Commodity Futures Services, LLC : IPATS

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

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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	-	-	-	-	-	-9.37	873.75
S&P 500	-1.50	-	-	-	-	-	64.80	537.93
+/- S&P 500	2.80	-	-	-	-	-	-74.18	335.82

Strategy Description

Summary

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%

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%

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.

Compare to:

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Index: Chart Type:

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:

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	215.00	213.00	210.00	204.00	198.00	192.00	180.00	168.00	156.00
Percent Profitable	53.95	55.87	61.90	63.73	70.20	74.48	90.56	91.07	95.51
Average Period Return	1.73	5.05	9.33	20.23	31.58	43.22	70.03	107.29	149.57
Average Gain	10.02	18.73	24.07	41.49	53.19	63.89	78.90	119.23	157.12
Average Loss	-7.98	-12.27	-14.62	-17.12	-19.36	-17.09	-15.02	-14.48	-11.03
Best Period	43.86	76.41	99.73	152.09	236.38	279.88	295.29	383.78	485.85
Worst Period	-36.85	-40.40	-45.03	-51.79	-54.04	-52.29	-35.06	-32.50	-16.98
Standard Deviation	11.62	20.09	24.85	40.22	53.16	61.15	73.66	113.87	144.42
Gain Standard Deviation	7.96	15.48	18.84	34.88	48.83	57.28	71.74	112.40	143.41
Loss Standard Deviation	6.63	8.55	10.73	11.34	12.96	13.63	10.58	8.14	5.20
Sharpe Ratio (1%)	0.14	0.24	0.36	0.48	0.57	0.67	0.91	0.91	1.00
Average Gain / Average Loss	1.26	1.53	1.65	2.42	2.75	3.74	5.25	8.23	14.24
Profit / Loss Ratio	1.47	1.93	2.67	4.26	6.47	10.91	50.37	83.97	303.19
Downside Deviation (10%)	7.24	10.60	12.44	14.96	16.35	15.51	10.50	11.97	10.71
Downside Deviation (5%)	7.07	10.06	11.42	12.85	13.37	11.82	6.39	6.02	3.61
Downside Deviation (0%)	7.02	9.92	11.17	12.34	12.68	11.00	5.59	4.92	2.55
Sortino Ratio (10%)	0.18	0.36	0.55	1.02	1.47	2.13	5.17	7.16	11.39
Sortino Ratio (5%)	0.23	0.48	0.77	1.50	2.25	3.49	10.49	17.15	40.02
Sortino Ratio (0%)	0.25	0.51	0.84	1.64	2.49	3.93	12.53	21.79	58.67

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.

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Commodity Futures Services, LLC : IPATS

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Commodity Futures Services, LLC : IPATS

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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