CP Capital LLC : Commodity Process Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.49% Jan Performance 2.49% Min Investment $ 1,000k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 14.51% Sharpe (RFR=1%) 1.35 CAROR - Assets $ 10.3M Worst DD -8.93 S&P Correlation -0.43 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since1/2020 Commodity Process Strategy 2.49 3.14 2.49 13.93 - - - 23.53 S&P 500 -1.11 13.59 -1.11 15.15 - - - 21.99 +/- S&P 500 3.60 -10.45 3.60 -1.23 - - - 1.54 Strategy Description SummaryCP Capital's Commodity Process Strategy is a diversified rules-based investment strategy to invest in liquid commodity futures. The program is designed to generate absolute returns with low correlation to other commodity products, traditional financial benchmarks and fund strategies.... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 50k CTA Max Funding Factor 3.00 Management Fee 1.50% Performance Fee 20.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 4300 RT/YR/$M Avg. Margin-to-Equity 8% Targeted Worst DD -10.00% Worst Peak-to-Trough 8.93% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 9.00% 1-3 Months 20.00% 1-30 Days 70.00% Intraday 1.00% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Fundamental 60.00% Momentum 10.00% Technical 30.00% Composition Grains 25.00% Energy 20.00% Livestock 15.00% Softs 15.00% Industrial Metals 10.00% Precious Metals 10.00% Stock Indices 5.00% SummaryCP Capital's Commodity Process Strategy is a diversified rules-based investment strategy to invest in liquid commodity futures. The program is designed to generate absolute returns with low correlation to other commodity products, traditional financial benchmarks and fund strategies. The portfolio is managed by two experienced commodity and hedge fund professionals with diverse and complementary skills. The portfolio managers have substantial experience trading and managing risk in a CTA environment.Investment StrategyCP Capital's investment strategy is based upon fundamental research of each commodity that drives the modelling process. The investment managers draw upon an established global network of commodity industry professionals; ranging from producers and consumers to industry consultants and traders. The investment manager utilizes a formalized, proprietary, quantitative analysis to provide scoring for each commodity traded in the program. The scoring is designed to neutralize or enhance bias. The Process Strategy utilizes a proprietary, back-tested technical model for enhanced trade execution. No subjectivity deciding where to enter and exit trades. This discipline also creates better risk management.Risk ManagementCP Capital’s proprietary VaR model is engineered to measure and quantify the level of financial risk of the portfolio. The model uses the exponential historical volatility with a decay factor of .94 and a confidence level of 95%. It is designed to measure each specific commodity independently. The model produces a conservative daily portfolio VaR by cumulating the calculated VaR’s of each instrument without the consideration for correlation. CP Capital wants to limit VaR exposure to 10%. However, during periods of volatility expansion, we want our allocation model to take advantage of these opportunities. 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 -8.93 1 3 3/1/2020 4/1/2020 -2.35 2 1 8/1/2020 10/1/2020 Show More Consecutive Gains Run-up Length (Mos.) Start End 14.58 3 1/1/2020 3/1/2020 14.54 4 5/1/2020 8/1/2020 5.84 3 11/1/2020 1/1/2021 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.93 1 4/1/2020 4/1/2020 -2.35 2 9/1/2020 10/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods13.0011.008.00 Percent Profitable76.9281.82100.00 Average Period Return1.724.478.84 Average Gain3.375.798.84 Average Loss-3.76-1.46 Best Period7.6914.5815.38 Worst Period-8.93-1.813.03 Standard Deviation4.195.504.52 Gain Standard Deviation2.435.194.52 Loss Standard Deviation4.470.49 Sharpe Ratio (1%)0.390.771.85 Average Gain / Average Loss0.893.96 Profit / Loss Ratio2.9817.84 Downside Deviation (10%)2.661.20 Downside Deviation (5%)2.550.74 Downside Deviation (0%)2.520.64 Sortino Ratio (10%)0.492.71 Sortino Ratio (5%)0.645.67 Sortino Ratio (0%)0.686.98 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