Darewind, LLC : Darewind Commodities Strategy (Client)

archived programs
Year-to-Date
N / A
Feb Performance
-8.15%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
36.03%
Sharpe (RFR=1%)
0.89
CAROR
-
Assets
$ 117k
Worst DD
-9.46
S&P Correlation
0.33

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
Darewind Commodities Strategy (Client) -8.15 - - - - - 17.47 17.45
S&P 500 3.20 - - - - - 7.04 230.13
+/- S&P 500 -11.35 - - - - - 10.44 -212.68

Strategy Description

Summary

The strategy primarily trades commodities utilizing an entirely discretionary approach and relies on the principal's fundamental research involving the examination of underlying economic, political, financial, and other various qualitative and quantitative factors.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
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 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Softs
40.00%
Grains
30.00%
Currency Futures
10.00%
Precious Metals
10.00%
Energy
10.00%
Composition Pie Chart

Summary

The strategy primarily trades commodities utilizing an entirely discretionary approach and relies on the principal's fundamental research involving the examination of underlying economic, political, financial, and other various qualitative and quantitative factors.

Investment Strategy

Fundamentals-based futures trading strategy that has been designed with the objective of producing relatively high returns, while maintaining strict leverage limits, managing overall account liquidity, and continuously monitoring overall position and portfolio risk.Only exchange-traded products are employed to minimize liquidity and counter-party risks. Finally, the strategy seeks out medium to long-term opportunities thus gives up relatively little in transaction costs.

Risk Management

For each position being managed Darewind will assign a profit and loss probability to assist with exit and entry points on a real time basis. Additionally, in the event an account’s margin to equity level exceeds that which is allowable under the Darewind Commodity Strategy the position will be liquidated.

   

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
-9.46 1 1 10/1/2010 11/1/2010
-8.15 1 - 1/1/2011 2/1/2011
-0.19 2 1 1/1/0001 9/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
19.80 2 12/1/2010 1/1/2011
18.12 1 10/1/2010 10/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.46 1 11/1/2010 11/1/2010
-8.15 1 2/1/2011 2/1/2011
-0.19 2 8/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable42.86100.00
Average Period Return2.7712.98
Average Gain12.4012.98
Average Loss-4.45
Best Period18.1221.73
Worst Period-9.466.76
Standard Deviation10.406.49
Gain Standard Deviation6.556.49
Loss Standard Deviation5.06
Sharpe Ratio (1%)0.261.96
Average Gain / Average Loss2.79
Profit / Loss Ratio2.09
Downside Deviation (10%)4.94
Downside Deviation (5%)4.76
Downside Deviation (0%)4.72
Sortino Ratio (10%)0.48
Sortino Ratio (5%)0.56
Sortino Ratio (0%)0.59

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.