Commodity Strategies AG : CSAG Active Long Only Commodity Program

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

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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	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

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

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.

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	173.00	171.00	168.00	162.00	156.00	150.00	138.00	126.00	114.00
Percent Profitable	53.76	59.06	60.71	68.52	79.49	86.00	92.03	94.44	99.12
Average Period Return	0.65	1.93	3.93	7.76	11.68	16.74	28.60	41.87	55.67
Average Gain	3.06	5.83	9.66	13.99	16.29	20.84	31.95	44.65	56.17
Average Loss	-2.15	-3.70	-4.94	-5.79	-6.17	-8.47	-10.08	-5.38	-1.05
Best Period	14.82	25.52	43.18	48.36	57.95	48.67	72.29	83.89	111.64
Worst Period	-12.80	-17.11	-18.31	-14.07	-13.74	-17.17	-18.94	-8.62	-1.05
Standard Deviation	3.73	6.30	9.59	12.73	13.06	15.30	18.47	20.91	20.78
Gain Standard Deviation	2.88	4.85	7.59	10.28	10.39	12.18	14.98	17.97	20.16
Loss Standard Deviation	2.42	3.03	3.93	3.98	3.24	4.29	7.63	2.23
Sharpe Ratio (1%)	0.15	0.27	0.36	0.53	0.78	0.96	1.38	1.81	2.43
Average Gain / Average Loss	1.42	1.57	1.96	2.42	2.64	2.46	3.17	8.30	53.29
Profit / Loss Ratio	1.65	2.27	3.02	5.26	10.23	15.13	36.61	141.08	6022.27
Downside Deviation (10%)	2.39	3.70	5.27	6.56	6.63	7.59	8.11	7.59	5.65
Downside Deviation (5%)	2.23	3.18	4.19	4.41	3.77	4.23	4.23	2.30	0.58
Downside Deviation (0%)	2.19	3.05	3.94	3.93	3.15	3.53	3.51	1.36	0.10
Sortino Ratio (10%)	0.10	0.19	0.28	0.42	0.62	0.86	1.58	2.68	4.96
Sortino Ratio (5%)	0.25	0.53	0.82	1.53	2.70	3.48	6.04	16.41	87.40
Sortino Ratio (0%)	0.30	0.63	1.00	1.97	3.71	4.74	8.15	30.83	563.94

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.

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Commodity Strategies AG : CSAG Active Long Only Commodity Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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