Chicago Capital Management : Spread Arbitrage Proprietary Program

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
4/2003
Spread Arbitrage Proprietary Program 0.00 - - - - - - 651.17
S&P 500 1.78 - - - - - - 277.80
+/- S&P 500 -1.78 - - - - - - 373.37

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%
Strategy Pie Chart

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.

   

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
-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
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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
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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
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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.