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

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Growth of 1,000 - VAMI

Monthly Performance

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%

Composition

Livestock: 75.00%
Grains: 25.00%

Summary

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.

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

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	91.00	89.00	86.00	80.00	74.00	68.00	56.00	44.00	32.00
Percent Profitable	53.85	58.43	65.12	70.00	67.57	76.47	98.21	100.00	100.00
Average Period Return	1.04	2.81	5.39	9.09	11.44	14.72	25.04	37.86	43.56
Average Gain	3.86	7.43	10.61	15.48	19.18	20.51	25.60	37.86	43.56
Average Loss	-2.24	-3.67	-4.35	-5.83	-4.68	-4.09	-5.42
Best Period	35.92	55.40	46.21	54.98	54.44	48.27	49.55	80.22	102.46
Worst Period	-20.92	-17.49	-9.96	-17.63	-19.41	-10.76	-5.42	16.91	10.95
Standard Deviation	5.58	8.74	10.51	15.24	15.55	15.49	11.93	16.66	24.96
Gain Standard Deviation	5.58	8.53	9.36	13.62	12.83	12.90	11.29	16.66	24.96
Loss Standard Deviation	3.37	3.13	2.63	4.65	3.92	3.39
Sharpe Ratio (1%)	0.17	0.29	0.47	0.53	0.64	0.82	1.84	2.03	1.54
Average Gain / Average Loss	1.72	2.02	2.44	2.65	4.10	5.01	4.72
Profit / Loss Ratio	2.01	2.84	4.56	6.19	8.55	16.28	259.77
Downside Deviation (10%)	2.89	3.74	4.33	6.53	7.50	7.62	3.50	0.87	5.32
Downside Deviation (5%)	2.76	3.22	3.24	4.50	4.15	3.36	1.13
Downside Deviation (0%)	2.73	3.09	2.99	4.05	3.44	2.54	0.72
Sortino Ratio (10%)	0.22	0.42	0.67	0.63	0.51	0.59	2.65	18.76	3.00
Sortino Ratio (5%)	0.35	0.80	1.51	1.80	2.40	3.78	19.49
Sortino Ratio (0%)	0.38	0.91	1.80	2.24	3.32	5.79	34.58

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.

^#7

Top Performer

DISCRETIONARY TRADER INDEX

JUNE
2017

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Demeter Capital Management : Livestock & Grain Trading Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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