Forecast Trading Group : Forecast Program

archived programs
Year-to-Date
N / A
Apr Performance
-2.13%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
31.47%
Sharpe (RFR=1%)
0.68
CAROR
19.54%
Assets
$ 1.0M
Worst DD
-35.41
S&P Correlation
0.01

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
12/1999
Forecast Program -2.13 - - - - - 20.10 995.86
S&P 500 1.81 - - - - - 74.20 135.78
+/- S&P 500 -3.94 - - - - - -54.11 860.08

Strategy Description

Summary

Forecast Trading Group, LLC (FORECAST), is a Commodity Trading Advisor specializing in trading weather-related commodity products. Mr. Brunn is a registered Principal and Associated Person of James Brunn Associates, Inc. since November 1996. Mr. Brunn's career has spanned over 20... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 6500 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Grains
45.00%
Energy
40.00%
Softs
15.00%
Composition Pie Chart

Summary

Forecast Trading Group, LLC (FORECAST), is a Commodity Trading Advisor specializing in trading weather-related commodity products. Mr. Brunn is a registered Principal and Associated Person of James Brunn Associates, Inc. since November 1996. Mr. Brunn's career has spanned over 20 years in senior management in foreign exchange, including Chief Dealer of Royal Bank of Scotland, CIC, Banque Francaise du Commerce Exterieur (BFCE), and developed a proprietary trading desk at Standard Chartered Bank. Mr. Brunn was responsible for the supervision and risk management administration of other traders employed at the banks, including an option desk. He was responsible for strategic trading for the bank and strengthened his risk management procedures that he utilizes today within FORECAST. Mr. Brunn began his career at Lloyds Bank Plc. (Oct. 1978 to May 1985) where he established the EMS trading desk. In that position, he was also responsible for the spot and forward books of numerous European and commonwealth currencies. While at Lloyds, he spent time on the floor of the New York Futures Exchange, as a registered floor broker. FORECAST uses short to intermediate term positions to benefit from price movements in markets such as natural gas, coffee, soybeans, sugar and many other weather sensitive commodities. Looking at what "history has to say" is also extremely important. For example, Hurricane Michelle hit Cuba in November 2001, causing billions of dollars of damage to crops and homes. The last time this happened was during the fall of 1984 when sugar prices soared in November. While many traders were short sugar and felt that the world had enough to go around, FORECAST was aware that A) There was a heavy net short position of funds in the market who might have to liquidate these positions; B) That world buyers of sugar depend more on Cuba's shipments during the late fall and early winter; C) The technical nature of the market might create a short squeeze. Sugar prices rose 12% in Michelle's aftermath.. There are two primary trading seasons, each encompassing specific markets where weather is a key factor. Grain, coffee and cotton markets are traded May through August. Energy complex and tangible commodities, such as orange juice, are traded between November and March. This does not however, preclude trading these markets during other months. Being able to access these markets in other parts of the world, gives FORECAST another huge advantage, since many countries outside of the U.S. are not sophisticated enough to understand how weather works. In addition, there are weather maps coming out all the time and if there is a change in the forecast, FORECAST can get a jump on the competition before our markets open in the U.S. FORECAST's trading approach also includes seasonal "neutral modes" which may indicate that no position is appropriate in a particular contract or contract group in an attempt to preserve capital. Position size is a dynamic function of volatility and price trend of each market and may vary significantly from one trade to the next within each market. The trading program is diverse and invests in both futures and option contracts. Options are frequently used to take advantage of intermediate term price movements. Option contracts are predominately purchased (not sold), so that the level of risk is clearly defined at the onset of the trade. For example, solar cycles and sea surface temperatures may give clues to longer-term implications for freezes and droughts in certain parts of the world. Instead of jumping head-first into a futures position, FORECAST may determine that cheap out of the money call or put options have huge potential, with limited risk, especially if a major weather development does result in a sudden spike in prices. Trading options allows "more staying power" in situations where we are "too smart" and know something that the market does not yet know.

Investment Strategy

FORECAST utilizes scientific and quantitative analysis of weather forecasting to implement trading decisions and technical analysis is applied to establish entry and exit points. FORECAST has a full-time Analyst on staff and subscribes to the weather- and crop-forecasting services of several top U.S. meteorologists and agronomists, covering North American and Latin American growing areas.

Risk Management

FORECAST employs risk management techniques that have been developed by Mr. James Brunn with the objectives of limiting losses, controlling market exposure and capturing profits.

   

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
-35.41 41 12 2/1/2008 7/1/2011
-32.75 9 - 7/1/2012 4/1/2013
-20.97 7 5 1/1/2007 8/1/2007
-12.29 2 1 8/1/2000 10/1/2000
-11.22 4 3 12/1/2004 4/1/2005
-10.98 4 1 1/1/2001 5/1/2001
-9.17 2 1 12/1/1999 2/1/2000
-9.01 3 3 9/1/2003 12/1/2003
-8.69 2 2 2/1/2003 4/1/2003
-6.30 4 3 3/1/2006 7/1/2006
-5.03 3 2 7/1/2001 10/1/2001
-4.80 2 1 4/1/2004 6/1/2004
-3.94 1 1 8/1/2002 9/1/2002
-2.80 1 1 11/1/2005 12/1/2005
-2.38 2 1 9/1/2004 11/1/2004
-2.26 2 2 2/1/2002 4/1/2002
-0.92 1 1 11/1/2002 12/1/2002
-0.35 1 2 8/1/2005 9/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
155.34 6 3/1/2000 8/1/2000
88.04 3 11/1/2000 1/1/2001
66.33 3 5/1/2012 7/1/2012
53.57 3 2/1/2011 4/1/2011
48.00 2 6/1/2001 7/1/2001
40.60 4 11/1/2007 2/1/2008
35.64 3 8/1/2011 10/1/2011
29.10 4 5/1/2002 8/1/2002
23.97 4 5/1/2005 8/1/2005
22.63 5 5/1/2003 9/1/2003
15.45 4 1/1/2004 4/1/2004
13.18 4 11/1/2001 2/1/2002
13.02 1 6/1/2008 6/1/2008
12.25 2 10/1/2002 11/1/2002
9.24 4 10/1/2006 1/1/2007
9.07 1 9/1/2007 9/1/2007
7.56 3 7/1/2004 9/1/2004
6.44 2 1/1/2003 2/1/2003
5.81 1 1/1/2010 1/1/2010
5.20 3 5/1/2010 7/1/2010
4.73 1 5/1/2009 5/1/2009
4.56 2 4/1/2007 5/1/2007
4.37 1 8/1/2006 8/1/2006
4.11 1 12/1/1999 12/1/1999
3.77 3 1/1/2006 3/1/2006
3.03 1 12/1/2004 12/1/2004
2.21 1 4/1/2001 4/1/2001
1.94 2 10/1/2005 11/1/2005
0.75 1 10/1/2010 10/1/2010
0.72 1 3/1/2005 3/1/2005
0.63 1 4/1/2008 4/1/2008
0.44 1 12/1/2008 12/1/2008
0.25 1 5/1/2006 5/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-35.07 3 5/1/2011 7/1/2011
-32.75 9 8/1/2012 4/1/2013
-21.27 7 6/1/2009 12/1/2009
-16.99 3 6/1/2007 8/1/2007
-15.97 5 7/1/2008 11/1/2008
-15.90 6 11/1/2011 4/1/2012
-12.29 2 9/1/2000 10/1/2000
-9.17 2 1/1/2000 2/1/2000
-9.01 3 10/1/2003 12/1/2003
-8.95 2 2/1/2007 3/1/2007
-8.69 2 3/1/2003 4/1/2003
-7.99 2 1/1/2005 2/1/2005
-7.68 2 2/1/2001 3/1/2001
-6.97 1 10/1/2007 10/1/2007
-6.91 1 3/1/2008 3/1/2008
-6.12 3 11/1/2010 1/1/2011
-5.98 3 2/1/2010 4/1/2010
-5.81 1 5/1/2008 5/1/2008
-5.69 2 6/1/2006 7/1/2006
-5.66 1 5/1/2001 5/1/2001
-5.36 4 1/1/2009 4/1/2009
-5.03 3 8/1/2001 10/1/2001
-4.80 2 5/1/2004 6/1/2004
-4.20 1 4/1/2005 4/1/2005
-3.94 1 9/1/2002 9/1/2002
-2.80 1 12/1/2005 12/1/2005
-2.38 2 10/1/2004 11/1/2004
-2.26 2 3/1/2002 4/1/2002
-0.92 1 12/1/2002 12/1/2002
-0.90 1 4/1/2006 4/1/2006
-0.36 2 8/1/2010 9/1/2010
-0.35 1 9/1/2005 9/1/2005
-0.13 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods161.00159.00156.00150.00144.00138.00126.00114.00102.00
Percent Profitable49.0756.6064.1074.0075.6973.9170.6373.6868.63
Average Period Return1.876.1412.3325.7036.7046.8769.1185.53104.53
Average Gain7.5116.0824.4238.9053.0368.61103.12121.61156.79
Average Loss-3.57-6.83-9.25-11.86-14.16-14.72-12.70-15.50-9.77
Best Period47.0888.04155.34308.96445.33496.38755.73843.18868.93
Worst Period-29.59-35.07-30.04-25.93-34.14-32.32-33.12-26.97-21.87
Standard Deviation9.0819.4128.1554.2376.3994.40146.65175.21196.77
Gain Standard Deviation9.4420.2928.3257.3981.20101.11162.86191.76218.70
Loss Standard Deviation4.045.897.046.618.989.9110.116.156.16
Sharpe Ratio (1%)0.200.300.420.460.460.480.450.460.51
Average Gain / Average Loss2.112.352.643.283.754.668.127.8416.05
Profit / Loss Ratio2.033.074.729.3411.6713.2119.5321.9635.10
Downside Deviation (10%)4.036.568.179.2611.6813.7316.8820.0422.30
Downside Deviation (5%)3.876.057.187.358.879.9010.1110.519.03
Downside Deviation (0%)3.835.926.946.908.239.028.758.546.44
Sortino Ratio (10%)0.360.751.212.242.492.673.163.193.45
Sortino Ratio (5%)0.460.971.653.363.974.536.547.7511.01
Sortino Ratio (0%)0.491.041.783.724.465.197.9010.0216.23

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.