CP Capital LLC : Commodity Process Strategy

archived programs
Year-to-Date
4.45%
May Performance
-3.63%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
13.80%
Sharpe (RFR=1%)
0.72
CAROR
-
Assets
$ 9.6M
Worst DD
-8.93
S&P Correlation
-0.42

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2020
Commodity Process Strategy -3.63 0.00 -4.45 -3.64 - - - 15.17
S&P 500 0.55 10.31 15.56 42.58 - - - 44.96
+/- S&P 500 -4.18 -10.31 -20.01 -46.22 - - - -29.79

Strategy Description

Summary

CP 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

CP 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 Strategy

CP 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 Management

CP 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.

   

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
-8.93 1 3 3/1/2020 4/1/2020
-6.86 3 - 2/1/2021 5/1/2021
-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
5.94 4 11/1/2020 2/1/2021
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-8.93 1 4/1/2020 4/1/2020
-6.86 3 3/1/2021 5/1/2021
-2.35 2 9/1/2020 10/1/2020
Show More

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.