Demeter Capital Management : Livestock & Grain Trading Program

Year-to-Date
18.86%
Sep Performance
3.10%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.32%
Sharpe (RFR=1%)
0.60
CAROR
11.34%
Assets
$ 17.0M
Worst DD
-20.92
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2010
Livestock & Grain Trading Program 3.10 7.01 18.86 13.55 12.36 48.76 - 125.88
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 - 111.00
+/- S&P 500 1.17 3.05 6.50 -2.46 -15.18 -25.85 - 14.88

Strategy Description

Summary

The Livestock & Grain Trading Program attempts to generate profits through the Advisor's discretionary selection of futures and options trades in these specific agricultural markets (Livestock & Grain). ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$25.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1750 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
20.92%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
15.00%
1-3 Months
35.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
50.00%
Option-purchasing
25.00%
Spreading/hedging
25.00%
Strategy Pie Chart

Composition

Livestock
75.00%
Grains
25.00%
Composition Pie Chart

Summary

The Livestock & Grain Trading Program attempts to generate profits through the Advisor's discretionary selection of futures and options trades in these specific agricultural markets (Livestock & Grain).

Investment Strategy

The Program attempts to generate profits through the Advisor's discretionary selection of futures and options trades in agricultural markets. Trades are selected on the basis of fundamental analysis, which is concerned with any factor that would affect the supply and demand, and therefore the price, of a given instrument. The Advisor's market analysis tends to focus on seasonal trends and year-to-year comparisons. The Advisor absorbs and interprets a wide range of research on a daily basis, employing its principals' combined 40+ years of experience in agricultural futures markets. However, there is no assurance the Program will meet its objectives or that clients will avoid substantial losses.

In keeping with its principals' expertise, the Program is restricted to agricultural markets. The Advisor may trade in futures, and options on futures, in any of the following markets: Lean Hogs, Live Cattle, Feeder Cattle, Corn, Soybeans, Soybean Oil, Soybean Meal, Wheat, Kansas City Wheat, Cotton, and Sugar. The Advisor generally will hold positions from one to five weeks. However, occasionally positions will be offset or liquidated in the same day they were initiated, or held for periods of ten weeks or more.

The Program generally involves trading spreads in the futures, and purchasing options outright. However, the Advisor occasionally may initiate a flat (non-spread) futures position (either long or short). The Advisor seldom sells options (puts or calls) outright to capture premium, except in cases of a call/put spread (buying one strike while selling another strike). The Advisor generally does not attempt to straddle markets to capture premium (selling out of money calls/puts).

Risk Management

The Program generally involves trading spreads in the futures and purchasing options in order to mitigate the risk involved trading commodity options & futures.

   

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
-20.92 1 39 10/1/2010 11/1/2010
-10.39 17 12 1/1/2015 6/1/2016
-9.96 2 2 4/1/2010 6/1/2010
-3.41 3 1 9/1/2014 12/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
62.38 4 7/1/2010 10/1/2010
26.55 9 1/1/2014 9/1/2014
18.58 3 2/1/2011 4/1/2011
18.37 2 6/1/2012 7/1/2012
15.95 2 3/1/2010 4/1/2010
13.61 5 5/1/2017 9/1/2017
8.21 2 6/1/2013 7/1/2013
5.34 3 1/1/2017 3/1/2017
5.20 1 1/1/2015 1/1/2015
4.44 1 12/1/2010 12/1/2010
4.43 1 9/1/2016 9/1/2016
4.20 1 7/1/2016 7/1/2016
2.42 1 10/1/2011 10/1/2011
1.90 2 7/1/2011 8/1/2011
1.81 2 1/1/2013 2/1/2013
1.75 2 12/1/2011 1/1/2012
1.70 1 4/1/2013 4/1/2013
1.65 1 10/1/2012 10/1/2012
1.19 1 9/1/2013 9/1/2013
0.82 1 12/1/2015 12/1/2015
0.77 1 11/1/2014 11/1/2014
0.46 1 3/1/2015 3/1/2015
0.45 1 11/1/2013 11/1/2013
0.10 1 10/1/2015 10/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.92 1 11/1/2010 11/1/2010
-9.96 2 5/1/2010 6/1/2010
-9.66 4 2/1/2012 5/1/2012
-8.63 2 5/1/2011 6/1/2011
-7.17 6 4/1/2015 9/1/2015
-5.75 2 8/1/2012 9/1/2012
-5.58 1 9/1/2011 9/1/2011
-4.83 2 11/1/2012 12/1/2012
-4.47 3 10/1/2016 12/1/2016
-3.88 6 1/1/2016 6/1/2016
-2.78 1 12/1/2014 12/1/2014
-2.68 1 3/1/2013 3/1/2013
-1.41 1 10/1/2014 10/1/2014
-1.37 1 12/1/2013 12/1/2013
-0.88 1 2/1/2015 2/1/2015
-0.87 1 11/1/2011 11/1/2011
-0.68 1 4/1/2017 4/1/2017
-0.52 1 10/1/2013 10/1/2013
-0.39 1 8/1/2013 8/1/2013
-0.16 1 5/1/2013 5/1/2013
-0.13 1 8/1/2016 8/1/2016
-0.10 1 1/1/2011 1/1/2011
-0.06 1 11/1/2015 11/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods91.0089.0086.0080.0074.0068.0056.0044.0032.00
Percent Profitable53.8558.4365.1270.0067.5776.4798.21100.00100.00
Average Period Return1.042.815.399.0911.4414.7225.0437.8643.56
Average Gain3.867.4310.6115.4819.1820.5125.6037.8643.56
Average Loss-2.24-3.67-4.35-5.83-4.68-4.09-5.42
Best Period35.9255.4046.2154.9854.4448.2749.5580.22102.46
Worst Period-20.92-17.49-9.96-17.63-19.41-10.76-5.4216.9110.95
Standard Deviation5.588.7410.5115.2415.5515.4911.9316.6624.96
Gain Standard Deviation5.588.539.3613.6212.8312.9011.2916.6624.96
Loss Standard Deviation3.373.132.634.653.923.39
Sharpe Ratio (1%)0.170.290.470.530.640.821.842.031.54
Average Gain / Average Loss1.722.022.442.654.105.014.72
Profit / Loss Ratio2.012.844.566.198.5516.28259.77
Downside Deviation (10%)2.893.744.336.537.507.623.500.875.32
Downside Deviation (5%)2.763.223.244.504.153.361.13
Downside Deviation (0%)2.733.092.994.053.442.540.72
Sortino Ratio (10%)0.220.420.670.630.510.592.6518.763.00
Sortino Ratio (5%)0.350.801.511.802.403.7819.49
Sortino Ratio (0%)0.380.911.802.243.325.7934.58

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 3.75 6/2017
Agricultural Trader Index Month 8 3.75 6/2017
IASG CTA Index Month 10 3.75 6/2017
Agricultural Trader Index Month 4 2.33 5/2017
Agricultural Trader Index Month 1 4.52 2/2017
Discretionary Trader Index Month 2 4.52 2/2017
IASG CTA Index Month 7 4.52 2/2017
Discretionary Trader Index Month 5 4.43 9/2016
IASG CTA Index Month 8 4.43 9/2016
Agricultural Trader Index Month 2 4.43 9/2016
Agricultural Trader Index Month 2 4.20 7/2016
Discretionary Trader Index Month 6 4.20 7/2016
Agricultural Trader Index Month 9 0.82 12/2015
Agricultural Trader Index Month 10 0.10 10/2015
Agricultural Trader Index Month 3 5.20 1/2015
Agricultural Trader Index Month 9 0.77 11/2014
Agricultural Trader Index Month 7 5.39 7/2014
Discretionary Trader Index Month 10 5.39 7/2014
Agricultural Trader Index Month 8 2.27 5/2014
Agricultural Trader Index Month 3 2.56 3/2014
Agricultural Trader Index Month 1 7.12 2/2014
Discretionary Trader Index Month 5 7.12 2/2014
Agricultural Trader Index Month 6 1.69 1/2014
Agricultural Trader Index Month 9 0.45 11/2013
Agricultural Trader Index Month 10 1.19 9/2013
Agricultural Trader Index Month 6 3.32 7/2013
Agricultural Trader Index Month 4 4.73 6/2013
Agricultural Trader Index Month 9 1.70 4/2013
Agricultural Trader Index Month 6 1.21 1/2013
Agricultural Trader Index Month 5 1.65 10/2012
Discretionary Trader Index Month 7 15.51 7/2012
Agricultural Trader Index Month 6 15.51 7/2012
Agricultural Trader Index Month 8 1.40 1/2012
Agricultural Trader Index Month 8 2.42 10/2011
Agricultural Trader Index Month 9 1.67 7/2011
Agricultural Trader Index Month 8 2.75 4/2011
Agricultural Trader Index Month 4 5.81 3/2011
Discretionary Trader Index Month 9 5.81 3/2011
Agricultural Trader Index Month 4 9.07 2/2011
Discretionary Trader Index Month 5 9.07 2/2011
Agricultural Trader Index Month 9 4.44 12/2010
Agricultural Trader Index Month 2 35.92 10/2010
IASG CTA Index Month 2 35.92 10/2010
Discretionary Trader Index Month 2 35.92 10/2010
Agricultural Trader Index Month 8 6.21 9/2010
Agricultural Trader Index Month 4 7.65 8/2010
Discretionary Trader Index Month 7 7.65 8/2010
Agricultural Trader Index Month 4 4.49 7/2010
Agricultural Trader Index Month 1 11.32 4/2010
Discretionary Trader Index Month 2 11.32 4/2010
IASG CTA Index Month 7 11.32 4/2010

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.