Chesapeake Capital : Diversified Plus (HV)

Year-to-Date: 4.40%
Jan Performance: 4.40%

Min Investment: $ 100k
Mgmt. Fee: 0%
Perf. Fee: 10.00%

Annualized Vol: 28.20%
Sharpe (RFR=1%): 0.38
CAROR: 8.03%

Assets: $ 77.0M
Worst DD: -48.26
S&P Correlation: 0.14

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Growth of 1,000 - VAMI

Monthly Performance

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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 4/1994
Diversified Plus (HV)	4.40	14.87	4.40	28.80	5.54	6.58	27.71	695.38
S&P 500	-1.11	13.59	-1.11	15.15	31.52	89.48	185.82	763.67
+/- S&P 500	5.51	1.28	5.51	13.65	-25.99	-82.90	-158.12	-68.29

Strategy Description

Summary

Account & Fees

Type	Fund
Minimum Investment	$ 100k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
Performance Fee	10.00%
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	684 RT/YR/$M
Avg. Margin-to-Equity	20%
Targeted Worst DD
Worst Peak-to-Trough
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%

Composition

Currency Futures: 32.00%
SSF: 29.00%
Precious Metals: 11.00%
Interest Rates: 11.00%
Softs: 9.00%
Grains: 7.00%
Energy: 1.00%

Summary

Chesapeake Capital Corporation's trading methodology is long term trend following utilizing robust trading systems across a broadly diversified set of markets; put simply: Classic Trend Following.

It is a systematic (i.e. rules-based) investment approach that focuses on capital preservation while attempting to provide positive annual returns. Utilizing diversification and robust systems, our goal is to maximize the profit in each trade by following the system entries and exits regardless of market conditions or temptations.

Compare to:

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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
-48.26	2	42	6/1/2007	8/1/2007
-46.70	20	24	4/1/2011	12/1/2012
-36.07	13	9	3/1/2001	4/1/2002
-31.46	12	-	1/1/2018	1/1/2019
-30.40	6	17	2/1/2004	8/1/2004
-29.03	26	2	8/1/1998	10/1/2000
-20.17	5	3	2/1/2003	7/1/2003
-17.80	5	7	4/1/2006	9/1/2006
-16.79	3	3	4/1/1996	7/1/1996
-16.77	4	2	6/1/1995	10/1/1995
-15.65	28	6	3/1/2015	7/1/2017
-15.21	2	2	12/1/1994	2/1/1995
-14.80	1	6	7/1/1997	8/1/1997
-12.21	3	2	2/1/1997	5/1/1997
-11.38	2	3	6/1/1994	8/1/1994
-9.40	1	2	1/1/1996	2/1/1996
-7.94	1	2	11/1/1996	12/1/1996
-4.66	1	1	3/1/1998	4/1/1998
-3.73	1	1	12/1/2000	1/1/2001
-1.34	1	1	5/1/1998	6/1/1998
-1.18	1	1	1/1/2006	2/1/2006
-0.48	1	1	1/1/2015	2/1/2015
-0.38	1	1	1/1/0001	4/1/1994

Consecutive Gains

Run-up	Length (Mos.)	Start	End
71.50	5	10/1/2003	2/1/2004
51.03	5	12/1/2010	4/1/2011
41.59	2	11/1/2000	12/1/2000
41.41	6	8/1/2014	1/1/2015
41.01	3	8/1/2010	10/1/2010
39.72	4	9/1/2004	12/1/2004
39.18	5	5/1/2002	9/1/2002
37.83	4	8/1/1996	11/1/1996
37.50	3	12/1/2007	2/1/2008
34.11	4	9/1/2013	12/1/2013
33.88	4	3/1/1995	6/1/1995
31.32	3	12/1/2002	2/1/2003
28.60	4	10/1/2017	1/1/2018
28.16	4	9/1/1994	12/1/1994
27.63	2	9/1/2001	10/1/2001
27.03	2	9/1/2007	10/1/2007
25.96	3	11/1/2020	1/1/2021
25.93	4	10/1/2008	1/1/2009
24.84	3	11/1/1995	1/1/1996
24.65	3	11/1/2005	1/1/2006
20.79	2	11/1/1999	12/1/1999
20.24	2	2/1/2001	3/1/2001
19.72	3	4/1/2007	6/1/2007
19.71	4	10/1/2006	1/1/2007
19.55	3	6/1/2005	8/1/2005
18.99	2	2/1/1998	3/1/1998
18.69	3	2/1/2010	4/1/2010
18.20	2	7/1/1998	8/1/1998
18.10	2	3/1/1996	4/1/1996
17.10	3	4/1/2008	6/1/2008
16.83	1	4/1/1999	4/1/1999
15.80	2	3/1/2006	4/1/2006
14.43	2	6/1/1997	7/1/1997
14.40	2	1/1/1997	2/1/1997
12.58	2	5/1/1994	6/1/1994
12.20	2	11/1/1997	12/1/1997
11.88	2	8/1/2009	9/1/2009
11.33	2	8/1/1999	9/1/1999
11.28	3	5/1/2016	7/1/2016
11.03	3	4/1/2014	6/1/2014
10.46	2	7/1/2018	8/1/2018
10.38	2	11/1/2009	12/1/2009
10.37	3	2/1/2019	4/1/2019
10.33	3	6/1/2019	8/1/2019
10.29	2	11/1/2011	12/1/2011
9.83	2	4/1/2003	5/1/2003
9.60	1	1/1/2013	1/1/2013
9.57	1	7/1/2012	7/1/2012
9.39	1	9/1/1997	9/1/1997
9.27	1	7/1/2015	7/1/2015
8.89	1	8/1/2000	8/1/2000
7.68	1	6/1/1999	6/1/1999
6.94	2	7/1/2020	8/1/2020
6.91	1	5/1/1998	5/1/1998
6.14	2	2/1/2000	3/1/2000
6.13	2	1/1/2017	2/1/2017
5.69	1	6/1/1996	6/1/1996
5.67	1	3/1/2002	3/1/2002
5.59	2	3/1/2012	4/1/2012
5.43	2	3/1/2013	4/1/2013
5.43	1	7/1/2011	7/1/2011
5.27	1	7/1/2013	7/1/2013
5.12	1	8/1/2003	8/1/2003
3.84	1	12/1/1998	12/1/1998
3.77	1	2/1/2014	2/1/2014
3.73	1	3/1/2015	3/1/2015
3.58	1	11/1/2015	11/1/2015
3.43	2	12/1/2019	1/1/2020
3.42	1	8/1/2017	8/1/2017
3.41	1	2/1/1999	2/1/1999
2.63	1	5/1/2015	5/1/2015
2.62	2	1/1/2016	2/1/2016
2.03	1	9/1/2015	9/1/2015
1.41	1	9/1/2016	9/1/2016
1.06	1	5/1/2020	5/1/2020
0.91	1	5/1/2000	5/1/2000
0.83	1	6/1/2001	6/1/2001
0.29	1	3/1/2020	3/1/2020

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-48.26	2	7/1/2007	8/1/2007
-30.46	3	5/1/2010	7/1/2010
-30.40	6	3/1/2004	8/1/2004
-29.19	3	7/1/2008	9/1/2008
-27.41	4	11/1/2001	2/1/2002
-22.59	3	8/1/2011	10/1/2011
-22.45	2	5/1/2011	6/1/2011
-22.17	5	9/1/2018	1/1/2019
-20.96	5	8/1/2012	12/1/2012
-20.60	5	1/1/2005	5/1/2005
-20.28	5	2/1/2018	6/1/2018
-18.64	2	4/1/2001	5/1/2001
-18.12	2	9/1/2000	10/1/2000
-17.80	5	5/1/2006	9/1/2006
-17.05	1	5/1/1999	5/1/1999
-16.77	4	7/1/1995	10/1/1995
-15.78	1	7/1/1996	7/1/1996
-15.76	2	7/1/2001	8/1/2001
-15.57	1	10/1/1999	10/1/1999
-15.21	2	1/1/1995	2/1/1995
-14.80	1	8/1/1997	8/1/1997
-14.75	2	6/1/2003	7/1/2003
-14.74	1	3/1/2003	3/1/2003
-12.49	2	9/1/2005	10/1/2005
-12.21	3	3/1/1997	5/1/1997
-11.97	3	9/1/1998	11/1/1998
-11.38	2	7/1/1994	8/1/1994
-11.26	2	3/1/2016	4/1/2016
-10.92	6	2/1/2009	7/1/2009
-10.48	1	3/1/2008	3/1/2008
-10.21	2	5/1/2012	6/1/2012
-9.73	1	1/1/2014	1/1/2014
-9.66	1	7/1/1999	7/1/1999
-9.55	1	11/1/2010	11/1/2010
-9.40	1	2/1/1996	2/1/1996
-8.93	1	1/1/2010	1/1/2010
-8.84	5	3/1/2017	7/1/2017
-8.27	1	4/1/2000	4/1/2000
-8.26	1	4/1/2015	4/1/2015
-7.94	1	12/1/1996	12/1/1996
-7.75	1	11/1/2007	11/1/2007
-7.67	3	10/1/2016	12/1/2016
-7.55	2	10/1/2002	11/1/2002
-7.51	1	8/1/2013	8/1/2013
-7.24	2	6/1/2000	7/1/2000
-7.00	2	1/1/2012	2/1/2012
-6.90	1	5/1/2019	5/1/2019
-6.56	1	8/1/2015	8/1/2015
-6.52	1	5/1/1996	5/1/1996
-6.32	1	10/1/2009	10/1/2009
-5.78	1	1/1/1999	1/1/1999
-5.57	1	3/1/1999	3/1/1999
-5.51	3	9/1/2019	11/1/2019
-5.51	1	4/1/2002	4/1/2002
-5.22	1	10/1/1997	10/1/1997
-5.08	2	2/1/2007	3/1/2007
-5.07	1	6/1/2015	6/1/2015
-4.76	1	9/1/2003	9/1/2003
-4.66	1	4/1/1998	4/1/1998
-4.01	2	9/1/2020	10/1/2020
-3.73	1	1/1/2001	1/1/2001
-3.26	1	2/1/2020	2/1/2020
-3.22	1	1/1/1998	1/1/1998
-2.98	1	1/1/2000	1/1/2000
-2.94	1	9/1/2017	9/1/2017
-2.55	1	3/1/2014	3/1/2014
-2.46	1	8/1/2016	8/1/2016
-1.81	1	7/1/2014	7/1/2014
-1.67	1	2/1/2013	2/1/2013
-1.59	2	5/1/2013	6/1/2013
-1.48	1	10/1/2015	10/1/2015
-1.34	1	6/1/1998	6/1/1998
-1.18	1	2/1/2006	2/1/2006
-1.16	1	4/1/2020	4/1/2020
-0.86	1	12/1/2015	12/1/2015
-0.56	1	6/1/2020	6/1/2020
-0.48	1	2/1/2015	2/1/2015
-0.38	1	4/1/1994	4/1/1994

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	322.00	320.00	317.00	311.00	305.00	299.00	287.00	275.00	263.00
Percent Profitable	53.73	56.88	57.73	63.34	62.95	66.89	70.38	78.91	86.31
Average Period Return	0.98	2.80	5.17	9.01	13.39	17.93	26.66	36.17	44.63
Average Gain	6.76	11.71	16.64	20.67	28.07	33.05	42.37	48.61	53.31
Average Loss	-5.73	-8.95	-10.49	-11.15	-11.56	-12.61	-10.68	-10.38	-10.10
Best Period	31.35	50.53	66.26	68.72	91.88	131.25	111.32	166.87	179.57
Worst Period	-38.80	-47.54	-38.60	-32.34	-43.72	-39.43	-38.22	-28.97	-28.44
Standard Deviation	8.14	13.67	18.10	20.36	25.24	30.02	33.98	39.81	40.98
Gain Standard Deviation	5.20	10.06	14.18	15.61	19.41	24.81	27.91	35.50	37.24
Loss Standard Deviation	5.29	7.56	8.68	8.20	9.46	9.03	7.89	7.01	6.77
Sharpe Ratio (1%)	0.11	0.19	0.26	0.39	0.47	0.53	0.70	0.81	0.96
Average Gain / Average Loss	1.18	1.31	1.59	1.85	2.43	2.62	3.97	4.68	5.28
Profit / Loss Ratio	1.37	1.73	2.17	3.20	4.13	5.30	9.42	17.52	33.28
Downside Deviation (10%)	5.50	8.31	10.14	11.01	13.07	14.29	15.44	16.15	16.29
Downside Deviation (5%)	5.34	7.81	9.09	8.86	9.80	9.87	8.60	7.37	6.17
Downside Deviation (0%)	5.29	7.68	8.84	8.37	9.08	8.91	7.21	5.74	4.48
Sortino Ratio (10%)	0.10	0.19	0.27	0.36	0.44	0.54	0.71	0.91	1.04
Sortino Ratio (5%)	0.17	0.33	0.51	0.90	1.21	1.61	2.75	4.35	6.41
Sortino Ratio (0%)	0.19	0.36	0.58	1.08	1.48	2.01	3.70	6.31	9.96

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	2	4.40	1/2021
Diversified Trader Index	Month	3	4.40	1/2021
Systematic Trader Index	Month	4	4.40	1/2021
IASG CTA Index	Month	8	4.40	1/2021
Trend Following Strategy Index	Month	10	9.65	11/2020
Diversified Trader Index	Month	9	5.47	8/2020
Trend Following Strategy Index	Month	5	5.47	8/2020
Trend Following Strategy Index	Month	5	1.06	5/2020
Trend Following Strategy Index	Month	10	-0.46	9/2019
Trend Following Strategy Index	Month	7	5.62	2/2019
Systematic Trader Index	Month	7	5.62	2/2019
Diversified Trader Index	Month	7	5.62	2/2019
IASG CTA Index	Month	6	5.62	2/2019
IASG CTA Index	Month	5	10.11	8/2018
Diversified Trader Index	Month	5	10.11	8/2018
Trend Following Strategy Index	Month	5	10.11	8/2018
Systematic Trader Index	Month	5	10.11	8/2018
Systematic Trader Index	Month	4	13.81	1/2018
Diversified Trader Index	Month	4	13.81	1/2018
Trend Following Strategy Index	Month	4	13.81	1/2018
IASG CTA Index	Month	4	13.81	1/2018
Trend Following Strategy Index	Month	4	5.36	12/2017
Diversified Trader Index	Month	5	5.36	12/2017
IASG CTA Index	5 Year	6	102.94	2012 - 2017
Systematic Trader Index	Month	6	5.36	12/2017
IASG CTA Index	Month	7	5.36	12/2017
Systematic Trader Index	Month	6	3.42	11/2017
IASG CTA Index	Month	6	3.42	11/2017
Trend Following Strategy Index	Month	4	3.42	11/2017
Diversified Trader Index	Month	3	3.42	11/2017
Trend Following Strategy Index	Month	9	3.42	8/2017

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

^#2

Top Performer

TREND FOLLOWING STRATEGY INDEX

JANUARY
2021

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More Programs by Chesapeake Capital

Program Name	CAROR
Diversified (LV)	9.90%
Diversified Plus (HV)	8.03%

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Blends 21
Portfolios 11
Watchlists 20

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Chesapeake Capital : Diversified Plus (HV)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Chesapeake Capital : Diversified Plus (HV)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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