Chicago Capital Management : Spread Arbitrage Aggressive Program

archived programs
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

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

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... 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%
Strategy Pie Chart

Composition

Livestock
80.00%
Grains
15.00%
Other
5.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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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.