Cazadores Investments Limited : Cazadores Commodity Alpha

Year-to-Date
2.58%
Apr Performance
1.82%
Min Investment
$ 1,000k
Mgmt. Fee
0.50%
Perf. Fee
20.00%
Annualized Vol
3.74%
Sharpe (RFR=1%)
1.93
CAROR
-
Assets
$ 997k
Worst DD
-0.81
S&P Correlation
0.28

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
10/2019
Cazadores Commodity Alpha 1.82 1.82 2.58 - - - - 4.85
S&P 500 12.68 -9.71 -9.85 - - - - 2.07
+/- S&P 500 -10.86 11.53 12.43 - - - - 2.79

Strategy Description

Summary

Cazadores Investments is a London based CTA, focusing on trading liquid commodity futures and harvesting alpha 100% systematically. Our strategy is uniquely uncorrelated with the broader financial market, both equity (S&P 500) and fixed income (IShares 20y Treasuries). Live Returns... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 5.00
Management Fee 0.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Industrial Metals
17.00%
Precious Metals
17.00%
Energy
17.00%
Grains
17.00%
Livestock
16.00%
Softs
16.00%
Composition Pie Chart

Summary

Cazadores Investments is a London based CTA, focusing on trading liquid commodity futures and harvesting alpha 100% systematically. Our strategy is uniquely uncorrelated with the broader financial market, both equity (S&P 500) and fixed income (IShares 20y Treasuries). Live Returns and Sharpe Ratio have outperformed both the Bridge Alternatives Commodity Hedge Fund Index and the Barclays CTA Index since 2019

Investment Strategy

All major commodity markets make up our investible universe. Systematic signals, based on risk, trend and mean reversion, assign the commodities into long and short buckets. Positions are finally sized to build the most robust overall portfolio

Risk Management

The fund operates with enforced position limits for each market. The limits are both external (Regulatory) and internal (Market Liquidity, Volatility and Correlation metrics). The aim is to build robust portfolios that limit the expected aggregate impact of any large market moves

   

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
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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
-0.81 1 1 12/1/2019 1/1/2020
-0.33 1 1 10/1/2019 11/1/2019
-0.07 1 1 2/1/2020 3/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
1.82 1 4/1/2020 4/1/2020
1.64 1 2/1/2020 2/1/2020
1.63 1 10/1/2019 10/1/2019
0.91 1 12/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.81 1 1/1/2020 1/1/2020
-0.33 1 11/1/2019 11/1/2019
-0.07 1 3/1/2020 3/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable57.1480.00
Average Period Return0.681.58
Average Gain1.502.03
Average Loss-0.40-0.24
Best Period1.823.42
Worst Period-0.81-0.24
Standard Deviation1.081.40
Gain Standard Deviation0.401.11
Loss Standard Deviation0.38
Sharpe Ratio (1%)0.560.95
Average Gain / Average Loss3.728.53
Profit / Loss Ratio4.9634.13
Downside Deviation (10%)0.570.69
Downside Deviation (5%)0.380.22
Downside Deviation (0%)0.330.11
Sortino Ratio (10%)0.490.50
Sortino Ratio (5%)1.606.09
Sortino Ratio (0%)2.0614.82

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.