Commodities Analytics LLC : Daily Analytics

archived programs
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

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
1/2014
Daily Analytics -0.86 -1.37 - -0.55 54.03 - - 91.22
S&P 500 3.03 7.25 - 16.39 45.64 - - 61.13
+/- S&P 500 -3.89 -8.62 - -16.93 8.39 - - 30.10

Strategy Description

Summary

This 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%
Strategy Pie Chart

Composition

Energy
70.00%
Precious Metals
10.00%
Grains
5.00%
Livestock
5.00%
Softs
5.00%
Other
5.00%
Composition Pie Chart

Summary

This 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 Strategy

Short term position holding, based on proprietary technical analysis tools. Will typically do 1 trade per market, when the right trading conditions evolve.

Risk Management

No stop loss. Will look to close an open position if losing 3% of the account value.

   

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
-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
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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
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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 2016 - 2017
IASG CTA Index 3 Year Rolling 10 66.94 2014 - 2017
IASG CTA Index 3 Year Rolling 7 87.57 2013 - 2016
IASG CTA Index Sharpe 3 2.24 2015 - 2016
IASG CTA Index Year Rolling 3 33.68 2015 - 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.