Commodities Analytics LLC : Daily Analytics Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance -0.86% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.04% Sharpe (RFR=1%) 1.65 CAROR 14.90% Assets $ 2.9M Worst DD -3.73 S&P Correlation -0.15 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since1/2014 Daily Analytics -0.86 - - - -3.01 23.70 - 91.22 S&P 500 3.03 - - - 45.64 75.89 - 127.76 +/- S&P 500 -3.89 - - - -48.64 -52.19 - -36.54 Strategy Description SummaryThis is a commodities day trading, trend following program. The program usually trades during the second part of the trading session, if and when a clear trend is identified in a certain market.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 25k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $8.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 7-14 Days Redemption Frequency 7-14 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 8000 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -5.00% Worst Peak-to-Trough 3.73% Sector Focus Diversified Traders Holding Periods Over 12 Months 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 100.00% Systematic 0% Strategy Pattern Recognition 33.00% Technical 33.00% Trend-following 34.00% Composition Energy 70.00% Precious Metals 10.00% Grains 5.00% Livestock 5.00% Softs 5.00% Other 5.00% SummaryThis is a commodities day trading, trend following program. The program usually trades during the second part of the trading session, if and when a clear trend is identified in a certain market.Investment StrategyShort term position holding, based on proprietary technical analysis tools. Will typically do 1 trade per market, when the right trading conditions evolve. Risk ManagementNo stop loss. Will look to close an open position if losing 3% of the account value. 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 -3.73 2 8 2/1/2014 4/1/2014 -3.01 5 - 3/1/2018 8/1/2018 -1.83 3 3 1/1/2017 4/1/2017 -1.05 1 1 4/1/2015 5/1/2015 -1.05 2 1 12/1/2014 2/1/2015 -0.63 1 1 12/1/2017 1/1/2018 -0.46 1 2 8/1/2017 9/1/2017 -0.35 1 1 8/1/2015 9/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 53.24 16 10/1/2015 1/1/2017 12.62 2 1/1/2014 2/1/2014 6.47 1 12/1/2014 12/1/2014 5.66 3 6/1/2015 8/1/2015 3.44 2 3/1/2015 4/1/2015 2.44 2 2/1/2018 3/1/2018 1.79 2 7/1/2017 8/1/2017 1.56 1 5/1/2017 5/1/2017 1.19 3 10/1/2017 12/1/2017 0.48 2 7/1/2014 8/1/2014 0.06 1 5/1/2014 5/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.73 2 3/1/2014 4/1/2014 -3.01 5 4/1/2018 8/1/2018 -1.83 3 2/1/2017 4/1/2017 -1.05 1 5/1/2015 5/1/2015 -1.05 2 1/1/2015 2/1/2015 -0.63 1 1/1/2018 1/1/2018 -0.46 1 9/1/2017 9/1/2017 -0.35 1 9/1/2015 9/1/2015 -0.06 1 6/1/2017 6/1/2017 -0.04 1 6/1/2014 6/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods56.0054.0051.0045.0039.0033.0021.00 Percent Profitable62.5081.4890.2097.78100.00100.00100.00 Average Period Return1.193.367.3617.4730.0045.6970.18 Average Gain2.254.478.3417.8830.0045.6970.18 Average Loss-0.68-1.70-1.68-0.55 Best Period10.9613.4224.9646.6358.5871.0087.57 Worst Period-2.75-3.67-3.25-0.551.496.1454.03 Standard Deviation2.324.247.5714.0318.5717.817.37 Gain Standard Deviation2.323.897.3113.9218.5717.817.37 Loss Standard Deviation0.630.921.31 Sharpe Ratio (1%)0.480.730.911.171.532.459.11 Average Gain / Average Loss3.302.634.9532.69 Profit / Loss Ratio6.4312.8645.561438.39 Downside Deviation (10%)0.721.301.541.401.640.72 Downside Deviation (5%)0.550.870.780.230.00 Downside Deviation (0%)0.520.780.640.08 Sortino Ratio (10%)1.091.643.178.8913.6749.49 Sortino Ratio (5%)2.003.578.8371.4111304.43 Sortino Ratio (0%)2.304.3211.44214.27 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Sharpe 7 1.91 2017 IASG CTA Index 3 Year 10 66.94 2014 - 2017 IASG CTA Index 3 Year 7 87.57 2013 - 2016 IASG CTA Index Sharpe 3 2.24 2016 IASG CTA Index Annual 3 33.68 2016 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