Enduring Investments LLC : Enduring Commodity Alpha

archived programs
Year-to-Date
N / A
Apr Performance
3.32%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
13.52%
Sharpe (RFR=1%)
0.20
CAROR
2.83%
Assets
$ 4.7M
Worst DD
-20.85
S&P Correlation
0.05

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
9/2015
Enduring Commodity Alpha 3.32 - - - 8.16 4.02 - 10.76
S&P 500 3.93 - - - 41.19 54.79 - 68.58
+/- S&P 500 -0.61 - - - -33.04 -50.76 - -57.82

Strategy Description

Summary

The Enduring Commodity Alpha strategy is a market-neutral, commodities-based long/short portfolio that utilizes a unique and proprietary value factor, in conjunction with carry and momentum metrics, to generate strong returns with manageable risk and drawdowns, and moreover essentially... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $3.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 340 RT/YR/$M
Avg. Margin-to-Equity 11%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 4.00%
4-12 Months 22.00%
1-3 Months 74.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
33.00%
Momentum
33.00%
Other
34.00%
Strategy Pie Chart

Composition

Industrial Metals
22.00%
Energy
22.00%
Grains
19.00%
Softs
15.00%
Precious Metals
11.00%
Livestock
11.00%
Composition Pie Chart

Summary

The Enduring Commodity Alpha strategy is a market-neutral, commodities-based long/short portfolio that utilizes a unique and proprietary value factor, in conjunction with carry and momentum metrics, to generate strong returns with manageable risk and drawdowns, and moreover essentially uncorrelated to other asset classes , including commodities, and strategies such as global macro or managed futures. The portfolio is rebalanced monthly by designating a set of “Unloved, Unleashed, or Unlimited” commodities, which are bought, and an offsetting set of “Loved, Leashed, or Limited” commodities, which are shorted.

   

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
-20.85 17 13 2/1/2016 7/1/2017
-18.33 4 - 9/1/2018 1/1/2019
-0.74 1 1 12/1/2015 1/1/2016
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
24.77 7 3/1/2018 9/1/2018
20.27 4 9/1/2015 12/1/2015
7.79 1 11/1/2016 11/1/2016
6.21 2 12/1/2017 1/1/2018
4.61 3 8/1/2017 10/1/2017
3.61 1 2/1/2016 2/1/2016
3.32 1 4/1/2019 4/1/2019
2.72 1 2/1/2019 2/1/2019
2.71 2 6/1/2016 7/1/2016
2.35 2 3/1/2017 4/1/2017
1.69 1 9/1/2016 9/1/2016
0.21 1 12/1/2018 12/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-16.65 2 10/1/2018 11/1/2018
-13.33 3 5/1/2017 7/1/2017
-11.57 3 3/1/2016 5/1/2016
-6.82 3 12/1/2016 2/1/2017
-3.81 1 8/1/2016 8/1/2016
-2.87 1 2/1/2018 2/1/2018
-2.22 1 1/1/2019 1/1/2019
-1.97 1 3/1/2019 3/1/2019
-1.10 1 11/1/2017 11/1/2017
-0.74 1 1/1/2016 1/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable59.0952.3848.7239.3955.5628.57
Average Period Return0.310.670.301.450.45-1.03
Average Gain2.946.609.4411.997.6310.92
Average Loss-3.71-5.85-8.39-5.41-8.53-5.82
Best Period7.7915.0323.6929.1616.7518.63
Worst Period-9.74-16.48-17.76-14.49-19.21-15.53
Standard Deviation3.907.8010.6110.849.619.17
Gain Standard Deviation1.974.246.789.404.336.10
Loss Standard Deviation2.545.084.294.066.034.58
Sharpe Ratio (1%)0.060.05-0.020.04-0.11-0.33
Average Gain / Average Loss0.791.131.132.220.891.88
Profit / Loss Ratio1.211.241.071.441.120.75
Downside Deviation (10%)2.985.968.348.6811.5714.17
Downside Deviation (5%)2.815.427.045.867.727.60
Downside Deviation (0%)2.775.296.725.226.876.18
Sortino Ratio (10%)-0.03-0.09-0.26-0.41-0.62-0.80
Sortino Ratio (5%)0.080.08-0.030.08-0.14-0.40
Sortino Ratio (0%)0.110.130.040.280.07-0.17

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.