Index Month 4 5.84 7/2010
Stock Index Trader Index Month 2 5.84 7/2010
Stock Index Trader Index Month 2 7.52 3/2010
IASG CTA Index Sharpe 7 5.00 2008 - 2009
Stock Index Trader Index Month 10 0.40 10/2009
Stock Index Trader Index Month 4 5.67 9/2009
Stock Index Trader Index Month 6 5.51 8/2009

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