Commodity Strategies AG : CSAG Active Long Short Commodity Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since10/2007 CSAG Active Long Short Commodity Program 2.53 - - - - - -19.88 35.93 S&P 500 0.62 - - - - - 70.11 139.92 +/- S&P 500 1.91 - - - - - -89.99 -103.98 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% Composition 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel