Cypress Capital Management, LLC : Cypress Classic AG Program

archived programs
Year-to-Date
N / A
Aug Performance
0.95%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.87%
Sharpe (RFR=1%)
0.74
CAROR
9.55%
Assets
$ 36.0M
Worst DD
-11.15
S&P Correlation
-0.15

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
Cypress Classic AG Program 0.95 - - - - - 4.07 82.30
S&P 500 1.98 - - - - - 53.52 170.50
+/- S&P 500 -1.03 - - - - - -49.45 -88.19

Strategy Description

Summary

-CCM utilizes a short to medium term technical strategy to trade commodity futures markets on a discretionary basis. The managed futures strategy focuses on the Agricultural Commodity markets (Grains, Livestock, Softs)The strategy is defined... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 15.00%
1-3 Months 80.00%
1-30 Days 0%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Composition

Grains
34.00%
Livestock
33.00%
Softs
33.00%
Composition Pie Chart

Summary

-CCM utilizes a short to medium term technical strategy to trade commodity futures markets on a discretionary basis. The managed futures strategy focuses on the Agricultural Commodity markets (Grains, Livestock, Softs)The strategy is defined as momentum based trend following and seeks to identify and take advantage of the trends found within the underlying longer term trends. The strategy employs several proprietary indicators along with traditional technical analysis (trendlines, pattern identification, etc.)across multiple chart types and timeframes to identify potentially profitable risk/reward opportunities. *** The performance shown from February 2006-December 2008 reflects audited pro forma results from a proprietary account opened and traded by Mr. Brown for the specific purpose of creating a track record for the CTA before the CTA was formed. The Cypress Classic AG program began trading in January 2009 and utilizes the same strategy as Mr. Brown's proprietary account. Although traded as customer money and charged customer fees, the returns in the Cypress Classic program from Jan. 2009- Dec. 2009 must be considered Proprietary since the assets belong to an equity principal of the firm.

Investment Strategy

CCM's Manager: Brooks Brown - Mr. Brown has more than 13 years of experience in the commodity futures business. In 1996, he received his BA in Finance from Southern Methodist University. Mr. Brown started his professional career working in the Eurodollar Options pit at the Chicago Mercantile Exchange and later in the Grain pits of the Chicago Board of Trade. In 1998, he became an analyst at McVean Trading and Investments. While at McVean, Mr. Brown had positions as Soybean Oil and Lean Hog analyst, as well as, Head Technical Analyst/Trader. During this time, he was able to work with and learn from Mr. Charlie McVean and the late Mr. Martin Hilby, to whom he credits a great deal of his underlying trading philosophy.

Risk Management

CCM incorporates strict money management techniques to assess risk on the individual market and portfolio levels while making every effort to maximize reward.

   

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
-11.15 7 4 10/1/2006 5/1/2007
-10.83 15 - 2/1/2011 5/1/2012
-7.22 2 25 6/1/2008 8/1/2008
-4.43 2 1 3/1/2008 5/1/2008
-2.75 1 3 6/1/2006 7/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
62.23 7 9/1/2007 3/1/2008
13.32 6 9/1/2010 2/1/2011
11.02 3 8/1/2006 10/1/2006
9.70 2 6/1/2007 7/1/2007
7.87 1 6/1/2008 6/1/2008
5.40 2 6/1/2010 7/1/2010
4.52 3 9/1/2008 11/1/2008
4.50 5 2/1/2006 6/1/2006
4.22 1 2/1/2007 2/1/2007
2.99 3 6/1/2012 8/1/2012
1.99 1 2/1/2010 2/1/2010
1.90 3 4/1/2009 6/1/2009
1.41 1 2/1/2012 2/1/2012
1.35 1 8/1/2011 8/1/2011
1.32 2 10/1/2009 11/1/2009
1.15 1 12/1/2006 12/1/2006
0.40 1 4/1/2010 4/1/2010
0.35 1 8/1/2009 8/1/2009
0.09 1 1/1/2009 1/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.82 3 3/1/2007 5/1/2007
-7.22 2 7/1/2008 8/1/2008
-5.40 5 9/1/2011 1/1/2012
-4.43 2 4/1/2008 5/1/2008
-4.30 1 1/1/2007 1/1/2007
-4.28 5 3/1/2011 7/1/2011
-4.19 3 3/1/2012 5/1/2012
-3.79 1 8/1/2007 8/1/2007
-3.68 1 5/1/2010 5/1/2010
-2.75 1 7/1/2006 7/1/2006
-1.98 2 2/1/2009 3/1/2009
-1.24 1 11/1/2006 11/1/2006
-1.15 2 12/1/2009 1/1/2010
-0.94 1 7/1/2009 7/1/2009
-0.84 1 3/1/2010 3/1/2010
-0.28 1 9/1/2009 9/1/2009
-0.23 1 8/1/2010 8/1/2010
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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 Profitable56.9658.4460.8170.5980.6598.21100.00100.00
Average Period Return0.822.535.3611.6819.7628.3937.5054.09
Average Gain2.736.0210.9018.0825.3328.9837.5054.09
Average Loss-1.77-2.37-3.24-3.69-3.42-4.14
Best Period11.7334.5761.2265.4971.1770.5771.7592.21
Worst Period-5.38-10.82-10.03-8.61-8.16-4.143.520.69
Standard Deviation3.437.2612.8319.2022.8125.3025.5728.99
Gain Standard Deviation3.227.6213.7819.4821.9625.1425.5728.99
Loss Standard Deviation1.522.132.143.023.14
Sharpe Ratio (1%)0.210.310.380.560.801.041.351.73
Average Gain / Average Loss1.552.543.364.907.417.00
Profit / Loss Ratio2.113.575.2211.7730.88384.94
Downside Deviation (10%)1.712.703.855.135.253.804.887.07
Downside Deviation (5%)1.542.162.693.002.540.850.60
Downside Deviation (0%)1.502.042.422.562.000.55
Sortino Ratio (10%)0.240.480.751.302.324.774.454.60
Sortino Ratio (5%)0.481.061.813.557.2030.8883.87
Sortino Ratio (0%)0.551.242.214.569.8751.31

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.