Chesapeake Capital : Diversified (LV)

Year-to-Date
1.58%
Sep Performance
-2.18%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
19.23%
Sharpe (RFR=1%)
0.55
CAROR
10.31%
Assets
$ 171.0M
Worst DD
-31.58
S&P Correlation
0.14

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
2/1988
Diversified (LV) -2.18 3.17 1.58 -6.16 -6.46 3.82 21.70 2,138.77
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 999.98
+/- S&P 500 -3.90 1.98 -17.15 -8.31 -42.35 -45.58 -156.99 1,138.79

Strategy Description

Summary

-Chesapeake Capital Corporation, "Chesapeake," a global investment manager headquartered in Richmond, Virginia, was formed in 1988 by R. Jerry Parker Jr. to provide investment and portfolio management services to both private and institutional investors worldwide. Mr. Parker began... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
750 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Other
25.00%
Composition Pie Chart

Summary

-Chesapeake Capital Corporation, "Chesapeake," a global investment manager headquartered in Richmond, Virginia, was formed in 1988 by R. Jerry Parker Jr. to provide investment and portfolio management services to both private and institutional investors worldwide. Mr. Parker began his portfolio management career in 1983 when he was accepted into the "Turtle Program", a select investment training program developed by a successful Chicago portfolio manager. When the program ended in 1988, after almost five years of trading proprietary capital, Mr. Parker decided to continue his professional money management career by forming Chesapeake. Chesapeake"s specialized investment approach offers investors the potential to participate in, and profit from, price trends not typically available through traditional portfolio strategies. Chesapeake"s investment portfolios are not biased toward long or short positions and, therefore, can profit in both rising and falling market environments. Chesapeake actively monitors, and has the potential to invest in, over 90 markets worldwide. These can range from tangible assets, such as coffee, crude oil and gold to global financial instruments, such as German government bonds, U.S. stock indices and global currencies. Through global diversification and an investment style that historically has been non-correlated to the traditional investment approaches, Chesapeake has the potential to enhance a client"s overall portfolio returns, while decreasing portfolio volatility. Chesapeake Capital has been registered as a commodity trading advisor ("CTA") and as a commodity pool operator ("CPO") with the Commodity Futures Trading Commission ("CFTC") since June 20, 1988 and May 8,1991, respectively, and has also been a member in good standing of the National Futures Association ("NFA") since June 20,1988.

   

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:
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:
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
-31.58 20 25 4/1/2011 12/1/2012
-23.36 2 6 6/1/2007 8/1/2007
-22.94 25 5 6/1/2008 7/1/2010
-20.58 3 2 7/1/1989 10/1/1989
-20.05 12 - 1/1/2018 1/1/2019
-19.17 13 9 3/1/2001 4/1/2002
-19.05 3 2 1/1/0001 4/1/1988
-16.62 5 2 12/1/1991 5/1/1992
-16.12 6 17 2/1/2004 8/1/2004
-12.59 6 5 4/1/1999 10/1/1999
-11.66 7 2 3/1/2000 10/1/2000
-11.11 7 1 2/1/2003 9/1/2003
-10.17 5 7 4/1/2006 9/1/2006
-9.41 1 3 6/1/1988 7/1/1988
-8.82 1 1 3/1/1989 4/1/1989
-8.58 5 4 3/1/1991 8/1/1991
-8.52 4 2 12/1/1993 4/1/1994
-8.29 28 6 3/1/2015 7/1/2017
-8.28 1 1 5/1/1989 6/1/1989
-7.88 1 4 7/1/1997 8/1/1997
-7.64 1 3 6/1/1996 7/1/1996
-7.49 1 3 2/1/2008 3/1/2008
-7.48 2 1 12/1/1994 2/1/1995
-7.10 7 1 8/1/1998 3/1/1999
-6.78 1 2 8/1/1992 9/1/1992
-6.53 4 2 6/1/1995 10/1/1995
-5.82 3 2 2/1/1997 5/1/1997
-5.42 1 1 1/1/1989 2/1/1989
-4.63 2 2 6/1/1994 8/1/1994
-4.61 1 2 4/1/1990 5/1/1990
-4.30 1 2 11/1/1996 12/1/1996
-4.26 1 2 1/1/1996 2/1/1996
-3.04 1 1 4/1/1996 5/1/1996
-2.69 2 2 8/1/1993 10/1/1993
-2.16 1 1 3/1/1998 4/1/1998
-1.93 1 2 11/1/1992 12/1/1992
-1.43 3 1 10/1/1990 1/1/1991
-1.29 1 1 12/1/1997 1/1/1998
-0.70 1 1 1/1/2006 2/1/2006
-0.67 1 1 5/1/1998 6/1/1998
-0.43 1 1 12/1/2000 1/1/2001
-0.18 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
57.30 6 11/1/1989 4/1/1990
55.62 8 1/1/1993 8/1/1993
50.47 6 8/1/1988 1/1/1989
41.60 2 5/1/1988 6/1/1988
33.95 5 10/1/2003 2/1/2004
31.29 5 12/1/2010 4/1/2011
27.59 5 6/1/1990 10/1/1990
26.52 3 12/1/2007 2/1/2008
24.92 3 8/1/2010 10/1/2010
24.13 3 6/1/1992 8/1/1992
23.28 2 9/1/2007 10/1/2007
22.38 1 5/1/1989 5/1/1989
20.87 4 8/1/1996 11/1/1996
20.04 4 9/1/2013 12/1/2013
19.52 4 10/1/2008 1/1/2009
18.75 4 3/1/1995 6/1/1995
17.69 6 8/1/2014 1/1/2015
17.08 4 9/1/2004 12/1/2004
16.87 2 11/1/2000 12/1/2000
16.72 2 5/1/1994 6/1/1994
16.65 5 5/1/2002 9/1/2002
15.12 3 12/1/2002 2/1/2003
14.82 4 10/1/2017 1/1/2018
13.79 4 9/1/1994 12/1/1994
13.07 3 2/1/2010 4/1/2010
13.00 2 11/1/1999 12/1/1999
12.98 3 11/1/1995 1/1/1996
12.52 2 9/1/2001 10/1/2001
12.45 3 4/1/2008 6/1/2008
12.28 3 11/1/2005 1/1/2006
12.08 1 12/1/1991 12/1/1991
11.66 1 7/1/1989 7/1/1989
11.17 4 10/1/2006 1/1/2007
11.14 3 4/1/2007 6/1/2007
10.52 2 7/1/1998 8/1/1998
10.47 2 3/1/1996 4/1/1996
9.93 2 2/1/1998 3/1/1998
8.92 2 2/1/2001 3/1/2001
8.83 3 6/1/2019 8/1/2019
8.78 2 9/1/1991 10/1/1991
8.77 3 2/1/2019 4/1/2019
8.75 3 6/1/2005 8/1/2005
8.73 2 3/1/2006 4/1/2006
8.42 1 4/1/1999 4/1/1999
8.15 2 8/1/2009 9/1/2009
7.77 2 6/1/1997 7/1/1997
7.60 2 10/1/1992 11/1/1992
7.44 2 1/1/1997 2/1/1997
7.27 2 2/1/1991 3/1/1991
7.08 2 11/1/2009 12/1/2009
6.86 2 11/1/1993 12/1/1993
6.66 2 11/1/1997 12/1/1997
6.64 1 3/1/1989 3/1/1989
6.29 1 1/1/2013 1/1/2013
6.12 3 5/1/2016 7/1/2016
6.10 2 11/1/2011 12/1/2011
5.75 1 7/1/2012 7/1/2012
5.66 2 4/1/2003 5/1/2003
5.42 2 8/1/1999 9/1/1999
5.14 2 7/1/2018 8/1/2018
5.06 1 9/1/1997 9/1/1997
4.00 1 7/1/2015 7/1/2015
3.90 1 8/1/2000 8/1/2000
3.70 3 4/1/2014 6/1/2014
3.62 1 5/1/1998 5/1/1998
3.60 1 7/1/2013 7/1/2013
3.57 1 6/1/1999 6/1/1999
3.42 2 3/1/2013 4/1/2013
3.34 2 3/1/2012 4/1/2012
3.27 1 6/1/1996 6/1/1996
3.09 2 1/1/2017 2/1/2017
2.82 2 2/1/2000 3/1/2000
2.77 1 7/1/2011 7/1/2011
2.43 1 3/1/2002 3/1/2002
2.42 1 8/1/2003 8/1/2003
1.90 1 2/1/1999 2/1/1999
1.80 1 12/1/1998 12/1/1998
1.72 1 8/1/2017 8/1/2017
1.65 1 3/1/2015 3/1/2015
1.62 1 11/1/2015 11/1/2015
1.38 2 2/1/2005 3/1/2005
1.30 1 5/1/2015 5/1/2015
1.16 1 2/1/2014 2/1/2014
0.99 2 1/1/2016 2/1/2016
0.75 1 9/1/2015 9/1/2015
0.73 1 9/1/2016 9/1/2016
0.63 1 5/1/2000 5/1/2000
0.53 1 3/1/1992 3/1/1992
0.27 1 5/1/1991 5/1/1991
0.20 1 9/1/1995 9/1/1995
0.16 1 6/1/2001 6/1/2001
0.11 1 12/1/1990 12/1/1990
0.09 1 3/1/1994 3/1/1994
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.36 2 7/1/2007 8/1/2007
-22.22 3 7/1/2008 9/1/2008
-22.00 3 5/1/2010 7/1/2010
-20.58 3 8/1/1989 10/1/1989
-19.05 3 2/1/1988 4/1/1988
-16.12 6 3/1/2004 8/1/2004
-15.22 4 11/1/2001 2/1/2002
-13.73 5 9/1/2018 1/1/2019
-13.69 2 5/1/2011 6/1/2011
-13.64 3 8/1/2011 10/1/2011
-13.64 5 8/1/2012 12/1/2012
-13.53 2 1/1/1992 2/1/1992
-11.86 5 2/1/2018 6/1/2018
-10.17 5 5/1/2006 9/1/2006
-9.52 6 2/1/2009 7/1/2009
-9.41 1 7/1/1988 7/1/1988
-8.82 2 4/1/2001 5/1/2001
-8.82 1 4/1/1989 4/1/1989
-8.76 1 3/1/2003 3/1/2003
-8.71 1 5/1/1999 5/1/1999
-8.28 1 6/1/1989 6/1/1989
-8.05 2 1/1/1994 2/1/1994
-7.88 1 10/1/1999 10/1/1999
-7.88 1 8/1/1997 8/1/1997
-7.87 2 9/1/2000 10/1/2000
-7.64 1 7/1/1996 7/1/1996
-7.49 1 3/1/2008 3/1/2008
-7.48 2 1/1/1995 2/1/1995
-7.40 2 6/1/2003 7/1/2003
-6.78 1 9/1/1992 9/1/1992
-6.73 1 11/1/2007 11/1/2007
-6.62 2 5/1/2012 6/1/2012
-6.49 1 5/1/2019 5/1/2019
-6.36 2 7/1/2001 8/1/2001
-6.20 3 6/1/1991 8/1/1991
-6.11 1 11/1/2010 11/1/2010
-5.91 2 3/1/2016 4/1/2016
-5.90 1 1/1/2010 1/1/2010
-5.82 3 3/1/1997 5/1/1997
-5.80 2 9/1/2005 10/1/2005
-5.67 2 7/1/1995 8/1/1995
-5.42 1 2/1/1989 2/1/1989
-5.40 3 9/1/1998 11/1/1998
-5.32 1 8/1/2013 8/1/2013
-4.93 5 3/1/2017 7/1/2017
-4.82 2 4/1/2005 5/1/2005
-4.80 1 7/1/1999 7/1/1999
-4.68 1 10/1/2009 10/1/2009
-4.68 1 11/1/1991 11/1/1991
-4.66 2 6/1/2000 7/1/2000
-4.63 2 7/1/1994 8/1/1994
-4.61 1 5/1/1990 5/1/1990
-4.48 2 1/1/2012 2/1/2012
-4.30 1 12/1/1996 12/1/1996
-4.26 1 2/1/1996 2/1/1996
-4.17 2 10/1/2002 11/1/2002
-4.12 3 10/1/2016 12/1/2016
-4.08 2 4/1/1992 5/1/1992
-3.83 1 4/1/2015 4/1/2015
-3.82 1 1/1/2005 1/1/2005
-3.80 1 4/1/2000 4/1/2000
-3.57 2 2/1/2007 3/1/2007
-3.27 1 1/1/2014 1/1/2014
-3.27 1 4/1/2002 4/1/2002
-3.04 1 5/1/1996 5/1/1996
-2.94 1 8/1/2015 8/1/2015
-2.80 1 4/1/1991 4/1/1991
-2.78 1 9/1/2003 9/1/2003
-2.76 1 1/1/1999 1/1/1999
-2.69 2 9/1/1993 10/1/1993
-2.65 1 3/1/1999 3/1/1999
-2.34 1 10/1/1997 10/1/1997
-2.21 1 6/1/2015 6/1/2015
-2.18 1 9/1/2019 9/1/2019
-2.16 1 4/1/1998 4/1/1998
-1.93 1 12/1/1992 12/1/1992
-1.86 1 2/1/2013 2/1/2013
-1.54 1 9/1/2017 9/1/2017
-1.34 1 8/1/2016 8/1/2016
-1.30 2 5/1/2013 6/1/2013
-1.29 1 1/1/1998 1/1/1998
-1.29 1 1/1/1991 1/1/1991
-1.11 1 10/1/1995 10/1/1995
-0.87 1 1/1/2000 1/1/2000
-0.86 1 7/1/2014 7/1/2014
-0.82 1 3/1/2014 3/1/2014
-0.70 1 2/1/2006 2/1/2006
-0.67 1 6/1/1998 6/1/1998
-0.60 1 4/1/1994 4/1/1994
-0.56 1 10/1/2015 10/1/2015
-0.53 1 12/1/2015 12/1/2015
-0.43 1 1/1/2001 1/1/2001
-0.25 1 11/1/1990 11/1/1990
-0.18 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods380.00378.00375.00369.00363.00357.00345.00333.00321.00
Percent Profitable56.0559.5264.5375.0776.0384.0388.1293.0997.82
Average Period Return0.972.945.8811.6417.5824.2436.8551.3270.00
Average Gain4.498.3512.2517.6724.9930.3242.6355.6071.70
Average Loss-3.52-5.02-5.70-6.51-5.92-7.76-5.98-6.42-5.99
Best Period32.4234.2360.71103.1596.76177.91247.64231.60412.24
Worst Period-18.29-22.74-23.40-20.05-29.20-26.19-16.20-14.45-13.55
Standard Deviation5.559.2112.6718.2823.1129.9940.3051.8275.00
Gain Standard Deviation4.377.5111.1017.0921.4928.8139.5051.1674.95
Loss Standard Deviation3.124.504.504.656.026.673.983.994.86
Sharpe Ratio (1%)0.160.290.430.580.700.740.840.910.87
Average Gain / Average Loss1.281.662.152.724.223.907.138.6611.97
Profit / Loss Ratio1.632.453.918.1813.4020.5552.83116.68536.99
Downside Deviation (10%)3.324.905.576.317.488.078.619.328.91
Downside Deviation (5%)3.164.404.554.404.674.723.412.971.82
Downside Deviation (0%)3.114.284.323.994.124.072.471.971.11
Sortino Ratio (10%)0.170.350.611.051.341.732.453.194.76
Sortino Ratio (5%)0.280.611.182.423.444.719.9115.9135.74
Sortino Ratio (0%)0.310.691.362.924.275.9514.9425.9963.27

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 7.96 11/2013
Trend Following Strategy Index Month 9 5.58 11/2011
Trend Following Strategy Index Month 6 2.81 12/2009
Trend Following Strategy Index Month 4 1.91 11/2003
Systematic Trader Index Month 8 1.91 11/2003
Systematic Trader Index Month 4 15.48 10/2003
Diversified Trader Index Month 4 15.48 10/2003
Trend Following Strategy Index Month 3 15.48 10/2003
IASG CTA Index Month 6 15.48 10/2003
Trend Following Strategy Index Month 9 3.75 2/2001
Systematic Trader Index Month 10 3.75 2/2001
Trend Following Strategy Index Month 5 1.88 3/2000
Diversified Trader Index Month 8 1.88 3/2000
Diversified Trader Index Month 8 8.49 12/1999
Systematic Trader Index Month 7 8.49 12/1999
Trend Following Strategy Index Month 6 8.49 12/1999
IASG CTA Index Month 9 8.49 12/1999
Systematic Trader Index Month 9 3.37 8/1999
Trend Following Strategy Index Month 7 3.37 8/1999
Diversified Trader Index Month 8 3.37 8/1999
Diversified Trader Index Month 7 8.42 4/1999
IASG CTA Index Month 7 8.42 4/1999
Trend Following Strategy Index Month 5 8.42 4/1999
Systematic Trader Index Month 5 8.42 4/1999
Systematic Trader Index Month 6 3.03 7/1998
Trend Following Strategy Index Month 4 3.03 7/1998
IASG CTA Index Month 9 3.03 7/1998
Diversified Trader Index Month 7 3.03 7/1998
Diversified Trader Index Month 9 -2.16 4/1998
Systematic Trader Index Month 10 -2.16 4/1998
Trend Following Strategy Index Month 3 -2.16 4/1998
Systematic Trader Index Month 7 3.65 3/1998
Trend Following Strategy Index Month 7 3.65 3/1998
Diversified Trader Index Month 8 3.65 3/1998
IASG CTA Index Month 9 3.65 3/1998
Trend Following Strategy Index Month 2 6.06 2/1998
Systematic Trader Index Month 2 6.06 2/1998
Diversified Trader Index Month 2 6.06 2/1998
IASG CTA Index Month 3 6.06 2/1998
IASG CTA Index 5 Year Rolling 9 170.60 1992 - 1997
Trend Following Strategy Index Month 10 1.70 11/1997
Trend Following Strategy Index Month 9 -2.41 4/1997
Trend Following Strategy Index Month 10 -4.30 12/1996
IASG CTA Index 5 Year Rolling 6 150.59 1991 - 1996
Trend Following Strategy Index Month 9 0.57 8/1996
Diversified Trader Index Month 9 3.27 6/1996
Trend Following Strategy Index Month 6 3.27 6/1996
Systematic Trader Index Month 8 3.27 6/1996
Trend Following Strategy Index Month 7 -3.04 5/1996
Trend Following Strategy Index Month 7 -4.26 2/1996
Diversified Trader Index Month 9 -4.26 2/1996
IASG CTA Index 3 Year Rolling 8 113.94 1992 - 1995
IASG CTA Index 5 Year Rolling 3 145.05 1990 - 1995
Trend Following Strategy Index Month 10 -1.11 10/1995
Trend Following Strategy Index Month 4 0.20 9/1995
Diversified Trader Index Month 8 0.20 9/1995
Systematic Trader Index Month 7 0.20 9/1995
Trend Following Strategy Index Month 8 -3.09 7/1995
Diversified Trader Index Month 8 0.88 6/1995
Trend Following Strategy Index Month 6 0.88 6/1995
Systematic Trader Index Month 10 0.88 6/1995
Trend Following Strategy Index Month 10 6.84 5/1995
Trend Following Strategy Index Month 10 -3.23 1/1995
IASG CTA Index 3 Year Rolling 6 90.90 1991 - 1994
Systematic Trader Index Month 6 2.86 12/1994
Trend Following Strategy Index Month 5 2.86 12/1994
IASG CTA Index 5 Year Rolling 4 207.39 1989 - 1994
IASG CTA Index Month 8 2.86 12/1994
IASG CTA Index Year Rolling 7 15.87 1993 - 1994
Diversified Trader Index Month 6 2.86 12/1994
IASG CTA Index Sharpe 7 1.05 1993 - 1994
Trend Following Strategy Index Month 5 1.97 10/1994
Diversified Trader Index Month 9 1.97 10/1994
Systematic Trader Index Month 9 1.97 10/1994
Systematic Trader Index Month 9 3.49 9/1994
IASG CTA Index Month 10 3.49 9/1994
Diversified Trader Index Month 10 3.49 9/1994
Trend Following Strategy Index Month 7 3.49 9/1994
Diversified Trader Index Month 7 -2.98 8/1994
Systematic Trader Index Month 7 -2.98 8/1994
Trend Following Strategy Index Month 6 -2.98 8/1994
IASG CTA Index Month 10 -2.98 8/1994
Trend Following Strategy Index Month 9 -1.70 7/1994
IASG CTA Index Month 9 7.02 6/1994
Diversified Trader Index Month 9 7.02 6/1994
Trend Following Strategy Index Month 7 7.02 6/1994
Systematic Trader Index Month 8 7.02 6/1994
Trend Following Strategy Index Month 10 9.06 5/1994
Trend Following Strategy Index Month 9 -0.60 4/1994
Trend Following Strategy Index Month 7 -3.33 1/1994
IASG CTA Index Year Rolling 6 61.82 1992 - 1993
IASG CTA Index 5 Year Rolling 3 240.35 1988 - 1993
IASG CTA Index 3 Year Rolling 3 85.35 1990 - 1993
Trend Following Strategy Index Month 10 1.03 11/1993
Trend Following Strategy Index Month 10 -2.63 9/1993
Trend Following Strategy Index Month 5 5.88 8/1993
Systematic Trader Index Month 6 5.88 8/1993
IASG CTA Index Month 8 5.88 8/1993
Diversified Trader Index Month 8 5.88 8/1993
Diversified Trader Index Month 8 9.49 7/1993

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.