Cedarcroft Capital LLC : Cedarcroft Performance Fund LP

archived programs
Year-to-Date
N / A
May Performance
-0.97%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.18%
Sharpe (RFR=1%)
1.75
CAROR
21.84%
Assets
$ 2.4M
Worst DD
-10.69
S&P Correlation
0.50

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Cedarcroft Performance Fund LP -0.97 - - - - - 22.47 96.38
S&P 500 -6.27 - - - - - 22.77 319.45
+/- S&P 500 5.30 - - - - - -0.29 -223.07

Strategy Description

Summary

The Cedarcroft Performance Fund, LP (“the Fund”) is a high return alpha generating fund with low correlation to the equity markets. The Fund uses a proprietary trading methodology that arbitrages the difference between implied and realized volatility across a broad range of markets... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $35.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD 15.00%
Worst Peak-to-Trough 5.83%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Currency Futures
33.00%
Energy
20.00%
Grains
15.00%
Precious Metals
10.00%
Interest Rates
7.00%
Livestock
5.00%
Softs
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The Cedarcroft Performance Fund, LP (“the Fund”) is a high return alpha generating fund with low correlation to the equity markets. The Fund uses a proprietary trading methodology that arbitrages the difference between implied and realized volatility across a broad range of markets including the S&P 500, Gold, Natural Gas, 30 Year Bond, Crude Oil, Corn, Soybeans and all the major currencies. The Fund is dedicated to achieving absolute returns to increase our investor's wealth regardless of market trends.

Investment Strategy

The investment process involves trading both futures and futures options to exploit the fact that implied volatility (a measure of what investors are willing to pay for options) consistently outstrips realized volatility (a determinant of the fair value of options). The investment strategy attempts to remain delta neutral and does not take a view on assets it sells or purchases. The Fund trades a diversified basket of futures and futures options. There are 20 different major contracts in which the Fund trades. The portfolio is dynamically hedged using real-time tick by tick risk monitoring driven by an in-house algorithmic risk management system. Our system monitors such variables as implied volatility and time to expiration and creates multiple stop levels for each open position. These levels are updated frequently according to the algorithm.

Risk Management

•We have built a proprietary algorithmic risk management system. •The system monitors all our positions in real-time. •We monitor and adjust for following risks: Delta, Gamma, Tenor and Concentration Risk. •The system automatically creates multiple stop levels in the underlying for each of our positions. These stop levels are updated daily.

   

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 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:
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Average Loss:
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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
-10.69 8 4 1/1/2011 9/1/2011
-5.83 1 2 4/1/2010 5/1/2010
-4.04 1 1 10/1/2010 11/1/2010
-0.99 1 1 7/1/2010 8/1/2010
-0.97 1 - 4/1/2012 5/1/2012
-0.88 1 1 2/1/2009 3/1/2009
-0.12 1 1 12/1/2009 1/1/2010
-0.05 1 1 1/1/0001 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
41.72 9 4/1/2009 12/1/2009
25.08 7 10/1/2011 4/1/2012
14.17 3 2/1/2010 4/1/2010
7.71 2 12/1/2010 1/1/2011
7.11 2 9/1/2010 10/1/2010
7.09 2 6/1/2010 7/1/2010
0.70 2 6/1/2011 7/1/2011
0.30 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.42 4 2/1/2011 5/1/2011
-5.83 1 5/1/2010 5/1/2010
-4.04 1 11/1/2010 11/1/2010
-3.16 2 8/1/2011 9/1/2011
-0.99 1 8/1/2010 8/1/2010
-0.97 1 5/1/2012 5/1/2012
-0.88 1 3/1/2009 3/1/2009
-0.12 1 1/1/2010 1/1/2010
-0.05 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable68.2976.9283.3393.33100.00100.00
Average Period Return1.715.4811.6221.8932.6644.41
Average Gain3.398.1215.2223.7932.6644.41
Average Loss-1.90-3.33-6.40-4.78
Best Period8.6515.3129.3858.3869.3977.61
Worst Period-5.83-7.79-8.78-6.420.0922.96
Standard Deviation3.236.3611.2818.9622.7720.81
Gain Standard Deviation2.144.498.4618.1522.7720.81
Loss Standard Deviation1.952.412.782.31
Sharpe Ratio (1%)0.500.820.991.101.372.04
Average Gain / Average Loss1.782.442.384.97
Profit / Loss Ratio3.848.1311.9069.65
Downside Deviation (10%)1.672.453.782.861.97
Downside Deviation (5%)1.542.043.001.560.29
Downside Deviation (0%)1.501.942.811.31
Sortino Ratio (10%)0.781.742.425.9012.69
Sortino Ratio (5%)1.062.573.7113.42107.71
Sortino Ratio (0%)1.142.834.1416.77

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.