Chicago Capital Management : Spread Arbitrage Aggressive Program

Year-to-Date: N / A
Jun Performance: 0.52%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 25.00%

Annualized Vol: 7.99%
Sharpe (RFR=1%): 0.41
CAROR: 4.00%

Assets: $ 19.2M
Worst DD: -10.85
S&P Correlation: 0.04

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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 1/2005
Spread Arbitrage Aggressive Program	0.52	-	-	-	-	-	0.80	28.62
S&P 500	-1.83	-	-	-	-	-	7.86	193.26
+/- S&P 500	2.35	-	-	-	-	-	-7.07	-164.64

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 50k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	25.00%
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	Any Investor
Lock-up Period	0

Trading

Trading Frequency	3800 RT/YR/$M
Avg. Margin-to-Equity	15%
Targeted Worst DD	-8.00%
Worst Peak-to-Trough	8.00%
Sector Focus	Agricultural Traders

Holding Periods

Over 12 Months	0%
4-12 Months	20.00%
1-3 Months	80.00%
1-30 Days	0%
Intraday	0%

Decision-Making

Discretionary	100.00%
Systematic	0%

Strategy

Spreading/hedging: 100.00%

Composition

Livestock: 80.00%
Grains: 15.00%
Other: 5.00%

Summary

The Spread Arbitrage System is a discretionary spread trading program that trades in several markets, including meats, agricultural and energies. The system searches for spreads that deviate from their "normal" range. If, in the Advisor's opinion, there is no economic justification for the spread to deviate from its normal pattern, then the Advisor will place trades that will be profitable if the spread moves back to its "normal" range. Detailed information regarding Spread Arbitrage program, is set forth in the Advisor's Disclosure Document.

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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.

Compare to:

Index:

Monthly Annual

Reward
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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:
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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
-10.85	7	-	6/1/2007	1/1/2008
-9.92	2	2	1/1/2005	3/1/2005
-6.95	1	2	5/1/2005	6/1/2005
-2.61	2	2	12/1/2006	2/1/2007
-1.53	1	4	1/1/2006	2/1/2006
-0.75	1	1	11/1/2005	12/1/2005

Consecutive Gains

Run-up	Length (Mos.)	Start	End
19.88	5	7/1/2005	11/1/2005
12.02	2	4/1/2005	5/1/2005
10.58	8	5/1/2006	12/1/2006
4.35	4	3/1/2009	6/1/2009
4.16	4	3/1/2007	6/1/2007
3.25	4	2/1/2008	5/1/2008
2.94	1	1/1/2005	1/1/2005
2.71	3	7/1/2008	9/1/2008
1.79	3	11/1/2008	1/1/2009
1.68	3	9/1/2007	11/1/2007
1.27	2	12/1/2009	1/1/2010
1.24	1	1/1/2006	1/1/2006
1.14	3	2/1/2011	4/1/2011
0.52	1	6/1/2011	6/1/2011
0.35	1	3/1/2006	3/1/2006
0.31	2	3/1/2010	4/1/2010
0.22	2	9/1/2009	10/1/2009
0.01	1	8/1/2010	8/1/2010

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.92	2	2/1/2005	3/1/2005
-9.76	2	7/1/2007	8/1/2007
-6.95	1	6/1/2005	6/1/2005
-2.84	2	12/1/2007	1/1/2008
-2.61	2	1/1/2007	2/1/2007
-1.53	1	2/1/2006	2/1/2006
-1.11	1	10/1/2008	10/1/2008
-0.81	5	9/1/2010	1/1/2011
-0.75	1	12/1/2005	12/1/2005
-0.64	2	7/1/2009	8/1/2009
-0.50	1	2/1/2010	2/1/2010
-0.37	3	5/1/2010	7/1/2010
-0.30	1	11/1/2009	11/1/2009
-0.18	1	2/1/2009	2/1/2009
-0.16	1	6/1/2008	6/1/2008
-0.08	1	4/1/2006	4/1/2006
-0.05	1	5/1/2011	5/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	77.00	76.00	73.00	67.00	61.00	55.00	43.00	31.00
Percent Profitable	64.94	61.84	75.34	73.13	72.13	74.55	90.70	90.32
Average Period Return	0.35	1.14	2.29	3.77	5.32	6.22	7.42	10.35
Average Gain	1.33	3.36	4.45	7.32	9.39	9.60	8.58	12.25
Average Loss	-1.45	-2.46	-4.28	-5.90	-5.20	-3.67	-3.93	-7.34
Best Period	8.62	27.61	28.62	24.07	35.58	36.51	27.16	32.38
Worst Period	-6.95	-21.47	-21.82	-21.87	-21.64	-17.33	-14.30	-21.33
Standard Deviation	2.31	5.31	6.74	8.12	10.14	10.30	7.25	11.34
Gain Standard Deviation	1.77	4.50	5.63	5.80	8.63	9.57	6.28	9.67
Loss Standard Deviation	2.12	4.54	5.59	5.07	4.77	4.20	6.92	12.12
Sharpe Ratio (1%)	0.12	0.17	0.27	0.34	0.38	0.41	0.61	0.55
Average Gain / Average Loss	0.92	1.36	1.04	1.24	1.81	2.61	2.18	1.67
Profit / Loss Ratio	1.70	2.21	3.17	3.38	4.67	7.65	21.30	15.58
Downside Deviation (10%)	1.65	3.59	4.42	6.41	7.69	8.58	10.77	15.53
Downside Deviation (5%)	1.53	3.23	3.59	4.40	4.31	3.53	2.91	4.94
Downside Deviation (0%)	1.50	3.15	3.43	3.98	3.67	2.76	2.19	3.83
Sortino Ratio (10%)	-0.03	-0.03	-0.04	-0.19	-0.30	-0.47	-0.77	-0.72
Sortino Ratio (5%)	0.18	0.27	0.50	0.63	0.89	1.19	1.51	1.27
Sortino Ratio (0%)	0.24	0.36	0.67	0.95	1.45	2.26	3.39	2.70

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.

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Chicago Capital Management : Spread Arbitrage Aggressive Program

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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Find the right managed futures programs for you with our comprehensive free CTA database.

Chicago Capital Management : Spread Arbitrage Aggressive Program

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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