Five Star Commodities & Options : Agricultural Spread Program

archived programs
Year-to-Date
N / A
Feb Performance
5.55%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
121.88%
Sharpe (RFR=1%)
0.87
CAROR
-
Assets
$ 158k
Worst DD
-50.86
S&P Correlation
0.37

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
3/2015
Agricultural Spread Program 5.55 - - - - 104.50 - 56.67
S&P 500 -0.41 - - - - 45.56 - 67.55
+/- S&P 500 5.96 - - - - 58.94 - -10.88

Strategy Description

Summary

This trading program primarily utilizes option spreads primarily in the agricultural markets. The Agricultural Spread Program typically utilizes credit spreads in the soybean markets. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $7.00
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 9900 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 90.00%
Systematic 10.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

This trading program primarily utilizes option spreads primarily in the agricultural markets. The Agricultural Spread Program typically utilizes credit spreads in the soybean markets.

   

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:
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Average Gain:
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Risk
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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
-50.86 1 4 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
104.50 6 9/1/2015 2/1/2016
97.91 1 7/1/2015 7/1/2015
9.94 3 3/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-50.86 1 6/1/2015 6/1/2015
-28.35 1 8/1/2015 8/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable83.3380.0085.71
Average Period Return8.8817.8641.77
Average Gain18.5831.9352.63
Average Loss-39.61-38.40-23.39
Best Period97.9186.88148.03
Worst Period-50.86-46.49-23.39
Standard Deviation35.1839.1461.88
Gain Standard Deviation29.2928.6460.03
Loss Standard Deviation15.9211.43
Sharpe Ratio (1%)0.250.450.67
Average Gain / Average Loss0.470.832.25
Profit / Loss Ratio2.353.3313.50
Downside Deviation (10%)16.9718.099.82
Downside Deviation (5%)16.8417.669.03
Downside Deviation (0%)16.8117.558.84
Sortino Ratio (10%)0.500.924.00
Sortino Ratio (5%)0.521.004.57
Sortino Ratio (0%)0.531.024.72

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.