Darewind, LLC : Darewind Commodities Strategy (Prop)

archived programs
Year-to-Date
N / A
Feb Performance
-10.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
67.32%
Sharpe (RFR=1%)
0.89
CAROR
48.99%
Assets
$ 105k
Worst DD
-45.86
S&P Correlation
0.24

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
9/2005
Darewind Commodities Strategy (Prop) -10.17 - - - - - 68.81 796.28
S&P 500 3.20 - - - - - 7.04 181.91
+/- S&P 500 -13.37 - - - - - 61.77 614.37

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 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 20.00%
4-12 Months 70.00%
1-3 Months 10.00%
1-30 Days
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
-45.86 6 5 2/1/2010 8/1/2010
-45.14 3 2 6/1/2006 9/1/2006
-37.95 12 6 2/1/2008 2/1/2009
-28.12 1 1 11/1/2006 12/1/2006
-15.97 3 2 1/1/0001 11/1/2005
-10.28 2 2 8/1/2009 10/1/2009
-10.17 1 - 1/1/2011 2/1/2011
-9.30 2 1 9/1/2007 11/1/2007
-9.26 1 4 2/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
164.96 3 12/1/2007 2/1/2008
110.73 3 7/1/2007 9/1/2007
83.94 7 12/1/2005 6/1/2006
82.67 2 10/1/2006 11/1/2006
67.57 2 9/1/2010 10/1/2010
60.81 3 3/1/2009 5/1/2009
55.56 2 1/1/2007 2/1/2007
32.76 2 7/1/2009 8/1/2009
26.31 4 11/1/2009 2/1/2010
26.01 2 12/1/2010 1/1/2011
21.93 1 6/1/2008 6/1/2008
19.89 1 7/1/2010 7/1/2010
1.38 1 1/1/2009 1/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-45.14 3 7/1/2006 9/1/2006
-41.92 4 3/1/2010 6/1/2010
-28.55 3 3/1/2008 5/1/2008
-28.12 1 12/1/2006 12/1/2006
-27.78 6 7/1/2008 12/1/2008
-22.24 1 8/1/2010 8/1/2010
-17.92 1 6/1/2009 6/1/2009
-15.97 3 9/1/2005 11/1/2005
-11.00 1 11/1/2010 11/1/2010
-10.28 2 9/1/2009 10/1/2009
-10.17 1 2/1/2011 2/1/2011
-9.30 2 10/1/2007 11/1/2007
-9.26 4 3/1/2007 6/1/2007
-2.72 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00
Percent Profitable50.0065.6372.1378.1897.9695.35100.00100.00
Average Period Return5.0716.3134.1274.52137.78214.81385.31596.19
Average Gain19.2033.7957.1199.66140.65226.23385.31596.19
Average Loss-9.98-17.87-25.38-15.56-0.29-19.38
Best Period60.97164.96268.10359.50763.29635.14898.80925.16
Worst Period-29.70-45.14-45.86-38.65-0.29-20.8912.62268.45
Standard Deviation19.4336.2257.16106.36162.34161.05211.92183.42
Gain Standard Deviation16.4731.7450.72107.43162.79156.07211.92183.42
Loss Standard Deviation9.1013.6811.1212.002.15
Sharpe Ratio (1%)0.260.440.590.690.841.321.803.23
Average Gain / Average Loss1.921.892.256.40479.5511.68
Profit / Loss Ratio2.123.785.8222.9523018.20239.35
Downside Deviation (10%)9.2413.3515.7711.031.266.550.56
Downside Deviation (5%)9.0812.8914.809.410.264.63
Downside Deviation (0%)9.0312.7814.569.030.044.19
Sortino Ratio (10%)0.501.132.016.30102.9431.24654.27
Sortino Ratio (5%)0.551.252.277.81530.8246.01
Sortino Ratio (0%)0.561.282.348.253288.1751.25

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.