Chesapeake Capital : Diversified Plus (HV) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since4/1994 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 SummaryChesapeake 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 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% SummaryChesapeake 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: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods322.00320.00317.00311.00305.00299.00287.00275.00263.00 Percent Profitable53.7356.8857.7363.3462.9566.8970.3878.9186.31 Average Period Return0.982.805.179.0113.3917.9326.6636.1744.63 Average Gain6.7611.7116.6420.6728.0733.0542.3748.6153.31 Average Loss-5.73-8.95-10.49-11.15-11.56-12.61-10.68-10.38-10.10 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 Deviation8.1413.6718.1020.3625.2430.0233.9839.8140.98 Gain Standard Deviation5.2010.0614.1815.6119.4124.8127.9135.5037.24 Loss Standard Deviation5.297.568.688.209.469.037.897.016.77 Sharpe Ratio (1%)0.110.190.260.390.470.530.700.810.96 Average Gain / Average Loss1.181.311.591.852.432.623.974.685.28 Profit / Loss Ratio1.371.732.173.204.135.309.4217.5233.28 Downside Deviation (10%)5.508.3110.1411.0113.0714.2915.4416.1516.29 Downside Deviation (5%)5.347.819.098.869.809.878.607.376.17 Downside Deviation (0%)5.297.688.848.379.088.917.215.744.48 Sortino Ratio (10%)0.100.190.270.360.440.540.710.911.04 Sortino Ratio (5%)0.170.330.510.901.211.612.754.356.41 Sortino Ratio (0%)0.190.360.581.081.482.013.706.319.96 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. x {{title}} x {{title}} Add Cancel