Hehmeyer Capital Management, LLC : Hehmeyer Meat Complex

archived programs
Year-to-Date
1.62%
Apr Performance
-0.22%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.47%
Sharpe (RFR=1%)
-0.16
CAROR
0.38%
Assets
$ 2.1M
Worst DD
-7.45
S&P Correlation
-0.02

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
11/2013
Hehmeyer Meat Complex -0.22 -1.00 -1.62 -1.00 -7.18 -0.17 - 2.09
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 61.48
+/- S&P 500 -4.15 -9.94 -19.13 -12.25 -48.37 -54.96 - -59.39

Strategy Description

Summary

Chelsea Creek is a fundamental discretionary strategy concentrating on the the Hog futures market traded on the CME. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-6.00%
Worst Peak-to-Trough
3.00%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Livestock
100.00%
Composition Pie Chart

Summary

Chelsea Creek is a fundamental discretionary strategy concentrating on the the Hog futures market traded on the CME.

Investment Strategy

Using calendar spreads the manager attempts to capture opportunities created by the dislocation of resources with-in the Hog market. The reason for the dislocations can be a number of factors ranging from weather to supply chain interruptions. Regardless of cause the manager believes the best way to provide superior risk adjusted returns is through the spread markets.

Risk Management

The manager uses hard stops on prices. Please refer to our Due Diligence Questionnaire for specifics on our Risk profile.

   

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
-7.45 35 - 5/1/2016 4/1/2019
-3.19 1 10 8/1/2014 9/1/2014
-2.00 3 1 11/1/2013 2/1/2014
-0.96 1 3 7/1/2015 8/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
6.41 6 3/1/2014 8/1/2014
4.22 9 9/1/2015 5/1/2016
2.61 1 7/1/2015 7/1/2015
1.65 2 1/1/2015 2/1/2015
1.39 2 10/1/2014 11/1/2014
1.27 3 10/1/2018 12/1/2018
1.21 2 1/1/2017 2/1/2017
1.09 2 9/1/2016 10/1/2016
1.03 1 11/1/2017 11/1/2017
0.96 1 11/1/2013 11/1/2013
0.69 1 8/1/2018 8/1/2018
0.59 1 5/1/2017 5/1/2017
0.49 1 1/1/2014 1/1/2014
0.49 1 7/1/2017 7/1/2017
0.46 1 4/1/2015 4/1/2015
0.24 1 1/1/2018 1/1/2018
0.15 1 3/1/2018 3/1/2018
0.07 1 6/1/2018 6/1/2018
0.03 1 2/1/2019 2/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.92 2 11/1/2016 12/1/2016
-3.19 1 9/1/2014 9/1/2014
-3.15 3 6/1/2016 8/1/2016
-2.54 3 8/1/2017 10/1/2017
-1.51 1 12/1/2013 12/1/2013
-1.03 2 3/1/2019 4/1/2019
-0.98 1 2/1/2014 2/1/2014
-0.96 1 8/1/2015 8/1/2015
-0.65 1 9/1/2018 9/1/2018
-0.63 1 1/1/2019 1/1/2019
-0.60 1 3/1/2015 3/1/2015
-0.59 2 4/1/2018 5/1/2018
-0.56 1 7/1/2018 7/1/2018
-0.51 2 3/1/2017 4/1/2017
-0.50 1 6/1/2017 6/1/2017
-0.36 1 12/1/2014 12/1/2014
-0.36 2 5/1/2015 6/1/2015
-0.23 1 12/1/2017 12/1/2017
-0.09 1 2/1/2018 2/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00
Percent Profitable57.5853.1347.5447.2740.8248.8441.9452.63
Average Period Return0.040.120.280.240.270.18-0.570.41
Average Gain0.651.302.123.064.644.342.802.05
Average Loss-0.83-1.21-1.39-2.29-2.74-3.79-3.01-1.40
Best Period3.334.726.415.897.8410.538.004.50
Worst Period-3.19-3.87-4.88-5.16-6.88-6.68-7.18-2.32
Standard Deviation1.001.602.253.224.104.913.782.13
Gain Standard Deviation0.670.981.611.901.753.422.621.53
Loss Standard Deviation0.741.001.181.661.911.832.330.72
Sharpe Ratio (1%)-0.05-0.08-0.10-0.24-0.30-0.37-0.95-1.71
Average Gain / Average Loss0.791.071.531.341.701.140.931.46
Profit / Loss Ratio1.111.221.391.201.171.090.671.62
Downside Deviation (10%)0.931.843.035.738.3711.1816.7621.24
Downside Deviation (5%)0.751.201.612.673.574.385.044.19
Downside Deviation (0%)0.711.071.312.042.553.002.871.07
Sortino Ratio (10%)-0.40-0.60-0.72-0.83-0.87-0.90-0.98-1.00
Sortino Ratio (5%)-0.06-0.10-0.14-0.28-0.34-0.42-0.71-0.87
Sortino Ratio (0%)0.050.120.210.120.110.06-0.200.38

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 9 0.03 2/2019
Agricultural Trader Index Month 9 0.03 2/2019
Agricultural Trader Index Month 9 0.03 2/2019
Agricultural Trader Index Month 7 0.00 2/2019
Agricultural Trader Index Month 4 0.87 12/2018
Agricultural Trader Index Month 4 0.15 11/2018
Agricultural Trader Index Month 8 0.69 8/2018
Agricultural Trader Index Month 10 0.46 5/2018
Agricultural Trader Index Month 9 1.03 11/2017
Agricultural Trader Index Month 4 1.17 1/2017
Agricultural Trader Index Month 7 1.05 9/2016
Agricultural Trader Index Month 7 0.53 3/2016
Agricultural Trader Index Month 9 0.09 9/2015
Agricultural Trader Index Month 7 2.61 7/2015

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