Ceres Funds Management, LLC : Agriculture Program 1.5X

archived programs
Year-to-Date
N / A
Mar Performance
2.83%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
28.79%
Sharpe (RFR=1%)
0.65
CAROR
16.16%
Assets
$ 3.7M
Worst DD
-40.13
S&P Correlation
-0.10

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
2/2008
Agriculture Program 1.5X 2.83 3.81 - -3.58 7.44 108.75 - 116.79
S&P 500 3.60 10.03 - 11.41 34.16 18.62 - 17.91
+/- S&P 500 -0.77 -6.22 - -14.99 -26.72 90.13 - 98.88

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
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
N/A
Worst Peak-to-Trough
15.41%
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%
Other
5.00%
Grains
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.

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.

Please note: The performance presented in this capsule from February 2008-October 2010 represents the trading results for accounts traded pursuant to power of attorney by the Advisor’s trading principal, Raymond Simpson III. Starting in November 2010, Mr. Simpson operated pursuant to an exemption from the CFTC

   

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:
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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
-40.13 1 - 12/1/2010 1/1/2011
-15.92 2 3 10/1/2009 12/1/2009
-10.61 1 3 6/1/2010 7/1/2010
-9.65 1 4 3/1/2009 4/1/2009
-7.13 1 3 8/1/2008 9/1/2008
-5.00 2 1 5/1/2008 7/1/2008
-3.82 1 1 3/1/2008 4/1/2008
-1.69 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
82.01 6 1/1/2010 6/1/2010
39.55 6 10/1/2008 3/1/2009
39.10 3 2/1/2011 4/1/2011
17.76 4 3/1/2012 6/1/2012
16.05 3 8/1/2009 10/1/2009
9.81 1 8/1/2010 8/1/2010
8.47 1 12/1/2010 12/1/2010
8.29 1 10/1/2010 10/1/2010
7.98 2 2/1/2008 3/1/2008
7.65 1 8/1/2008 8/1/2008
6.91 1 5/1/2008 5/1/2008
4.55 2 5/1/2009 6/1/2009
4.47 3 1/1/2013 3/1/2013
4.26 3 11/1/2011 1/1/2012
4.24 1 8/1/2011 8/1/2011
3.33 1 6/1/2011 6/1/2011
0.41 2 9/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.13 1 1/1/2011 1/1/2011
-15.92 2 11/1/2009 12/1/2009
-12.95 2 9/1/2011 10/1/2011
-10.61 1 7/1/2010 7/1/2010
-9.65 1 4/1/2009 4/1/2009
-9.50 2 7/1/2012 8/1/2012
-7.13 1 9/1/2008 9/1/2008
-5.81 2 11/1/2012 12/1/2012
-5.00 2 6/1/2008 7/1/2008
-3.82 1 4/1/2008 4/1/2008
-3.38 1 2/1/2012 2/1/2012
-2.66 1 7/1/2009 7/1/2009
-1.73 1 7/1/2011 7/1/2011
-1.69 1 11/1/2010 11/1/2010
-1.38 1 5/1/2011 5/1/2011
-0.85 1 9/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable66.1361.6766.6774.5171.1187.18100.00100.00
Average Period Return1.644.849.5220.9332.3648.5670.5094.05
Average Gain5.7413.1119.2730.3248.5557.5370.5094.05
Average Loss-6.35-8.46-9.98-6.54-7.50-12.44
Best Period17.9443.8882.01104.5599.12126.43116.56128.45
Worst Period-40.13-36.16-24.73-21.62-12.72-23.1621.1547.32
Standard Deviation8.3115.5520.5926.9334.8043.7425.7324.75
Gain Standard Deviation4.3612.3818.0724.5827.8639.3825.7324.75
Loss Standard Deviation8.439.876.837.893.936.84
Sharpe Ratio (1%)0.190.300.440.740.891.062.623.64
Average Gain / Average Loss0.901.551.934.646.484.62
Profit / Loss Ratio1.762.493.8613.5615.9431.44
Downside Deviation (10%)6.208.478.156.988.458.63
Downside Deviation (5%)6.088.057.165.405.255.62
Downside Deviation (0%)6.057.946.925.064.514.96
Sortino Ratio (10%)0.200.430.862.282.934.44
Sortino Ratio (5%)0.260.571.263.695.888.28
Sortino Ratio (0%)0.270.611.384.147.179.78

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.