Chesapeake Capital : Diversified Plus (HV)

Year-to-Date
1.60%
Jun Performance
3.61%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
28.88%
Sharpe (RFR=1%)
0.36
CAROR
7.45%
Assets
$ 39.0M
Worst DD
-48.26
S&P Correlation
0.13

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/1994
Diversified Plus (HV) 3.61 -0.61 -1.60 -8.39 -16.55 13.98 50.52 513.86
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 545.66
+/- S&P 500 -3.28 -4.39 -18.94 -16.60 -55.29 -34.57 -166.16 -31.80

Strategy Description

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... 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
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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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
-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
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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
25.93 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
10.29 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
6.91 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
3.61 1 6/1/2019 6/1/2019
3.58 1 11/1/2015 11/1/2015
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
0.91 1 5/1/2000 5/1/2000
0.83 1 6/1/2001 6/1/2001
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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
-6.83 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 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
-3.73 1 1/1/2001 1/1/2001
-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
-0.86 1 12/1/2015 12/1/2015
-0.48 1 2/1/2015 2/1/2015
-0.38 1 4/1/1994 4/1/1994
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods303.00301.00298.00292.00286.00280.00268.00256.00244.00
Percent Profitable53.4755.8157.0564.0465.0370.3675.0083.5990.57
Average Period Return0.952.765.219.5114.4519.5429.0639.5048.49
Average Gain6.9612.2017.3021.3628.5133.2342.5649.1554.46
Average Loss-5.95-9.16-10.85-11.60-11.70-12.98-11.47-9.71-8.90
Best Period31.3550.5366.2668.7291.88131.25111.32166.87179.57
Worst Period-38.80-47.54-38.60-32.34-43.72-39.43-38.22-28.97-28.44
Standard Deviation8.3413.9618.5520.7625.4830.1433.8839.2039.91
Gain Standard Deviation5.2510.0814.3315.5919.5024.8927.8435.4437.06
Loss Standard Deviation5.357.618.708.319.799.478.537.877.57
Sharpe Ratio (1%)0.100.180.250.410.510.580.770.901.09
Average Gain / Average Loss1.171.331.591.842.442.563.715.066.12
Profit / Loss Ratio1.341.682.123.284.536.0811.1425.7858.77
Downside Deviation (10%)5.668.5510.4211.1712.8713.8114.7114.3713.89
Downside Deviation (5%)5.498.039.369.049.709.648.406.424.90
Downside Deviation (0%)5.457.909.108.549.008.737.135.043.56
Sortino Ratio (10%)0.100.180.260.400.530.670.901.251.50
Sortino Ratio (5%)0.160.310.500.941.331.823.105.528.86
Sortino Ratio (0%)0.180.350.571.111.612.244.087.8413.64

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 6 5.62 2/2019
IASG CTA Index Month 6 5.62 2/2019
IASG CTA Index Month 6 5.62 2/2019
Trend Following Strategy Index Month 7 5.62 2/2019
Trend Following Strategy Index Month 7 5.62 2/2019
Trend Following Strategy Index Month 7 5.62 2/2019
Systematic Trader Index Month 7 5.62 2/2019
Systematic Trader 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
Diversified Trader Index Month 7 5.62 2/2019
Diversified Trader Index Month 7 5.62 2/2019
Diversified Trader Index Month 7 5.62 2/2019
Systematic Trader Index Month 7 5.62 2/2019
IASG CTA Index Month 6 5.62 2/2019
Trend Following Strategy Index Month 7 5.62 2/2019
Diversified Trader Index Month 5 10.11 8/2018
IASG CTA 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
IASG CTA Index Month 4 13.81 1/2018
Trend Following Strategy Index Month 4 13.81 1/2018
Systematic Trader Index Month 4 13.81 1/2018
Diversified Trader Index Month 4 13.81 1/2018
IASG CTA Index 5 Year Rolling 6 102.94 2012 - 2017
Trend Following Strategy Index Month 4 5.36 12/2017
Diversified Trader Index Month 5 5.36 12/2017
Systematic Trader Index Month 6 5.36 12/2017
IASG CTA Index Month 7 5.36 12/2017
Diversified Trader Index Month 3 3.42 11/2017
Trend Following Strategy Index Month 4 3.42 11/2017
Systematic Trader Index Month 6 3.42 11/2017
IASG CTA Index Month 6 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.