GammaQ : Commodity Program Managed Account

Year-to-Date
2.44%
Feb Performance
0.10%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.72%
Sharpe (RFR=1%)
0.47
CAROR
5.60%
Assets
$ 94.8M
Worst DD
-15.78
S&P Correlation
-0.03

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
4/2011
Commodity Program Managed Account 0.10 2.44 2.44 2.36 17.53 44.80 - 53.97
S&P 500 2.97 0.88 11.08 2.60 42.65 48.24 - 105.72
+/- S&P 500 -2.87 1.56 -8.63 -0.24 -25.12 -3.44 - -51.74

Strategy Description

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.50
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
1500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
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

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
   

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
-15.78 5 28 9/1/2014 2/1/2015
-10.52 3 8 4/1/2011 7/1/2011
-8.79 4 1 1/1/2014 5/1/2014
-7.95 9 7 8/1/2012 5/1/2013
-2.41 4 2 2/1/2018 6/1/2018
-2.30 3 2 7/1/2017 10/1/2017
-2.25 1 4 8/1/2018 9/1/2018
-1.84 3 1 4/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
39.10 4 6/1/2014 9/1/2014
12.86 4 1/1/2012 4/1/2012
8.89 3 3/1/2015 5/1/2015
8.42 3 5/1/2017 7/1/2017
7.73 4 11/1/2017 2/1/2018
7.65 4 10/1/2013 1/1/2014
7.27 3 6/1/2013 8/1/2013
5.73 5 5/1/2016 9/1/2016
4.65 1 8/1/2011 8/1/2011
4.19 4 1/1/2013 4/1/2013
3.22 3 7/1/2015 9/1/2015
3.04 2 7/1/2018 8/1/2018
2.94 2 11/1/2015 12/1/2015
2.82 3 12/1/2018 2/1/2019
2.18 1 8/1/2012 8/1/2012
1.97 2 2/1/2016 3/1/2016
1.62 1 3/1/2017 3/1/2017
1.27 1 10/1/2018 10/1/2018
1.24 1 1/1/2015 1/1/2015
1.09 2 10/1/2011 11/1/2011
0.69 1 4/1/2011 4/1/2011
0.24 1 3/1/2014 3/1/2014
0.19 2 12/1/2016 1/1/2017
0.15 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.13 3 10/1/2014 12/1/2014
-10.52 3 5/1/2011 7/1/2011
-6.51 4 9/1/2012 12/1/2012
-5.98 2 4/1/2014 5/1/2014
-5.50 1 5/1/2013 5/1/2013
-5.33 1 2/1/2015 2/1/2015
-3.87 1 6/1/2015 6/1/2015
-3.54 1 4/1/2016 4/1/2016
-3.22 1 2/1/2014 2/1/2014
-2.30 3 8/1/2017 10/1/2017
-2.25 1 9/1/2018 9/1/2018
-2.23 2 5/1/2018 6/1/2018
-2.21 2 10/1/2016 11/1/2016
-1.84 3 5/1/2012 7/1/2012
-1.80 1 9/1/2011 9/1/2011
-1.77 1 9/1/2013 9/1/2013
-0.92 1 12/1/2011 12/1/2011
-0.84 1 1/1/2016 1/1/2016
-0.54 1 10/1/2015 10/1/2015
-0.36 1 4/1/2017 4/1/2017
-0.34 1 3/1/2018 3/1/2018
-0.33 1 11/1/2018 11/1/2018
-0.21 1 2/1/2017 2/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods95.0093.0090.0084.0078.0072.0060.0048.0036.00
Percent Profitable61.0561.2975.5686.9091.0394.44100.00100.00100.00
Average Period Return0.501.533.297.0010.3514.3122.9731.1640.67
Average Gain2.124.365.698.4811.5915.3222.9731.1640.67
Average Loss-2.04-2.96-4.12-2.81-2.13-2.94
Best Period12.6027.2630.7936.5937.8138.7050.2149.3554.53
Worst Period-7.45-12.13-14.81-9.01-5.81-3.930.296.6725.50
Standard Deviation3.095.877.047.458.518.699.348.517.44
Gain Standard Deviation2.565.486.186.787.897.829.348.517.44
Loss Standard Deviation1.942.923.452.781.831.12
Sharpe Ratio (1%)0.140.220.400.811.041.412.133.194.78
Average Gain / Average Loss1.041.471.383.025.435.21
Profit / Loss Ratio1.632.334.2620.0555.1288.50
Downside Deviation (10%)1.943.173.743.283.744.133.662.420.44
Downside Deviation (5%)1.782.682.831.681.211.200.42
Downside Deviation (0%)1.752.572.631.400.810.73
Sortino Ratio (10%)0.050.100.220.610.740.981.973.9729.71
Sortino Ratio (5%)0.230.480.993.577.3010.2647.84
Sortino Ratio (0%)0.290.591.255.0112.7119.59

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 9 0.00 2/2019
Agricultural Trader Index Month 2 2.34 1/2019
Discretionary Trader Index Month 8 2.34 1/2019
Agricultural Trader Index Month 10 0.00 12/2018
Agricultural Trader Index Month 8 0.00 11/2018
Agricultural Trader Index Month 5 1.28 10/2018
Agricultural Trader Index Month 10 0.00 9/2018
Agricultural Trader Index Month 10 0.57 8/2018
Discretionary Trader Index Month 10 2.50 7/2018
Agricultural Trader Index Month 6 2.50 7/2018
Discretionary Trader Index Month 9 3.04 2/2018
Agricultural Trader Index Month 5 3.04 2/2018
Discretionary Trader Index Month 9 1.60 12/2017
Agricultural Trader Index Month 6 1.60 12/2017
Discretionary Trader Index Month 9 2.01 11/2017
Agricultural Trader Index Month 5 2.01 11/2017
Agricultural Trader Index Month 9 1.55 7/2017
IASG CTA Index Month 3 5.31 6/2017
Discretionary Trader Index Month 3 5.31 6/2017
Agricultural Trader Index Month 3 5.31 6/2017
Agricultural Trader Index Month 6 1.45 5/2017
Agricultural Trader Index Month 3 1.63 3/2017
Agricultural Trader Index Month 8 0.81 9/2016
Agricultural Trader Index Month 6 2.36 8/2016
Agricultural Trader Index Month 6 0.61 3/2016
Agricultural Trader Index Month 10 1.35 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.