Chamaeleo Capital Management LLC : Optimus Fund

Year-to-Date
5.89%
Jul Performance
2.32%
Min Investment
$ 1,000k
Mgmt. Fee
1.75%
Perf. Fee
17.50%
Annualized Vol
17.07%
Sharpe (RFR=1%)
0.45
CAROR
-
Assets
$ 838k
Worst DD
-6.21
S&P Correlation
0.17

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
10/2020
Optimus Fund 2.32 -4.03 5.89 - - - - 6.27
S&P 500 2.27 5.12 20.81 - - - - 42.99
+/- S&P 500 0.05 -9.15 -14.92 - - - - -36.72

Strategy Description

Summary

The Chamaeleo Optimus Fund seeks to generate uncorrelated performance with an optimal blend of return and risk, providing a smoother ride than long-only commodity benchmarks. Although the strategy is long/short, the portfolio is tilted toward long exposure over time. The portfolio... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.75%
Performance Fee 17.50%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 3

Trading

Trading Frequency 650 RT/YR/$M
Avg. Margin-to-Equity 17%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Not Specified

Holding Periods

Over 12 Months
4-12 Months
1-3 Months
1-30 Days
Intraday

Decision-Making

Discretionary
Systematic

Strategy

Composition

Summary

The Chamaeleo Optimus Fund seeks to generate uncorrelated performance with an optimal blend of return and risk, providing a smoother ride than long-only commodity benchmarks. Although the strategy is long/short, the portfolio is tilted toward long exposure over time. The portfolio is well diversified across commodity sectors including energy, metals, softs, grains, and livestock

Investment Strategy

Chamaeleo’s alpha and risk control (ARC) strategy is a proprietary, state of the art, quantitative trading program utilizing a cloud-based infrastructure to extract alpha from short-term intraday swings in prices, manage position risk at multiple levels, and execute, manage and monitor trades throughout the trading day. The strategy leverages internally developed indicators which stem from academic research conducted on data sets originating back to the 1800's, encompassing fundamental analysis, econometrics, market sentiment, and technical analysis. Chamaeleo believes that during various stages of the economic cycle, some indicators outperform others, and this process evolves as markets change. Chamaeleo's proprietary machine-learning algorithm determines which indicators are working best to predict prices and weights them accordingly.

   

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
-6.21 1 - 5/1/2021 6/1/2021
-5.48 1 2 2/1/2021 3/1/2021
-2.50 2 1 1/1/0001 11/1/2020
-1.91 1 1 12/1/2020 1/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
10.09 1 2/1/2021 2/1/2021
8.10 2 4/1/2021 5/1/2021
2.93 1 12/1/2020 12/1/2020
2.32 1 7/1/2021 7/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.21 1 6/1/2021 6/1/2021
-5.48 1 3/1/2021 3/1/2021
-2.50 2 10/1/2020 11/1/2020
-1.91 1 1/1/2021 1/1/2021
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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.