Commodity Capital Inc. : Inflation Protector Trading Program (P)

archived programs
Year-to-Date
N / A
Feb Performance
-0.17%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.70%
Sharpe (RFR=1%)
0.16
CAROR
1.54%
Assets
$ 500k
Worst DD
-5.86
S&P Correlation
0.37

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
4/2009
Inflation Protector Trading Program (P) -0.17 - - - - - -2.60 4.57
S&P 500 4.06 - - - - - 23.38 296.89
+/- S&P 500 -4.23 - - - - - -25.98 -292.33

Strategy Description

Summary

The Inflation Protector Trading Program (IPTP) was launched in April 2009. The IPTP takes long positions in a wide range of physical commodities and may also take short positions in the US Dollar as well as in US interest rate futures. The IPTP trades futures as well as options although... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 260 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 3.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 30.00%
1-30 Days 62.00%
Intraday 3.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Fundamental
50.00%
Option-purchasing
2.00%
Option-writing
2.00%
Seasonal/cyclical
10.00%
Technical
20.00%
Trend-following
16.00%
Strategy Pie Chart

Composition

Precious Metals
20.00%
Softs
20.00%
Currency Futures
15.00%
Energy
15.00%
Grains
15.00%
Industrial Metals
5.00%
Interest Rates
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Inflation Protector Trading Program (IPTP) was launched in April 2009. The IPTP takes long positions in a wide range of physical commodities and may also take short positions in the US Dollar as well as in US interest rate futures. The IPTP trades futures as well as options although the program does not write uncovered options. Trading decisions are based on a blend of fundamental, technical and seasonal factors.

Investment Strategy

The IPTP takes long Futures and/or options positions in a wide range of physical commodities and is specifically designed to capitalize on the potential for any upward pressure affecting commodity prices. The IPTP does not passively hold a basket or index of commodities but rather, opportunistically seeks out those commodities with the most bullish profiles. Our trading is primarily discretionary and trade selection is based upon a blend of fundamental, technical, seasonal and trend-following factors.

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:
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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-5.86 27 - 11/1/2009 2/1/2012
-0.13 1 1 9/1/2009 10/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
9.22 6 4/1/2009 9/1/2009
1.83 1 11/1/2009 11/1/2009
0.78 2 9/1/2010 10/1/2010
0.70 2 6/1/2010 7/1/2010
0.49 2 3/1/2011 4/1/2011
0.31 2 12/1/2010 1/1/2011
0.28 1 8/1/2011 8/1/2011
0.24 1 4/1/2010 4/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.10 4 12/1/2009 3/1/2010
-2.04 3 5/1/2011 7/1/2011
-1.57 6 9/1/2011 2/1/2012
-0.82 1 5/1/2010 5/1/2010
-0.61 1 11/1/2010 11/1/2010
-0.37 1 8/1/2010 8/1/2010
-0.24 1 2/1/2011 2/1/2011
-0.13 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable48.5742.4240.0037.5033.33
Average Period Return0.130.320.37-0.12-0.07
Average Gain0.801.903.122.744.33
Average Loss-0.50-0.85-1.46-1.84-2.27
Best Period4.005.789.227.798.09
Worst Period-1.34-2.26-3.66-3.18-3.51
Standard Deviation1.072.013.222.963.59
Gain Standard Deviation1.182.153.523.012.82
Loss Standard Deviation0.340.640.890.880.71
Sharpe Ratio (1%)0.050.03-0.04-0.38-0.44
Average Gain / Average Loss1.612.232.141.491.91
Profit / Loss Ratio1.521.641.420.890.96
Downside Deviation (10%)0.711.713.265.838.42
Downside Deviation (5%)0.480.961.662.373.13
Downside Deviation (0%)0.430.801.311.601.93
Sortino Ratio (10%)-0.39-0.53-0.64-0.88-0.91
Sortino Ratio (5%)0.110.07-0.08-0.48-0.50
Sortino Ratio (0%)0.310.390.28-0.08-0.03

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.