Coloma Capital Futures(r), LLC : Coloma Capital Futures Sep A/C

Year-to-Date
0.90%
Mar Performance
0.00%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.96%
Sharpe (RFR=1%)
0.39
CAROR
2.13%
Assets
$ 11.5M
Worst DD
-7.15
S&P Correlation
-0.13

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
Coloma Capital Futures Sep A/C 0.00 0.90 0.90 3.62 11.14 4.56 - 15.11
S&P 500 -0.04 5.53 5.53 14.71 26.19 67.75 - 125.22
+/- S&P 500 0.04 -4.63 -4.63 -11.09 -15.05 -63.20 - -110.11

Strategy Description

Summary

Coloma Capital Futures TM, LLC (CCF) operates both separate accounts and a pool investing in commodities futures contracts and options. These accounts invest in global commodities futures representing various “hard assets” such as crude oil, gold, wheat, copper and lean hogs. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
3.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
-7.00%
Worst Peak-to-Trough
4.50%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
10.00%

Decision-Making

Discretionary
80.00%
Systematic
20.00%

Strategy

Option-spreads
3.00%
Spreading/hedging
97.00%
Strategy Pie Chart

Composition

Livestock
25.00%
Energy
25.00%
Softs
20.00%
Grains
20.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

Coloma Capital Futures TM, LLC (CCF) operates both separate accounts and a pool investing in commodities futures contracts and options. These accounts invest in global commodities futures representing various “hard assets” such as crude oil, gold, wheat, copper and lean hogs.

Investment Strategy

The overarching investment themes are relative value spread trading and directional positioning. Trend-following and similar “black box” methods are not part of the philosophy. Instead, alpha opportunities are dissected using quantitative measures to create reasonable and more reliable signals and grounded in fundamental aspects.

Risk Management

This approach outlines risk and return directly and allows for greater scope and confidence in investment decision-making. Leverage is part of the strategy, though primarily by paired long and short positions that reduce overall net leverage. While not impervious to investment loss, the fund is subject to independent oversight and regulation via third-party clearing, banking and audit as well as CFTC registration.

   

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
-7.15 26 14 2/1/2012 4/1/2014
-3.09 6 3 12/1/2015 6/1/2016
-0.90 1 2 7/1/2015 8/1/2015
-0.80 1 2 9/1/2016 10/1/2016
-0.80 1 1 8/1/2010 9/1/2010
-0.50 1 1 10/1/2015 11/1/2015
-0.30 1 1 6/1/2011 7/1/2011
-0.20 1 1 9/1/2011 10/1/2011
-0.10 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
4.68 5 2/1/2011 6/1/2011
3.85 3 7/1/2016 9/1/2016
3.55 3 1/1/2015 3/1/2015
3.23 3 5/1/2014 7/1/2014
2.80 1 8/1/2010 8/1/2010
2.02 3 5/1/2015 7/1/2015
1.91 4 11/1/2016 2/1/2017
1.80 1 12/1/2015 12/1/2015
1.71 2 10/1/2010 11/1/2010
1.31 3 11/1/2011 1/1/2012
1.10 2 9/1/2015 10/1/2015
1.00 2 8/1/2011 9/1/2011
0.90 1 11/1/2014 11/1/2014
0.80 3 5/1/2013 7/1/2013
0.60 1 3/1/2014 3/1/2014
0.60 1 2/1/2016 2/1/2016
0.50 1 4/1/2016 4/1/2016
0.44 2 11/1/2012 12/1/2012
0.30 1 5/1/2012 5/1/2012
0.20 1 9/1/2012 9/1/2012
0.10 1 9/1/2014 9/1/2014
0.10 1 11/1/2013 11/1/2013
0.10 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.07 3 12/1/2013 2/1/2014
-2.39 3 6/1/2012 8/1/2012
-2.10 1 1/1/2016 1/1/2016
-1.79 2 5/1/2016 6/1/2016
-1.79 4 1/1/2013 4/1/2013
-1.00 1 4/1/2014 4/1/2014
-0.90 1 8/1/2015 8/1/2015
-0.80 1 10/1/2016 10/1/2016
-0.80 1 9/1/2010 9/1/2010
-0.60 1 12/1/2014 12/1/2014
-0.60 1 10/1/2013 10/1/2013
-0.50 1 11/1/2015 11/1/2015
-0.40 1 4/1/2015 4/1/2015
-0.40 1 10/1/2012 10/1/2012
-0.40 3 2/1/2012 4/1/2012
-0.30 1 3/1/2016 3/1/2016
-0.30 1 7/1/2011 7/1/2011
-0.20 1 8/1/2014 8/1/2014
-0.20 1 8/1/2013 8/1/2013
-0.20 1 10/1/2011 10/1/2011
-0.10 2 12/1/2010 1/1/2011
-0.10 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable57.5066.6764.0055.0760.3263.1664.44100.00
Average Period Return0.180.490.901.441.802.042.233.16
Average Gain0.731.252.244.044.595.034.863.16
Average Loss-0.61-1.04-1.49-1.75-2.44-3.07-2.52
Best Period2.803.854.578.1410.438.8811.817.72
Worst Period-2.10-3.07-3.46-4.14-4.59-6.77-4.710.30
Standard Deviation0.851.412.173.364.034.454.232.02
Gain Standard Deviation0.600.961.292.082.412.202.712.02
Loss Standard Deviation0.510.801.061.111.361.891.16
Sharpe Ratio (1%)0.110.170.180.130.070.01-0.19-0.44
Average Gain / Average Loss1.181.211.502.301.881.641.93
Profit / Loss Ratio1.762.412.672.822.852.803.50
Downside Deviation (10%)0.721.452.594.847.039.3214.1618.49
Downside Deviation (5%)0.530.871.351.992.643.303.401.87
Downside Deviation (0%)0.490.751.091.381.762.171.64
Sortino Ratio (10%)-0.32-0.51-0.61-0.74-0.82-0.88-0.96-0.99
Sortino Ratio (5%)0.180.270.300.220.110.01-0.23-0.48
Sortino Ratio (0%)0.360.650.821.041.020.941.36

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.