Commodity Capital Inc. : Agricultural Commodities Trading Program

archived programs
Year-to-Date
N / A
Feb Performance
1.40%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.63%
Sharpe (RFR=1%)
0.49
CAROR
9.32%
Assets
$ 3.5M
Worst DD
-23.68
S&P Correlation
0.08

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
7/1984
Agricultural Commodities Trading Program 1.40 - - - - - 10.62 1,075.53
S&P 500 4.06 - - - - - 23.38 2,199.42
+/- S&P 500 -2.66 - - - - - -12.75 -1,123.90

Strategy Description

Summary

Founded in 1984, Commodity Capital Inc. (CCI) is a trading manager that is one of the longest established managed futures advisors in the world. CCI historically has generated returns which have been non-correlated to those of equity and fixed income investments. Flexible Investment... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 1.75%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 1.00%
4-12 Months 12.00%
1-3 Months 15.00%
1-30 Days 70.00%
Intraday 2.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
90.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Founded in 1984, Commodity Capital Inc. (CCI) is a trading manager that is one of the longest established managed futures advisors in the world. CCI historically has generated returns which have been non-correlated to those of equity and fixed income investments. Flexible Investment Strategies Because CCI trades long and short positions as well as spread positions we are capable of benefiting from all types of markets. During our lengthy trading history our strategies and risk control methodologies have been tested by a wide range of market environments. Transparency of Client Accounts Because we only trade individual managed accounts, clients are able to view and monitor their investments independently from CCI if they so wish. Clients have control of their assets and are able to choose the Futures Commission Merchant (FCM) with whom the account is lodged.

Investment Strategy

The ACTP trades in agricultural futures and options. Decisions are a result of a continuous assessment of the implications of the fundamental factors pertinent to each particular market. Essentially, CCI is continuously updating projections of the supply/demand outlook for each commodity. CCI will then interpret these projections and make a judgment as to the extent to which this information is reflected in the existing price structure. The ACTP primarily trades spreads. Spread trading involves taking a long position in one futures contract against a short position in another futures contract. Spreading can be conducted between commodities, between markets, and between different delivery months of the same commodity. CCI also trades outright (i.e. long and or short) positions in agricultural commodities in the ACTP.

Risk Management

Although CCI does employ sophisticated risk management strategies, our experience of multiple market upheavals over the last 30 years has taught us that there is only one way to be virtually certain of limiting risk to a prescribed level. To that end, we begin to exit losing positions once certain trigger points are reached. Our trigger points apply at the individual trade level and also at the overall portfolio level.

   

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
-23.68 10 4 3/1/1987 1/1/1988
-23.15 45 58 9/1/1990 6/1/1994
-21.69 8 3 8/1/1999 4/1/2000
-13.47 2 1 5/1/1985 7/1/1985
-13.09 17 3 6/1/1988 11/1/1989
-12.26 1 1 9/1/1984 10/1/1984
-11.77 15 16 11/1/2004 2/1/2006
-11.06 5 14 12/1/2000 5/1/2001
-10.60 2 2 1/1/1985 3/1/1985
-10.37 1 2 8/1/1986 9/1/1986
-10.24 7 8 7/1/2002 2/1/2003
-10.10 17 21 8/1/2007 1/1/2009
-9.88 1 1 7/1/1984 8/1/1984
-5.41 1 2 5/1/1986 6/1/1986
-5.12 1 1 10/1/1985 11/1/1985
-4.95 1 3 2/1/1990 3/1/1990
-4.36 4 1 7/1/2000 11/1/2000
-3.61 1 1 11/1/1986 12/1/1986
-3.09 1 1 11/1/2003 12/1/2003
-2.20 1 2 6/1/2004 7/1/2004
-1.79 4 4 2/1/2011 6/1/2011
-1.43 1 1 2/1/1986 3/1/1986
-0.50 1 1 11/1/2011 12/1/2011
-0.39 1 1 2/1/2004 3/1/2004
-0.29 1 1 1/1/1987 2/1/1987
-0.16 1 1 4/1/2004 5/1/2004
-0.03 1 1 6/1/2007 7/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
79.10 3 11/1/1984 1/1/1985
70.45 5 2/1/1988 6/1/1988
54.54 3 12/1/1985 2/1/1986
49.35 3 8/1/1985 10/1/1985
42.58 6 3/1/1999 8/1/1999
37.91 2 4/1/1985 5/1/1985
29.92 3 5/1/2000 7/1/2000
22.54 2 4/1/1986 5/1/1986
16.59 1 2/1/1990 2/1/1990
15.68 5 3/1/1996 7/1/1996
12.64 2 10/1/1988 11/1/1988
12.22 2 10/1/1986 11/1/1986
12.13 1 9/1/1984 9/1/1984
10.11 12 3/1/2010 2/1/2011
9.82 2 6/1/2001 7/1/2001
9.71 3 1/1/1995 3/1/1995
9.17 2 7/1/1986 8/1/1986
8.85 4 6/1/1990 9/1/1990
8.62 1 6/1/2007 6/1/2007
7.91 2 12/1/1998 1/1/1999
7.48 3 2/1/2002 4/1/2002
7.42 1 7/1/1991 7/1/1991
7.03 1 6/1/1993 6/1/1993
6.86 2 12/1/1993 1/1/1994
6.59 1 9/1/1994 9/1/1994
6.48 2 5/1/1995 6/1/1995
6.18 3 5/1/2003 7/1/2003
6.11 3 9/1/2003 11/1/2003
6.05 2 1/1/2004 2/1/2004
5.98 4 8/1/2004 11/1/2004
5.94 2 7/1/1989 8/1/1989
5.92 1 9/1/1995 9/1/1995
5.74 2 2/1/1989 3/1/1989
5.42 4 7/1/1997 10/1/1997
5.28 1 12/1/2000 12/1/2000
5.11 1 1/1/1987 1/1/1987
5.05 1 4/1/1990 4/1/1990
4.69 5 12/1/1997 4/1/1998
4.65 1 2/1/2001 2/1/2001
4.52 1 5/1/2006 5/1/2006
4.44 2 1/1/2012 2/1/2012
4.41 1 7/1/1994 7/1/1994
4.14 3 11/1/1990 1/1/1991
4.10 1 7/1/1984 7/1/1984
3.85 3 11/1/1991 1/1/1992
3.82 2 10/1/2011 11/1/2011
3.61 4 4/1/2009 7/1/2009
3.38 1 6/1/1992 6/1/1992
3.13 1 3/1/2003 3/1/2003
3.09 1 3/1/1987 3/1/1987
2.92 3 7/1/2006 9/1/2006
2.88 2 6/1/2002 7/1/2002
2.58 1 11/1/1987 11/1/1987
2.55 2 12/1/1999 1/1/2000
2.29 2 1/1/1993 2/1/1993
2.28 2 12/1/2007 1/1/2008
2.21 1 3/1/1994 3/1/1994
2.13 1 9/1/1998 9/1/1998
2.08 1 10/1/2005 10/1/2005
2.07 2 10/1/2001 11/1/2001
2.06 1 9/1/1996 9/1/1996
2.02 1 4/1/2001 4/1/2001
1.99 1 3/1/2006 3/1/2006
1.94 2 1/1/2007 2/1/2007
1.85 1 10/1/2008 10/1/2008
1.63 1 6/1/1987 6/1/1987
1.60 1 1/1/1996 1/1/1996
1.55 1 8/1/1992 8/1/1992
1.55 1 5/1/1997 5/1/1997
1.52 1 2/1/2009 2/1/2009
1.40 1 11/1/2006 11/1/2006
1.32 1 6/1/2005 6/1/2005
1.29 2 12/1/2009 1/1/2010
1.29 2 7/1/2011 8/1/2011
1.24 1 3/1/1991 3/1/1991
1.19 1 11/1/1995 11/1/1995
1.12 1 8/1/2007 8/1/2007
1.11 3 4/1/2008 6/1/2008
1.02 1 10/1/1992 10/1/1992
0.93 2 3/1/2005 4/1/2005
0.89 1 11/1/1996 11/1/1996
0.85 1 6/1/2004 6/1/2004
0.75 1 1/1/2003 1/1/2003
0.71 2 10/1/2002 11/1/2002
0.61 1 4/1/2004 4/1/2004
0.45 1 8/1/2008 8/1/2008
0.43 1 12/1/1989 12/1/1989
0.42 1 4/1/1992 4/1/1992
0.39 1 9/1/2009 9/1/2009
0.31 1 5/1/1991 5/1/1991
0.12 1 9/1/1987 9/1/1987
0.12 1 4/1/1993 4/1/1993
0.01 1 10/1/2000 10/1/2000
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.23 2 4/1/1987 5/1/1987
-16.72 5 7/1/1993 11/1/1993
-16.42 3 2/1/2000 4/1/2000
-14.18 1 10/1/1995 10/1/1995
-13.47 2 6/1/1985 7/1/1985
-12.57 3 7/1/1988 9/1/1988
-12.26 1 10/1/1984 10/1/1984
-10.60 2 2/1/1985 3/1/1985
-10.37 1 9/1/1986 9/1/1986
-9.96 3 4/1/1989 6/1/1989
-9.88 1 8/1/1984 8/1/1984
-9.42 1 3/1/2001 3/1/2001
-8.63 3 9/1/1999 11/1/1999
-8.41 1 2/1/1999 2/1/1999
-7.91 3 9/1/1989 11/1/1989
-7.22 3 4/1/1994 6/1/1994
-6.57 2 7/1/1987 8/1/1987
-6.42 3 10/1/1994 12/1/1994
-6.20 2 8/1/2002 9/1/2002
-5.61 3 8/1/1991 10/1/1991
-5.41 1 6/1/1986 6/1/1986
-5.40 2 10/1/1998 11/1/1998
-5.32 1 10/1/1990 10/1/1990
-5.19 2 2/1/2008 3/1/2008
-5.12 1 11/1/1985 11/1/1985
-5.01 2 2/1/1992 3/1/1992
-4.97 2 12/1/1988 1/1/1989
-4.97 4 11/1/2005 2/1/2006
-4.96 3 7/1/2005 9/1/2005
-4.95 1 3/1/1990 3/1/1990
-4.94 1 1/1/2001 1/1/2001
-4.71 3 9/1/2007 11/1/2007
-4.65 2 12/1/2001 1/1/2002
-4.48 4 5/1/1998 8/1/1998
-4.30 2 8/1/2000 9/1/2000
-4.16 2 12/1/1987 1/1/1988
-3.89 3 3/1/2007 5/1/2007
-3.85 2 8/1/2001 9/1/2001
-3.77 1 9/1/1992 9/1/1992
-3.73 2 11/1/1992 12/1/1992
-3.71 3 12/1/2004 2/1/2005
-3.61 1 12/1/1986 12/1/1986
-3.45 1 7/1/2008 7/1/2008
-3.26 1 2/1/2003 2/1/2003
-3.25 1 5/1/2001 5/1/2001
-3.21 1 3/1/1993 3/1/1993
-3.09 1 12/1/2003 12/1/2003
-2.93 1 4/1/1991 4/1/1991
-2.84 5 12/1/1996 4/1/1997
-2.81 1 5/1/2005 5/1/2005
-2.74 1 11/1/1997 11/1/1997
-2.73 1 2/1/1991 2/1/1991
-2.61 1 6/1/1991 6/1/1991
-2.51 1 12/1/2002 12/1/2002
-2.47 1 12/1/1995 12/1/1995
-2.38 1 8/1/1996 8/1/1996
-2.25 1 5/1/1992 5/1/1992
-2.20 1 7/1/2004 7/1/2004
-1.95 3 11/1/2008 1/1/2009
-1.79 4 3/1/2011 6/1/2011
-1.74 2 7/1/1995 8/1/1995
-1.73 1 2/1/1994 2/1/1994
-1.67 1 4/1/1995 4/1/1995
-1.61 2 10/1/2009 11/1/2009
-1.47 1 8/1/1994 8/1/1994
-1.46 1 6/1/2006 6/1/2006
-1.43 1 3/1/1986 3/1/1986
-1.34 1 10/1/1987 10/1/1987
-1.10 1 10/1/2006 10/1/2006
-0.96 1 10/1/1996 10/1/1996
-0.93 1 5/1/1990 5/1/1990
-0.89 1 7/1/1992 7/1/1992
-0.77 1 5/1/1993 5/1/1993
-0.76 1 9/1/2011 9/1/2011
-0.73 1 4/1/2006 4/1/2006
-0.69 1 2/1/2010 2/1/2010
-0.65 1 9/1/2008 9/1/2008
-0.65 1 2/1/1996 2/1/1996
-0.51 1 8/1/2009 8/1/2009
-0.50 1 12/1/2011 12/1/2011
-0.50 1 12/1/2006 12/1/2006
-0.39 1 3/1/2004 3/1/2004
-0.33 1 4/1/2003 4/1/2003
-0.31 1 3/1/2009 3/1/2009
-0.29 1 2/1/1987 2/1/1987
-0.24 1 6/1/1997 6/1/1997
-0.16 1 5/1/2004 5/1/2004
-0.14 1 5/1/2002 5/1/2002
-0.09 1 1/1/1990 1/1/1990
-0.07 1 11/1/2000 11/1/2000
-0.06 1 8/1/2003 8/1/2003
-0.03 1 7/1/2007 7/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods332.00330.00327.00321.00315.00309.00297.00285.00273.00
Percent Profitable54.5258.4860.2465.1169.2172.4979.8080.7078.39
Average Period Return0.892.715.5811.3017.4020.8625.3835.6340.68
Average Gain3.787.3112.3720.5027.8531.0233.7146.0053.34
Average Loss-2.57-3.77-4.72-5.86-6.08-5.93-7.52-7.78-5.21
Best Period36.3979.10110.08185.36333.66413.43324.43556.36560.32
Worst Period-14.18-16.75-21.31-21.55-17.26-18.05-20.31-20.74-17.72
Standard Deviation5.6710.5316.9830.8848.9557.1454.4084.4587.49
Gain Standard Deviation5.8011.3618.7034.8055.6964.2157.9390.9895.00
Loss Standard Deviation2.883.684.474.904.524.946.635.784.60
Sharpe Ratio (1%)0.140.230.300.330.320.330.410.370.41
Average Gain / Average Loss1.471.942.623.504.585.234.485.9110.23
Profit / Loss Ratio1.762.733.976.5310.2913.8017.7024.7337.11
Downside Deviation (10%)2.794.005.357.188.289.4312.4315.6718.75
Downside Deviation (5%)2.643.504.324.984.894.905.625.805.31
Downside Deviation (0%)2.603.394.094.514.204.044.494.243.22
Sortino Ratio (10%)0.170.370.580.881.181.120.770.900.70
Sortino Ratio (5%)0.310.701.172.073.253.843.985.446.70
Sortino Ratio (0%)0.340.801.362.514.155.175.658.4012.64

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.