Commodity Futures Services, LLC : IPATS

archived programs
Year-to-Date
N / A
Jun Performance
1.30%
Min Investment
$ 2,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
40.25%
Sharpe (RFR=1%)
0.49
CAROR
13.55%
Assets
$ 28.0M
Worst DD
-55.93
S&P Correlation
-0.14

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/1995
IPATS 1.30 - - - - - 1.38 873.75
S&P 500 -1.50 - - - - - 64.80 516.56
+/- S&P 500 2.80 - - - - - -63.42 357.19

Strategy Description

Summary

In general terms, IPATS may be described as a technical, medium to long-term, trend following, reversal program. Trading decisions are derived from proprietary computer programs, which utilize historical price patterns over dynamically varying time horizons to anticipate changes in... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3100 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Interest Rates
35.00%
Energy
15.00%
Currency Futures
13.00%
Grains
11.00%
Livestock
11.00%
Stock Indices
10.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

In general terms, IPATS may be described as a technical, medium to long-term, trend following, reversal program. Trading decisions are derived from proprietary computer programs, which utilize historical price patterns over dynamically varying time horizons to anticipate changes in price trends. Position sizes are based on account size, each future’s current volatility and a designed overall portfolio risk level. All decisions necessary to implement the IPATS strategy are derived from proprietary computer programs designed by CFS. These programs seek to identify the major trends and turning points for each future and to determine the changes required to maintain a balanced and diversified risk posture for each managed portfolio. From time to time, however, market conditions may be such that, in the opinion of CFS’s management, execution of trades recommended by their computer programs would be difficult or involve an undue amount of risk. In these unusual instances, which CFS estimates will affect less than 2% of the trading decisions, the computer recommendations may be modified by CFS. In addition, the market may occasionally present unique trading opportunities, which are not derived from CFS’s computer programs. CFS may enter such trades using its risk control methodology.

Investment Strategy

The basic trading strategy for IPATS is to hold continuous positions (either long or short) in each future in the portfolio in an attempt to capture a major portion of both long term and medium term price trends. IPATS is designed to benefit from significant price movements while keeping losses within manageable levels. The program strives to maintain a balanced and diversified portfolio for each IPATS account.

Risk Management

I weigh risk and performance for all markets, sectors and the overall portfolio. I measure risk via drawdown and volatility.

   

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
-55.93 11 28 11/1/1996 10/1/1997
-54.66 22 38 9/1/2002 7/1/2004
-39.48 16 8 3/1/2000 7/1/2001
-36.28 20 - 9/1/2011 5/1/2013
-28.00 13 7 12/1/2008 1/1/2010
-23.08 4 2 4/1/1996 8/1/1996
-12.45 3 5 12/1/2010 3/1/2011
-10.29 1 1 9/1/1995 10/1/1995
-9.71 2 2 12/1/1995 2/1/1996
-5.79 1 1 11/1/2007 12/1/2007
-5.19 2 1 5/1/2008 7/1/2008
-4.97 1 1 8/1/2008 9/1/2008
-2.04 1 1 10/1/2010 11/1/2010
-1.85 1 2 3/1/2002 4/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
91.52 8 4/1/2007 11/1/2007
81.59 5 5/1/2002 9/1/2002
76.41 3 9/1/1996 11/1/1996
69.58 4 11/1/1997 2/1/1998
59.11 3 8/1/2001 10/1/2001
57.64 2 8/1/1998 9/1/1998
54.14 3 10/1/2008 12/1/2008
53.97 6 5/1/2010 10/1/2010
51.25 3 7/1/2011 9/1/2011
48.79 4 8/1/2005 11/1/2005
45.65 5 1/1/2008 5/1/2008
40.48 4 12/1/2003 3/1/2004
39.19 3 5/1/1997 7/1/1997
30.43 2 4/1/2006 5/1/2006
29.14 2 4/1/2009 5/1/2009
29.07 2 3/1/1996 4/1/1996
28.09 5 8/1/2004 12/1/2004
27.77 1 3/1/2002 3/1/2002
27.71 3 12/1/2002 2/1/2003
27.62 1 5/1/2012 5/1/2012
26.24 2 1/1/1997 2/1/1997
24.98 1 12/1/2000 12/1/2000
19.52 2 11/1/1995 12/1/1995
18.34 1 2/1/1999 2/1/1999
17.59 1 11/1/1999 11/1/1999
16.08 1 8/1/2008 8/1/2008
14.85 3 1/1/2000 3/1/2000
14.49 1 7/1/2012 7/1/2012
14.12 2 8/1/2006 9/1/2006
13.93 2 2/1/2005 3/1/2005
13.53 2 7/1/2003 8/1/2003
13.42 1 12/1/2001 12/1/2001
12.41 2 12/1/2006 1/1/2007
11.48 1 11/1/1998 11/1/1998
11.48 1 5/1/2005 5/1/2005
9.98 1 10/1/2000 10/1/2000
9.73 2 2/1/2010 3/1/2010
8.34 2 8/1/1995 9/1/1995
7.86 1 4/1/2011 4/1/2011
7.07 1 5/1/2000 5/1/2000
5.88 1 8/1/2000 8/1/2000
5.69 2 5/1/1999 6/1/1999
5.34 1 6/1/1996 6/1/1996
4.31 1 12/1/2010 12/1/2010
4.17 1 3/1/2001 3/1/2001
3.19 1 11/1/2009 11/1/2009
2.53 1 5/1/2003 5/1/2003
2.03 1 1/1/2012 1/1/2012
1.35 1 4/1/2013 4/1/2013
1.31 1 2/1/2006 2/1/2006
1.30 1 6/1/2013 6/1/2013
1.02 1 5/1/1998 5/1/1998
0.72 1 9/1/2009 9/1/2009
0.70 1 2/1/2009 2/1/2009
0.57 1 5/1/2004 5/1/2004
0.39 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-42.06 2 3/1/1997 4/1/1997
-40.40 3 8/1/1997 10/1/1997
-36.67 2 3/1/2003 4/1/2003
-33.48 3 9/1/2003 11/1/2003
-28.65 6 8/1/2012 1/1/2013
-27.38 1 12/1/1996 12/1/1996
-24.50 4 4/1/2001 7/1/2001
-22.70 3 10/1/2011 12/1/2011
-22.63 2 10/1/2002 11/1/2002
-21.29 2 6/1/2006 7/1/2006
-21.08 2 7/1/1996 8/1/1996
-20.08 4 7/1/1999 10/1/1999
-18.98 2 3/1/1998 4/1/1998
-17.88 2 6/1/2000 7/1/2000
-17.26 2 1/1/2001 2/1/2001
-16.73 2 12/1/2005 1/1/2006
-16.29 2 6/1/2004 7/1/2004
-16.07 1 11/1/2001 11/1/2001
-16.06 2 2/1/2007 3/1/2007
-15.83 1 4/1/2004 4/1/2004
-15.32 1 3/1/2009 3/1/2009
-15.31 1 4/1/2000 4/1/2000
-14.87 1 10/1/1998 10/1/1998
-14.13 2 1/1/2002 2/1/2002
-12.45 3 1/1/2011 3/1/2011
-12.37 3 2/1/2012 4/1/2012
-12.22 1 1/1/2009 1/1/2009
-12.10 2 6/1/2005 7/1/2005
-11.66 2 12/1/2009 1/1/2010
-11.33 1 10/1/2009 10/1/2009
-10.29 1 10/1/1995 10/1/1995
-10.19 1 6/1/2012 6/1/2012
-9.73 2 10/1/2006 11/1/2006
-9.71 2 1/1/1996 2/1/1996
-9.53 2 6/1/1998 7/1/1998
-8.68 1 11/1/2000 11/1/2000
-8.51 3 6/1/2009 8/1/2009
-8.41 1 1/1/2005 1/1/2005
-7.47 1 5/1/1996 5/1/1996
-7.30 1 3/1/2006 3/1/2006
-6.02 1 9/1/2000 9/1/2000
-6.00 1 6/1/2003 6/1/2003
-5.95 1 4/1/2005 4/1/2005
-5.79 1 12/1/2007 12/1/2007
-5.75 2 5/1/2011 6/1/2011
-5.19 2 6/1/2008 7/1/2008
-4.97 1 9/1/2008 9/1/2008
-4.17 1 12/1/1999 12/1/1999
-3.03 2 12/1/1998 1/1/1999
-2.96 1 4/1/2010 4/1/2010
-2.49 1 5/1/2013 5/1/2013
-2.04 1 11/1/2010 11/1/2010
-1.85 1 4/1/2002 4/1/2002
-1.08 2 3/1/1999 4/1/1999
-0.76 1 3/1/2013 3/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods215.00213.00210.00204.00198.00192.00180.00168.00156.00
Percent Profitable53.9555.8761.9063.7370.2074.4890.5691.0795.51
Average Period Return1.735.059.3320.2331.5843.2270.03107.29149.57
Average Gain10.0218.7324.0741.4953.1963.8978.90119.23157.12
Average Loss-7.98-12.27-14.62-17.12-19.36-17.09-15.02-14.48-11.03
Best Period43.8676.4199.73152.09236.38279.88295.29383.78485.85
Worst Period-36.85-40.40-45.03-51.79-54.04-52.29-35.06-32.50-16.98
Standard Deviation11.6220.0924.8540.2253.1661.1573.66113.87144.42
Gain Standard Deviation7.9615.4818.8434.8848.8357.2871.74112.40143.41
Loss Standard Deviation6.638.5510.7311.3412.9613.6310.588.145.20
Sharpe Ratio (1%)0.140.240.360.480.570.670.910.911.00
Average Gain / Average Loss1.261.531.652.422.753.745.258.2314.24
Profit / Loss Ratio1.471.932.674.266.4710.9150.3783.97303.19
Downside Deviation (10%)7.2410.6012.4414.9616.3515.5110.5011.9710.71
Downside Deviation (5%)7.0710.0611.4212.8513.3711.826.396.023.61
Downside Deviation (0%)7.029.9211.1712.3412.6811.005.594.922.55
Sortino Ratio (10%)0.180.360.551.021.472.135.177.1611.39
Sortino Ratio (5%)0.230.480.771.502.253.4910.4917.1540.02
Sortino Ratio (0%)0.250.510.841.642.493.9312.5321.7958.67

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.