Chicago Capital Management : Spread Arbitrage Aggressive Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jun Qtr 2020 1yr 3yr 5yr 10yr Since1/2005 Spread Arbitrage Aggressive Program 0.52 - - - - - - 28.62 S&P 500 -1.83 - - - - - - 214.68 +/- S&P 500 2.35 - - - - - - -186.07 Strategy Description SummaryThe 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... Read More 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% SummaryThe 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods77.0076.0073.0067.0061.0055.0043.0031.00 Percent Profitable64.9461.8475.3473.1372.1374.5590.7090.32 Average Period Return0.351.142.293.775.326.227.4210.35 Average Gain1.333.364.457.329.399.608.5812.25 Average Loss-1.45-2.46-4.28-5.90-5.20-3.67-3.93-7.34 Best Period8.6227.6128.6224.0735.5836.5127.1632.38 Worst Period-6.95-21.47-21.82-21.87-21.64-17.33-14.30-21.33 Standard Deviation2.315.316.748.1210.1410.307.2511.34 Gain Standard Deviation1.774.505.635.808.639.576.289.67 Loss Standard Deviation2.124.545.595.074.774.206.9212.12 Sharpe Ratio (1%)0.120.170.270.340.380.410.610.55 Average Gain / Average Loss0.921.361.041.241.812.612.181.67 Profit / Loss Ratio1.702.213.173.384.677.6521.3015.58 Downside Deviation (10%)1.653.594.426.417.698.5810.7715.53 Downside Deviation (5%)1.533.233.594.404.313.532.914.94 Downside Deviation (0%)1.503.153.433.983.672.762.193.83 Sortino Ratio (10%)-0.03-0.03-0.04-0.19-0.30-0.47-0.77-0.72 Sortino Ratio (5%)0.180.270.500.630.891.191.511.27 Sortino Ratio (0%)0.240.360.670.951.452.263.392.70 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. x {{title}} x {{title}} Add Cancel