Chicago Capital Management : Spread Arbitrage Proprietary Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 0.00% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 27.82% Sharpe (RFR=1%) 1.18 CAROR 34.82% Assets $ 0k Worst DD -27.70 S&P Correlation 0.10 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since4/2003 Spread Arbitrage Proprietary Program 0.00 - - - - - - 651.17 S&P 500 1.78 - - - - - - 305.41 +/- S&P 500 -1.78 - - - - - - 345.76 Strategy Description Summary-Clients of Chicago Capital Management, LLC may be traded in accordance with its Spread Arbitrage System. The performance record of that account is set forth above. Please note that the above performance figures have been adjusted to reflect a 20% incentive fee and a 2% management... 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 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Anytime Redemption Frequency Anytime Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -8.00% Worst Peak-to-Trough 8.00% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 20.00% 1-3 Months 80.00% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 0% Strategy Spreading/hedging 100.00% Summary-Clients of Chicago Capital Management, LLC may be traded in accordance with its Spread Arbitrage System. The performance record of that account is set forth above. Please note that the above performance figures have been adjusted to reflect a 20% incentive fee and a 2% management fee. 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 -27.70 2 5 7/1/2003 9/1/2003 -12.48 7 - 6/1/2007 1/1/2008 -11.94 2 2 1/1/0001 5/1/2003 -10.12 1 2 5/1/2005 6/1/2005 -3.97 1 1 3/1/2004 4/1/2004 -2.18 2 2 12/1/2006 2/1/2007 -1.24 1 3 1/1/2006 2/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 414.77 13 5/1/2004 5/1/2005 47.22 6 10/1/2003 3/1/2004 39.79 7 7/1/2005 1/1/2006 16.04 2 6/1/2003 7/1/2003 11.87 10 3/1/2006 12/1/2006 5.70 3 7/1/2008 9/1/2008 4.88 4 3/1/2007 6/1/2007 4.27 1 1/1/2009 1/1/2009 3.58 2 2/1/2008 3/1/2008 2.65 2 5/1/2009 6/1/2009 1.50 3 9/1/2007 11/1/2007 1.26 1 5/1/2008 5/1/2008 0.76 1 11/1/2008 11/1/2008 0.72 1 3/1/2009 3/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -27.70 2 8/1/2003 9/1/2003 -11.94 2 4/1/2003 5/1/2003 -10.64 2 7/1/2007 8/1/2007 -10.12 1 6/1/2005 6/1/2005 -4.24 1 10/1/2008 10/1/2008 -3.97 1 4/1/2004 4/1/2004 -3.50 2 12/1/2007 1/1/2008 -2.18 2 1/1/2007 2/1/2007 -1.60 1 6/1/2008 6/1/2008 -1.24 1 2/1/2006 2/1/2006 -0.41 1 4/1/2009 4/1/2009 -0.37 1 12/1/2008 12/1/2008 -0.30 1 2/1/2009 2/1/2009 -0.16 1 4/1/2008 4/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00 Percent Profitable69.1472.1582.8982.8678.1379.31100.00100.00 Average Period Return2.819.7223.7865.94119.41164.98250.09332.90 Average Gain5.5114.9230.2181.04154.19208.63250.09332.90 Average Loss-4.25-4.60-7.95-7.08-4.82-2.34 Best Period37.9892.49206.27396.35541.67674.59896.73830.71 Worst Period-19.26-26.06-26.12-9.81-8.36-5.980.6415.27 Standard Deviation8.0320.9248.50111.35172.08224.29293.37286.23 Gain Standard Deviation7.7222.2850.91116.85180.07233.04293.37286.23 Loss Standard Deviation5.176.596.691.692.472.09 Sharpe Ratio (1%)0.340.450.480.580.690.730.841.15 Average Gain / Average Loss1.303.243.8011.4532.0189.18 Profit / Loss Ratio3.8210.2719.9655.33114.33341.87 Downside Deviation (10%)3.324.154.915.106.056.515.561.45 Downside Deviation (5%)3.223.834.213.413.162.200.54 Downside Deviation (0%)3.193.764.063.012.511.40 Sortino Ratio (10%)0.722.054.3411.9518.4923.7542.18215.25 Sortino Ratio (5%)0.852.475.5319.0337.3274.10457.52 Sortino Ratio (0%)0.882.585.8621.9347.50117.89 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