Coloma Capital Futures(r), LLC : Coloma Commodity Strategy

Year-to-Date
6.26%
Aug Performance
-0.20%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.89%
Sharpe (RFR=1%)
0.12
CAROR
1.31%
Assets
$ 8.5M
Worst DD
-7.15
S&P Correlation
-0.05

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
Coloma Commodity Strategy -0.20 -1.10 -6.26 -4.56 -0.55 3.19 10.90 14.00
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 230.13 230.13
+/- S&P 500 -7.21 -16.08 -14.60 -24.17 -40.95 -72.48 -219.23 -216.12

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

Energy
25.00%
Livestock
25.00%
Grains
20.00%
Softs
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
-7.09 7 - 1/1/2020 8/1/2020
-3.09 6 3 12/1/2015 6/1/2016
-1.70 5 4 5/1/2018 10/1/2018
-1.59 2 4 3/1/2017 5/1/2017
-1.23 4 3 10/1/2017 2/1/2018
-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
-0.10 1 1 2/1/2019 3/1/2019
-0.10 1 1 5/1/2019 6/1/2019
Show More

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
3.55 5 7/1/2019 11/1/2019
3.23 3 5/1/2014 7/1/2014
2.80 1 8/1/2010 8/1/2010
2.52 5 6/1/2017 10/1/2017
2.02 3 5/1/2015 7/1/2015
1.91 4 11/1/2016 2/1/2017
1.81 4 11/1/2018 2/1/2019
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
1.30 3 3/1/2018 5/1/2018
1.20 2 4/1/2019 5/1/2019
1.10 2 9/1/2015 10/1/2015
1.00 2 8/1/2011 9/1/2011
1.00 1 7/1/2018 7/1/2018
0.90 1 11/1/2014 11/1/2014
0.90 1 1/1/2020 1/1/2020
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
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-7.09 7 2/1/2020 8/1/2020
-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
-1.59 3 3/1/2017 5/1/2017
-1.50 3 8/1/2018 10/1/2018
-1.23 4 11/1/2017 2/1/2018
-1.20 1 6/1/2018 6/1/2018
-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 6/1/2019 6/1/2019
-0.10 1 3/1/2019 3/1/2019
-0.10 1 10/1/2014 10/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods121.00119.00116.00110.00104.0098.0086.0074.0062.00
Percent Profitable55.3762.1863.7963.6472.1274.4979.07100.00100.00
Average Period Return0.110.310.651.431.962.393.805.807.71
Average Gain0.681.232.023.253.604.155.405.807.71
Average Loss-0.65-1.21-1.78-1.76-2.29-2.75-2.28
Best Period2.803.854.578.1410.438.8811.8112.4214.78
Worst Period-2.10-5.02-6.91-4.56-4.59-6.77-4.710.301.09
Standard Deviation0.831.552.343.023.373.623.953.243.66
Gain Standard Deviation0.530.861.282.072.322.042.613.243.66
Loss Standard Deviation0.541.191.731.231.351.891.30
Sharpe Ratio (1%)0.030.040.060.140.130.110.190.540.71
Average Gain / Average Loss1.041.011.141.851.581.512.37
Profit / Loss Ratio1.421.672.013.234.074.418.96
Downside Deviation (10%)0.771.712.904.646.558.6412.5916.0720.24
Downside Deviation (5%)0.581.151.711.832.152.612.541.300.99
Downside Deviation (0%)0.541.041.481.291.401.671.19
Sortino Ratio (10%)-0.38-0.54-0.63-0.77-0.86-0.91-0.95-0.98-0.98
Sortino Ratio (5%)0.050.050.090.230.210.150.301.342.64
Sortino Ratio (0%)0.210.300.441.111.401.433.19

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.