Commodity Strategies AG : CSAG Active Long Only Commodity Program

archived programs
Year-to-Date
N / A
Apr Performance
2.46%
Min Investment
$(AUD) 5,000k
Mgmt. Fee
1.20%
Perf. Fee
0%
Annualized Vol
12.92%
Sharpe (RFR=1%)
0.53
CAROR
7.22%
Assets
$(AUD) 21.0M
Worst DD
-22.23
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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/1999
CSAG Active Long Only Commodity Program 2.46 1.54 - -1.96 -14.14 7.60 69.93 173.17
S&P 500 0.62 5.69 - 17.93 38.13 115.81 70.11 30.90
+/- S&P 500 1.84 -4.15 - -19.89 -52.27 -108.21 -0.18 142.27

Strategy Description

Summary

CSAG is systematic and technical in nature, fully automated for daily trading with low average turnover based on market data. Long positions are established for commodities with a yield greater than cash, and can be held for any length of time. Where yield is low, allocation is to... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$(AUD) 5,000k
Trading Level Incremental Increase
$(AUD) 0k
CTA Max Funding Factor
Management Fee
1.20%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
116 RT/YR/$M
Avg. Margin-to-Equity
4%
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
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Summary

CSAG is systematic and technical in nature, fully automated for daily trading with low average turnover based on market data. Long positions are established for commodities with a yield greater than cash, and can be held for any length of time. Where yield is low, allocation is to cash with rebalancing based on position size and market conditions. We use a systematic approach to position entry/exit, with use of synthetic options. We actively manage positions in commodities only, there are no equities held and we do not use any cash enhancements. Pooled vehicles or separate accounts are available.

   

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
-22.23 33 - 4/1/2011 1/1/2014
-18.74 10 7 6/1/2008 4/1/2009
-13.51 11 14 12/1/2000 11/1/2001
-13.48 4 8 2/1/2003 6/1/2003
-10.03 8 4 12/1/2009 8/1/2010
-9.75 8 8 5/1/2006 1/1/2007
-5.56 2 3 10/1/2004 12/1/2004
-5.38 1 2 2/1/2008 3/1/2008
-5.32 2 3 3/1/2005 5/1/2005
-4.06 1 2 1/1/2006 2/1/2006
-3.59 1 3 5/1/2004 6/1/2004
-3.20 1 3 9/1/2005 10/1/2005
-2.64 1 1 6/1/2000 7/1/2000
-0.99 1 1 2/1/2011 3/1/2011
-0.83 1 1 10/1/2007 11/1/2007
-0.82 1 1 3/1/2000 4/1/2000
-0.69 1 1 1/1/2000 2/1/2000
-0.41 1 1 3/1/2004 4/1/2004
-0.41 2 1 8/1/2000 10/1/2000
-0.30 1 1 1/1/0001 12/1/1999
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Consecutive Gains

Run-up Length (Mos.) Start End
26.10 6 9/1/2010 2/1/2011
25.52 3 12/1/2007 2/1/2008
24.31 4 11/1/2002 2/1/2003
15.29 4 12/1/2003 3/1/2004
15.03 2 9/1/2007 10/1/2007
11.57 1 5/1/2009 5/1/2009
11.39 4 6/1/2005 9/1/2005
11.32 2 5/1/2000 6/1/2000
11.27 3 4/1/2008 6/1/2008
10.28 6 2/1/2007 7/1/2007
9.38 3 10/1/2009 12/1/2009
8.43 3 11/1/2005 1/1/2006
8.07 2 11/1/2000 12/1/2000
7.94 2 7/1/2009 8/1/2009
7.65 4 6/1/2012 9/1/2012
7.58 4 6/1/2002 9/1/2002
7.54 2 9/1/2004 10/1/2004
7.26 2 3/1/2002 4/1/2002
6.73 3 3/1/2006 5/1/2006
6.31 3 1/1/2005 3/1/2005
5.99 1 8/1/2000 8/1/2000
5.10 2 10/1/2006 11/1/2006
5.02 3 2/1/2010 4/1/2010
3.54 1 1/1/2000 1/1/2000
3.33 1 10/1/2003 10/1/2003
3.32 2 1/1/2012 2/1/2012
3.31 1 7/1/2004 7/1/2004
3.25 1 4/1/2011 4/1/2011
2.65 1 2/1/2014 2/1/2014
2.50 1 10/1/2011 10/1/2011
2.46 1 4/1/2014 4/1/2014
2.42 2 7/1/2003 8/1/2003
2.17 1 7/1/2011 7/1/2011
1.78 1 1/1/2013 1/1/2013
1.47 1 5/1/2004 5/1/2004
1.13 1 5/1/2003 5/1/2003
1.06 1 3/1/2000 3/1/2000
1.05 1 12/1/2001 12/1/2001
1.03 1 11/1/2012 11/1/2012
1.00 2 7/1/2013 8/1/2013
0.98 1 8/1/2001 8/1/2001
0.23 1 3/1/2009 3/1/2009
0.19 1 7/1/2006 7/1/2006
0.01 1 1/1/2009 1/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.31 6 7/1/2008 12/1/2008
-12.76 2 3/1/2003 4/1/2003
-11.65 7 1/1/2001 7/1/2001
-9.29 2 5/1/2011 6/1/2011
-9.26 4 5/1/2010 8/1/2010
-8.58 2 8/1/2011 9/1/2011
-6.50 2 12/1/2006 1/1/2007
-6.38 3 3/1/2012 5/1/2012
-6.34 5 9/1/2013 1/1/2014
-6.26 2 8/1/2006 9/1/2006
-5.72 5 2/1/2013 6/1/2013
-5.59 1 1/1/2010 1/1/2010
-5.56 2 11/1/2004 12/1/2004
-5.38 1 3/1/2008 3/1/2008
-5.32 2 4/1/2005 5/1/2005
-4.06 1 2/1/2006 2/1/2006
-3.98 1 10/1/2012 10/1/2012
-3.59 1 6/1/2004 6/1/2004
-3.20 1 10/1/2005 10/1/2005
-3.10 1 8/1/2007 8/1/2007
-3.06 3 9/1/2001 11/1/2001
-2.64 1 7/1/2000 7/1/2000
-2.26 1 5/1/2002 5/1/2002
-2.21 1 6/1/2006 6/1/2006
-1.94 1 6/1/2003 6/1/2003
-1.73 1 6/1/2009 6/1/2009
-1.70 1 8/1/2004 8/1/2004
-1.69 1 12/1/2012 12/1/2012
-1.43 1 10/1/2002 10/1/2002
-1.35 1 9/1/2009 9/1/2009
-1.15 1 9/1/2003 9/1/2003
-0.99 1 3/1/2011 3/1/2011
-0.90 1 3/1/2014 3/1/2014
-0.83 1 11/1/2007 11/1/2007
-0.82 1 4/1/2000 4/1/2000
-0.69 1 2/1/2000 2/1/2000
-0.67 1 4/1/2009 4/1/2009
-0.66 2 11/1/2011 12/1/2011
-0.41 1 4/1/2004 4/1/2004
-0.41 2 9/1/2000 10/1/2000
-0.33 2 1/1/2002 2/1/2002
-0.32 1 11/1/2003 11/1/2003
-0.30 1 12/1/1999 12/1/1999
-0.09 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods173.00171.00168.00162.00156.00150.00138.00126.00114.00
Percent Profitable53.7659.0660.7168.5279.4986.0092.0394.4499.12
Average Period Return0.651.933.937.7611.6816.7428.6041.8755.67
Average Gain3.065.839.6613.9916.2920.8431.9544.6556.17
Average Loss-2.15-3.70-4.94-5.79-6.17-8.47-10.08-5.38-1.05
Best Period14.8225.5243.1848.3657.9548.6772.2983.89111.64
Worst Period-12.80-17.11-18.31-14.07-13.74-17.17-18.94-8.62-1.05
Standard Deviation3.736.309.5912.7313.0615.3018.4720.9120.78
Gain Standard Deviation2.884.857.5910.2810.3912.1814.9817.9720.16
Loss Standard Deviation2.423.033.933.983.244.297.632.23
Sharpe Ratio (1%)0.150.270.360.530.780.961.381.812.43
Average Gain / Average Loss1.421.571.962.422.642.463.178.3053.29
Profit / Loss Ratio1.652.273.025.2610.2315.1336.61141.086022.27
Downside Deviation (10%)2.393.705.276.566.637.598.117.595.65
Downside Deviation (5%)2.233.184.194.413.774.234.232.300.58
Downside Deviation (0%)2.193.053.943.933.153.533.511.360.10
Sortino Ratio (10%)0.100.190.280.420.620.861.582.684.96
Sortino Ratio (5%)0.250.530.821.532.703.486.0416.4187.40
Sortino Ratio (0%)0.300.631.001.973.714.748.1530.83563.94

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.