Commodity Strategies AG : CSAG Active Long Only Commodity Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since12/1999 CSAG Active Long Only Commodity Program 2.46 - - - - - -12.42 173.17 S&P 500 0.62 - - - - - 70.11 153.00 +/- S&P 500 1.84 - - - - - -82.53 20.17 Strategy Description SummaryCSAG 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% Composition SummaryCSAG 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel