Ceres Funds Management, LLC : Agriculture Program

archived programs
Year-to-Date
N / A
Mar Performance
1.85%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
11.48%
Sharpe (RFR=1%)
-0.41
CAROR
-
Assets
$ 700k
Worst DD
-15.64
S&P Correlation
0.09

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/2011
Agriculture Program 1.85 - - - - - - -7.64
S&P 500 3.60 - - - - - - 162.31
+/- S&P 500 -1.75 - - - - - - -169.95

Strategy Description

Summary

Ceres Funds Management’s program trades in the agriculture sector, primarily trading cattle, hogs, corn, soybeans, and wheat. We believe the best opportunity for earning the highest risk-adjusted returns are achieved through trading spreads. Generally, interdelivery spreads are traded... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 45.00%
1-30 Days 45.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
25.00%
Spreading/hedging
75.00%
Strategy Pie Chart

Composition

Livestock
90.00%
Grains
5.00%
Other
5.00%
Composition Pie Chart

Summary

Ceres Funds Management’s program trades in the agriculture sector, primarily trading cattle, hogs, corn, soybeans, and wheat. We believe the best opportunity for earning the highest risk-adjusted returns are achieved through trading spreads. Generally, interdelivery spreads are traded whereby the same commodity is traded in different months. Ceres Funds Management's Agriculture Program trades very similar to Ceres Funds Management's Agriculture Program 1.5x (which has a track record dating back to February 2008). The Agriculture Program trades at 33% less leverage than the 1.5x program.

Investment Strategy

Ceres Funds program primarily relies on fundamental analysis in an attempt to identify price trends and make trading decisions. Ceres Funds' principals' high involvement in the cash market of the underlying commodities allows them to better understand the external forces that affect the trading markets. By understanding these external causes and how they affect supply and demand factors, we are able to project future trends and price movements. Along with a strong understanding of market fundamentals, we also use technical analysis in order to obtain signals that are given by the market themselves. Technical analysis of the markets often includes a study of the actual daily, weekly, and monthly price fluctuations, volume variations, and changes in open interest, utilizing charts for analysis of these items and other technical market data. We use technical analysis along with our fundamental research in an attempt to make well-informed trading decisions.

   

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
-15.64 3 - 8/1/2011 11/1/2011
-1.88 1 1 6/1/2011 7/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
12.00 4 3/1/2012 6/1/2012
4.05 2 12/1/2011 1/1/2012
2.92 3 1/1/2013 3/1/2013
2.82 1 8/1/2011 8/1/2011
1.54 1 6/1/2011 6/1/2011
0.53 2 9/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.64 3 9/1/2011 11/1/2011
-5.98 2 7/1/2012 8/1/2012
-4.21 2 11/1/2012 12/1/2012
-1.88 1 7/1/2011 7/1/2011
-1.59 1 2/1/2012 2/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable59.0945.0041.1863.64
Average Period Return-0.31-1.26-1.74-0.01
Average Gain1.793.946.102.78
Average Loss-3.34-5.52-7.23-4.88
Best Period3.709.8412.476.94
Worst Period-10.76-15.64-13.62-9.03
Standard Deviation3.316.288.254.70
Gain Standard Deviation1.233.054.482.72
Loss Standard Deviation3.014.805.123.05
Sharpe Ratio (1%)-0.12-0.24-0.27-0.21
Average Gain / Average Loss0.540.710.840.57
Profit / Loss Ratio0.780.580.591.00
Downside Deviation (10%)3.016.058.346.69
Downside Deviation (5%)2.845.467.003.89
Downside Deviation (0%)2.805.326.683.34
Sortino Ratio (10%)-0.24-0.41-0.50-0.75
Sortino Ratio (5%)-0.14-0.28-0.32-0.26
Sortino Ratio (0%)-0.11-0.24-0.260.00

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.