Cayler Capital LLC : Systematic Energy Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 23.52% Oct Performance -8.81% Min Investment $ 250k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 18.83% Sharpe (RFR=1%) 0.85 CAROR - Assets $ 5.0M Worst DD -9.91 S&P Correlation -0.13 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since1/2019 Systematic Energy Diversified -8.81 -7.24 23.52 20.58 - - - 32.17 S&P 500 -2.77 -0.04 1.21 7.65 - - - 33.92 +/- S&P 500 -6.04 -7.21 22.31 12.93 - - - -1.75 Strategy Description SummaryThe Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. ... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 3.00 Management Fee 0% Performance Fee 25.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 6000 RT/YR/$M Avg. Margin-to-Equity 14% Targeted Worst DD -20.00% Worst Peak-to-Trough -3.67% Sector Focus Energy Traders Holding Periods Over 12 Months 0% 4-12 Months 10.00% 1-3 Months 30.00% 1-30 Days 60.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Fundamental 100.00% Composition Energy 100.00% SummaryThe Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. Investment StrategyThe program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities.Risk ManagementAll trades are entered and exited on the close to minimize slippage. Cayler Capital utilizes a complex VaR model to size trades to target 15% annualized volatility. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -9.91 4 - 6/1/2020 10/1/2020 -7.59 3 5 5/1/2019 8/1/2019 -3.60 1 1 1/1/2020 2/1/2020 -3.47 1 3 1/1/0001 1/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 32.74 4 3/1/2020 6/1/2020 13.25 2 4/1/2019 5/1/2019 7.67 2 9/1/2019 10/1/2019 7.15 1 1/1/2020 1/1/2020 2.64 1 2/1/2019 2/1/2019 1.72 1 9/1/2020 9/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.81 1 10/1/2020 10/1/2020 -7.59 3 6/1/2019 8/1/2019 -3.60 1 2/1/2020 2/1/2020 -3.47 1 1/1/2019 1/1/2019 -3.27 2 11/1/2019 12/1/2019 -2.88 2 7/1/2020 8/1/2020 -0.92 1 3/1/2019 3/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods22.0020.0017.0011.00 Percent Profitable50.0070.0082.35100.00 Average Period Return1.415.8313.4226.47 Average Gain5.6210.0116.9926.47 Average Loss-2.79-3.93-3.28 Best Period14.9431.3937.1138.69 Worst Period-8.81-8.24-5.757.00 Standard Deviation5.4410.2212.8810.55 Gain Standard Deviation4.129.2711.1910.55 Loss Standard Deviation2.493.142.24 Sharpe Ratio (1%)0.240.551.002.42 Average Gain / Average Loss2.012.555.18 Profit / Loss Ratio2.015.9524.19 Downside Deviation (10%)2.823.242.53 Downside Deviation (5%)2.642.781.76 Downside Deviation (0%)2.592.661.58 Sortino Ratio (10%)0.361.424.32 Sortino Ratio (5%)0.502.017.33 Sortino Ratio (0%)0.542.198.51 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. x {{title}} x {{title}} Add Cancel