Commodity Strategies AG : CSAG Active Long Short Commodity Program

archived programs
Year-to-Date
N / A
Apr Performance
2.53%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
17.34%
Sharpe (RFR=1%)
0.30
CAROR
4.77%
Assets
$ 39.0M
Worst DD
-29.34
S&P Correlation
0.16

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
10/2007
CSAG Active Long Short Commodity Program 2.53 0.82 - -7.43 -17.92 -5.49 - 35.93
S&P 500 0.62 5.69 - 17.93 38.13 115.81 - 24.13
+/- S&P 500 1.91 -4.87 - -25.36 -56.05 -121.30 - 11.80

Strategy Description

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
15.00%
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
QEP
Lock-up Period
0

Trading

Trading Frequency
230 RT/YR/$M
Avg. Margin-to-Equity
6%
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

   

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
-29.34 35 - 4/1/2011 3/1/2014
-17.64 8 4 12/1/2009 8/1/2010
-17.14 2 9 6/1/2008 8/1/2008
-6.03 1 2 2/1/2008 3/1/2008
-4.22 1 1 5/1/2009 6/1/2009
-3.55 1 1 8/1/2009 9/1/2009
-2.92 1 1 10/1/2007 11/1/2007
-2.24 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
37.20 6 9/1/2010 2/1/2011
24.44 3 12/1/2007 2/1/2008
14.73 3 4/1/2008 6/1/2008
12.81 1 5/1/2009 5/1/2009
11.54 2 9/1/2008 10/1/2008
11.54 3 10/1/2009 12/1/2009
8.76 2 7/1/2009 8/1/2009
8.49 1 10/1/2007 10/1/2007
8.00 3 7/1/2012 9/1/2012
7.18 3 2/1/2010 4/1/2010
6.80 4 11/1/2011 2/1/2012
5.37 1 4/1/2011 4/1/2011
2.99 1 7/1/2011 7/1/2011
2.53 1 4/1/2014 4/1/2014
1.94 1 1/1/2013 1/1/2013
1.25 1 2/1/2014 2/1/2014
1.20 1 11/1/2012 11/1/2012
1.06 2 12/1/2008 1/1/2009
0.90 1 5/1/2013 5/1/2013
0.02 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.83 2 5/1/2011 6/1/2011
-17.14 2 7/1/2008 8/1/2008
-15.23 4 5/1/2010 8/1/2010
-9.35 1 1/1/2010 1/1/2010
-9.33 6 8/1/2013 1/1/2014
-6.93 3 8/1/2011 10/1/2011
-6.64 3 2/1/2013 4/1/2013
-6.03 1 3/1/2008 3/1/2008
-5.48 1 10/1/2012 10/1/2012
-4.35 4 3/1/2012 6/1/2012
-4.22 1 6/1/2009 6/1/2009
-3.55 1 9/1/2009 9/1/2009
-3.38 3 2/1/2009 4/1/2009
-2.92 1 11/1/2007 11/1/2007
-2.24 1 3/1/2011 3/1/2011
-1.94 1 12/1/2012 12/1/2012
-1.67 1 3/1/2014 3/1/2014
-0.02 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable51.9050.6547.3052.9456.4560.7172.7368.75
Average Period Return0.511.342.273.555.518.0012.0113.20
Average Gain3.948.1012.1113.4915.7019.5421.6823.24
Average Loss-3.27-5.60-6.56-7.63-7.69-9.84-13.78-8.91
Best Period16.0624.4437.2027.9736.5651.5154.2953.83
Worst Period-13.23-15.37-21.24-17.95-18.68-22.43-27.55-15.61
Standard Deviation5.018.5412.1012.6614.0218.8721.7119.01
Gain Standard Deviation3.675.7710.058.509.2315.0216.2913.51
Loss Standard Deviation3.354.264.654.615.395.389.815.37
Sharpe Ratio (1%)0.090.130.150.200.290.320.410.48
Average Gain / Average Loss1.201.451.851.772.041.991.572.61
Profit / Loss Ratio1.331.481.661.992.653.074.195.74
Downside Deviation (10%)3.385.637.369.2710.8013.3116.9318.32
Downside Deviation (5%)3.225.066.116.697.008.1310.077.80
Downside Deviation (0%)3.184.925.816.096.166.998.715.74
Sortino Ratio (10%)0.030.02-0.03-0.16-0.19-0.17-0.22-0.46
Sortino Ratio (5%)0.130.210.290.380.570.740.891.17
Sortino Ratio (0%)0.160.270.390.580.901.141.382.30

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 5.47 10/2009
Diversified Trader Index Month 8 5.47 10/2009
Systematic Trader Index Month 4 7.78 7/2009
Diversified Trader Index Month 4 7.78 7/2009
IASG CTA Index Month 5 7.78 7/2009
Diversified Trader Index Month 4 6.11 4/2008
IASG CTA Index Month 9 6.11 4/2008
Systematic Trader Index Month 6 6.11 4/2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.