Demeter Capital Management : Livestock & Grain Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 21.26% Sep Performance -0.91% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 17.27% Sharpe (RFR=1%) 0.51 CAROR 8.83% Assets $ 20.5M Worst DD -20.92 S&P Correlation 0.15 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since3/2010 Livestock & Grain Trading Program -0.91 -2.74 21.26 19.64 8.46 29.74 96.41 144.98 S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 191.64 184.60 +/- S&P 500 3.01 -11.21 17.17 6.67 -23.88 -43.63 -95.23 -39.63 Strategy Description SummaryThe 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% Composition Livestock 75.00% Grains 25.00% SummaryThe 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 StrategyThe 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 ManagementThe Program generally involves trading spreads in the futures and purchasing options in order to mitigate the risk involved trading commodity options & futures. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -13.99 15 3 10/1/2018 1/1/2020 -10.39 17 12 1/1/2015 6/1/2016 -9.96 2 2 4/1/2010 6/1/2010 -5.01 3 6 9/1/2017 12/1/2017 -3.41 3 1 9/1/2014 12/1/2014 -2.74 3 - 6/1/2020 9/1/2020 -0.61 1 1 8/1/2018 9/1/2018 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 24.93 5 2/1/2020 6/1/2020 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 6.64 5 4/1/2018 8/1/2018 6.58 1 3/1/2019 3/1/2019 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 3.30 2 1/1/2018 2/1/2018 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 1.15 1 9/1/2019 9/1/2019 0.83 1 11/1/2019 11/1/2019 0.82 1 12/1/2015 12/1/2015 0.78 1 10/1/2018 10/1/2018 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 -12.70 5 4/1/2019 8/1/2019 -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 -7.19 4 11/1/2018 2/1/2019 -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 -5.01 3 10/1/2017 12/1/2017 -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 -2.74 3 7/1/2020 9/1/2020 -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 -1.20 2 12/1/2019 1/1/2020 -1.16 1 10/1/2019 10/1/2019 -0.99 1 3/1/2018 3/1/2018 -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 -0.61 1 9/1/2018 9/1/2018 -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 Periods127.00125.00122.00116.00110.00104.0092.0080.0068.00 Percent Profitable51.1857.6063.9368.9768.1876.9298.91100.0097.06 Average Period Return0.822.334.667.509.6912.8820.5129.3635.65 Average Gain3.566.739.9913.8916.7818.2820.8029.3636.75 Average Loss-2.04-3.65-4.79-6.69-5.49-5.11-5.42-0.65 Best Period35.9255.4046.2154.9854.4448.2749.5580.22102.46 Worst Period-20.92-17.49-11.69-17.63-19.41-10.76-5.424.66-1.30 Standard Deviation4.998.1610.2514.0514.2914.1511.6617.0122.64 Gain Standard Deviation5.077.948.9812.0111.5211.4111.4017.0122.05 Loss Standard Deviation2.843.072.874.764.193.230.91 Sharpe Ratio (1%)0.150.260.410.460.570.771.501.491.35 Average Gain / Average Loss1.741.842.082.083.063.583.8456.22 Profit / Loss Ratio1.832.513.694.616.5511.93349.251855.29 Downside Deviation (10%)2.613.754.717.097.927.964.715.8210.00 Downside Deviation (5%)2.473.223.615.024.583.740.891.25 Downside Deviation (0%)2.433.093.344.553.872.890.560.16 Sortino Ratio (10%)0.160.290.460.350.260.331.011.340.80 Sortino Ratio (5%)0.300.651.151.291.792.9019.6724.43 Sortino Ratio (0%)0.340.751.391.652.504.4636.31226.84 Top Performer Badges Index Award Type Rank Performance Period Agricultural Trader Index Month 3 3.44 6/2020 Discretionary Trader Index Month 4 3.44 6/2020 Agricultural Trader Index Month 6 1.38 5/2020 IASG CTA Index Month 8 7.30 4/2020 Discretionary Trader Index Month 4 7.30 4/2020 Agricultural Trader Index Month 1 7.30 4/2020 Agricultural Trader Index Month 1 7.30 4/2020 Discretionary Trader Index Month 4 7.30 4/2020 IASG CTA Index Month 8 7.30 4/2020 Discretionary Trader Index Month 6 10.57 3/2020 Agricultural Trader Index Month 2 10.57 3/2020 Agricultural Trader Index Month 7 0.41 2/2020 Agricultural Trader Index Month 4 0.83 11/2019 Agricultural Trader Index Month 10 1.15 9/2019 Discretionary Trader Index Month 4 6.58 3/2019 Agricultural Trader Index Month 1 6.58 3/2019 Agricultural Trader Index Month 7 0.78 10/2018 Agricultural Trader Index Month 7 0.87 8/2018 Agricultural Trader Index Month 5 2.54 7/2018 Discretionary Trader Index Month 9 2.54 7/2018 Agricultural Trader Index Month 5 1.91 6/2018 Agricultural Trader Index Month 7 0.95 5/2018 Agricultural Trader Index Month 10 0.67 2/2018 Agricultural Trader Index Month 4 2.61 1/2018 Agricultural Trader Index Month 3 3.10 9/2017 IASG CTA Index Month 9 3.10 9/2017 Discretionary Trader Index Month 7 3.10 9/2017 Agricultural Trader Index Month 5 1.25 8/2017 Agricultural Trader Index Month 4 2.51 7/2017 Discretionary Trader Index Month 6 2.51 7/2017 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 IASG CTA Index Month 8 4.43 9/2016 Agricultural Trader Index Month 2 4.43 9/2016 Discretionary Trader Index Month 5 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 Agricultural Trader Index Month 6 15.51 7/2012 Discretionary Trader Index Month 7 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 Discretionary Trader Index Month 9 5.81 3/2011 Agricultural Trader Index Month 4 5.81 3/2011 Discretionary Trader Index Month 5 9.07 2/2011 Agricultural Trader Index Month 4 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 Discretionary Trader Index Month 7 7.65 8/2010 Agricultural Trader Index Month 4 7.65 8/2010 Agricultural Trader Index Month 4 4.49 7/2010 Discretionary Trader Index Month 2 11.32 4/2010 Agricultural Trader Index Month 1 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. x {{title}} x {{title}} Add Cancel