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

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 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%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Arbitrage
5.00%
Fundamental
90.00%
Spreading/hedging
5.00%
Strategy Pie Chart

Composition

Grains
60.00%
Livestock
35.00%
Softs
3.00%
Currency Futures
1.00%
Stock Indices
1.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods156.00154.00151.00145.00139.00133.00121.00109.0097.00
Percent Profitable62.1869.4876.8284.8389.9390.9898.35100.00100.00
Average Period Return1.133.546.9014.4622.5931.1646.8562.6478.05
Average Gain3.477.0010.7817.9925.7434.6547.7062.6478.05
Average Loss-2.73-4.33-5.97-5.24-5.56-4.09-3.68
Best Period20.3743.3757.8463.8963.7574.26112.06143.60146.47
Worst Period-17.64-20.34-25.33-22.73-18.51-12.25-4.0615.7821.26
Standard Deviation4.628.5111.1914.1316.8219.9325.8931.2430.35
Gain Standard Deviation3.767.409.4412.1714.5717.3025.2631.2430.35
Loss Standard Deviation3.054.835.355.355.372.980.54
Sharpe Ratio (1%)0.230.390.570.951.251.461.691.882.40
Average Gain / Average Loss1.271.621.813.444.638.4712.97
Profit / Loss Ratio2.093.685.9819.2141.3785.44771.55
Downside Deviation (10%)2.684.054.814.594.784.733.660.710.69
Downside Deviation (5%)2.543.664.023.172.782.030.91
Downside Deviation (0%)2.513.563.832.882.411.500.48
Sortino Ratio (10%)0.270.570.922.063.144.428.5057.6173.13
Sortino Ratio (5%)0.410.901.594.257.5814.3547.98
Sortino Ratio (0%)0.450.991.805.029.3820.7998.54

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.