GammaQ : Breckhurst Commodity Fund

Year-to-Date: 14.18%
Sep Performance: 2.25%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 16.01%
Sharpe (RFR=1%): 0.78
CAROR: 12.98%

Assets: $ 63.0M
Worst DD: -25.92
S&P Correlation: -0.01

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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 10/2006
Breckhurst Commodity Fund	2.25	-2.30	14.18	17.68	55.27	36.24	194.16	388.70
S&P 500	1.72	1.19	18.74	2.15	35.89	49.39	178.69	113.80
+/- S&P 500	0.53	-3.49	-4.56	15.53	19.38	-13.15	15.47	274.91

Strategy Description

Summary

The Fund is an absolute return fund focused on the movement of grain, livestock and soft commodities and the mechanisms that price them.... Read More

Account & Fees

Type: Fund
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 50k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $15.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 1500 RT/YR/$M
Avg. Margin-to-Equity: 12%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough
Sector Focus: Agricultural Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 30.00%
1-3 Months: 30.00%
1-30 Days: 30.00%
Intraday: 10.00%

Summary

The Fund is an absolute return fund focused on the movement of grain, livestock and soft commodities and the mechanisms that price them.

Investment Strategy

The Fund is an absolute return fund focused on the movement of grain, livestock and soft commodities and the mechanisms that price them. Our approach involves direct communication with Farmers, Exporters, Import Trade Houses and End Users. We will maintain a sound fundamental understanding of the flow of the physical commodity as well as its relationship to related investment vehicles. We will aggregate this information to formulate the Fund’s core views and generate the optimal trade.

Risk Management

Positions will be adjusted and/or exited based on specific scenarios such as: –Profit target has been reached. Even though a fundamental view remains, we have targets placed that fairly value the asset in our opinion. These targets are set upon trade entry and may be adjusted based on a review of fundamentals if the Fund’s principals still believe value exists. –Fundamental conditions have changed prior to a trade playing out. –Stop/Risk levels are violated – these levels are set upon trade entry and will be reviewed when violated. The Fund will employ a second level of position management. This overlays into our risk management to protect profits and manage present volatility. We will utilize technical and statistical analysis to identify price points and expected probability distributions of current markets and positions in order to manage profits and preserve capital more efficiently. VAR and range analysis, sigma risk, correlation relationships and volatility trends are continuously run to stress test the portfolio for market impact.

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Index: Chart Type:

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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-25.92	5	28	9/1/2014	2/1/2015
-18.10	3	11	2/1/2007	5/1/2007
-10.22	3	8	4/1/2011	7/1/2011
-9.27	2	1	1/1/0001	11/1/2006
-8.72	9	8	8/1/2012	5/1/2013
-8.59	4	1	1/1/2014	5/1/2014
-5.44	2	1	4/1/2018	6/1/2018
-5.24	1	4	8/1/2018	9/1/2018
-4.49	3	1	7/1/2017	10/1/2017
-4.45	2	-	6/1/2019	8/1/2019
-2.23	2	1	9/1/2009	11/1/2009
-2.06	2	1	12/1/2009	2/1/2010
-1.85	4	1	3/1/2012	7/1/2012
-1.84	1	1	10/1/2008	11/1/2008
-1.73	1	1	5/1/2008	6/1/2008
-1.60	1	1	1/1/2009	2/1/2009
-1.06	1	2	5/1/2010	6/1/2010
-0.85	1	1	10/1/2010	11/1/2010
-0.41	1	1	2/1/2018	3/1/2018
-0.02	1	1	7/1/2008	8/1/2008

Consecutive Gains

Run-up	Length (Mos.)	Start	End
66.79	4	6/1/2014	9/1/2014
25.56	5	3/1/2017	7/1/2017
24.13	3	12/1/2006	2/1/2007
20.10	7	3/1/2009	9/1/2009
19.83	4	7/1/2010	10/1/2010
19.10	4	11/1/2017	2/1/2018
17.81	7	12/1/2018	6/1/2019
15.23	5	10/1/2007	2/1/2008
13.78	5	5/1/2016	9/1/2016
12.61	5	12/1/2010	4/1/2011
10.85	2	9/1/2008	10/1/2008
10.84	3	1/1/2012	3/1/2012
8.97	2	12/1/2008	1/1/2009
8.01	2	4/1/2008	5/1/2008
7.75	3	3/1/2015	5/1/2015
7.74	3	6/1/2007	8/1/2007
7.50	4	10/1/2013	1/1/2014
6.95	2	7/1/2018	8/1/2018
6.75	2	6/1/2013	7/1/2013
5.12	3	3/1/2010	5/1/2010
4.85	1	7/1/2008	7/1/2008
4.31	2	11/1/2015	12/1/2015
3.68	4	1/1/2013	4/1/2013
3.54	1	1/1/2015	1/1/2015
3.29	2	2/1/2016	3/1/2016
3.25	1	8/1/2011	8/1/2011
3.05	1	12/1/2009	12/1/2009
2.95	1	10/1/2018	10/1/2018
2.91	2	7/1/2015	8/1/2015
2.64	1	12/1/2016	12/1/2016
2.25	1	9/1/2019	9/1/2019
2.19	1	8/1/2012	8/1/2012
1.94	1	10/1/2011	10/1/2011
1.83	1	4/1/2007	4/1/2007
0.87	1	4/1/2018	4/1/2018
0.14	1	3/1/2014	3/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-20.34	3	10/1/2014	12/1/2014
-17.64	1	3/1/2007	3/1/2007
-10.22	3	5/1/2011	7/1/2011
-10.18	1	2/1/2015	2/1/2015
-9.27	2	10/1/2006	11/1/2006
-6.72	4	9/1/2012	12/1/2012
-5.93	1	6/1/2015	6/1/2015
-5.62	1	5/1/2013	5/1/2013
-5.44	2	5/1/2018	6/1/2018
-5.37	2	4/1/2014	5/1/2014
-5.36	1	4/1/2016	4/1/2016
-5.24	1	9/1/2018	9/1/2018
-4.71	2	10/1/2016	11/1/2016
-4.49	3	8/1/2017	10/1/2017
-4.45	2	7/1/2019	8/1/2019
-4.07	1	9/1/2007	9/1/2007
-3.54	1	2/1/2014	2/1/2014
-3.08	1	9/1/2011	9/1/2011
-3.01	1	3/1/2008	3/1/2008
-2.34	1	5/1/2007	5/1/2007
-2.23	2	10/1/2009	11/1/2009
-2.06	2	1/1/2010	2/1/2010
-2.05	2	8/1/2013	9/1/2013
-1.88	2	1/1/2017	2/1/2017
-1.85	4	4/1/2012	7/1/2012
-1.84	1	11/1/2008	11/1/2008
-1.73	1	6/1/2008	6/1/2008
-1.60	1	2/1/2009	2/1/2009
-1.27	2	11/1/2011	12/1/2011
-1.24	1	1/1/2016	1/1/2016
-1.06	1	6/1/2010	6/1/2010
-0.90	2	9/1/2015	10/1/2015
-0.85	1	11/1/2010	11/1/2010
-0.69	1	11/1/2018	11/1/2018
-0.41	1	3/1/2018	3/1/2018
-0.02	1	8/1/2008	8/1/2008

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	156.00	154.00	151.00	145.00	139.00	133.00	121.00	109.00	97.00
Percent Profitable	62.18	69.48	76.82	84.83	89.93	90.98	98.35	100.00	100.00
Average Period Return	1.13	3.54	6.90	14.46	22.59	31.16	46.85	62.64	78.05
Average Gain	3.47	7.00	10.78	17.99	25.74	34.65	47.70	62.64	78.05
Average Loss	-2.73	-4.33	-5.97	-5.24	-5.56	-4.09	-3.68
Best Period	20.37	43.37	57.84	63.89	63.75	74.26	112.06	143.60	146.47
Worst Period	-17.64	-20.34	-25.33	-22.73	-18.51	-12.25	-4.06	15.78	21.26
Standard Deviation	4.62	8.51	11.19	14.13	16.82	19.93	25.89	31.24	30.35
Gain Standard Deviation	3.76	7.40	9.44	12.17	14.57	17.30	25.26	31.24	30.35
Loss Standard Deviation	3.05	4.83	5.35	5.35	5.37	2.98	0.54
Sharpe Ratio (1%)	0.23	0.39	0.57	0.95	1.25	1.46	1.69	1.88	2.40
Average Gain / Average Loss	1.27	1.62	1.81	3.44	4.63	8.47	12.97
Profit / Loss Ratio	2.09	3.68	5.98	19.21	41.37	85.44	771.55
Downside Deviation (10%)	2.68	4.05	4.81	4.59	4.78	4.73	3.66	0.71	0.69
Downside Deviation (5%)	2.54	3.66	4.02	3.17	2.78	2.03	0.91
Downside Deviation (0%)	2.51	3.56	3.83	2.88	2.41	1.50	0.48
Sortino Ratio (10%)	0.27	0.57	0.92	2.06	3.14	4.42	8.50	57.61	73.13
Sortino Ratio (5%)	0.41	0.90	1.59	4.25	7.58	14.35	47.98
Sortino Ratio (0%)	0.45	0.99	1.80	5.02	9.38	20.79	98.54

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Agricultural Trader Index	Month	4	2.25	9/2019
Discretionary Trader Index	Month	8	2.25	9/2019
Agricultural Trader Index	Month	5	4.00	5/2019
Discretionary Trader Index	Month	6	4.00	5/2019
Agricultural Trader Index	Month	7	1.22	4/2019
Agricultural Trader Index	Month	7	1.22	4/2019
Agricultural Trader Index	Month	4	1.00	3/2019
Agricultural Trader Index	Month	7	0.20	2/2019
Agricultural Trader Index	Month	7	0.20	2/2019
Agricultural Trader Index	Month	7	0.20	2/2019
Agricultural Trader Index	Month	8	0.00	2/2019
IASG CTA Index	Month	7	5.30	1/2019
Discretionary Trader Index	Month	3	5.30	1/2019
Agricultural Trader Index	Month	1	5.30	1/2019
IASG CTA Index	3 Year Rolling	8	49.37	2015 - 2018
IASG CTA Index	5 Year Rolling	8	88.99	2013 - 2018
Agricultural Trader Index	Month	9	0.00	12/2018
Discretionary Trader Index	Month	9	2.95	10/2018
Agricultural Trader Index	Month	2	2.95	10/2018
Agricultural Trader Index	Month	9	0.60	8/2018
Discretionary Trader Index	Month	2	5.75	7/2018
Agricultural Trader Index	Month	2	5.75	7/2018
IASG CTA Index	Month	2	5.75	7/2018
Agricultural Trader Index	Month	6	0.87	4/2018
Agricultural Trader Index	Month	6	0.87	4/2018
Discretionary Trader Index	Month	3	6.11	2/2018
Agricultural Trader Index	Month	1	6.11	2/2018
IASG CTA Index	Month	10	6.11	2/2018
Agricultural Trader Index	Month	5	2.41	1/2018
IASG CTA Index	Year Rolling	5	28.95	2016 - 2017
Discretionary Trader Index	Month	3	4.47	12/2017
Agricultural Trader Index	Month	2	4.47	12/2017
IASG CTA Index	5 Year Rolling	8	85.59	2012 - 2017
IASG CTA Index	Month	2	4.91	11/2017
Discretionary Trader Index	Month	2	4.91	11/2017
Agricultural Trader Index	Month	2	4.91	11/2017
Agricultural Trader Index	Month	8	1.68	7/2017
Agricultural Trader Index	Month	1	12.40	6/2017
IASG CTA Index	Month	1	12.40	6/2017
Discretionary Trader Index	Month	1	12.40	6/2017
Agricultural Trader Index	Month	2	3.44	5/2017
Discretionary Trader Index	Month	6	3.44	5/2017
Agricultural Trader Index	Month	7	0.41	4/2017
Discretionary Trader Index	Month	4	6.05	3/2017
IASG CTA Index	Month	3	6.05	3/2017
Agricultural Trader Index	Month	1	6.05	3/2017
Agricultural Trader Index	Month	1	2.64	12/2016
Discretionary Trader Index	Month	7	2.64	12/2016
Agricultural Trader Index	Month	4	2.07	9/2016
Discretionary Trader Index	Month	6	4.81	8/2016
IASG CTA Index	Month	5	4.81	8/2016
Agricultural Trader Index	Month	2	4.81	8/2016
Agricultural Trader Index	Month	6	2.18	7/2016
Agricultural Trader Index	Month	9	2.54	6/2016
Agricultural Trader Index	Month	10	1.35	5/2016
Discretionary Trader Index	Month	8	1.54	3/2016
Agricultural Trader Index	Month	4	1.54	3/2016
Agricultural Trader Index	Month	9	1.72	2/2016

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

^#4

Top Performer

AGRICULTURAL TRADER INDEX

SEPTEMBER
2019

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Program Name	CAROR
Breckhurst Commodity Fund	12.98%
Commodity Program Managed Account	5.77%

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GammaQ : Breckhurst Commodity Fund

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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