Lembros Commodity Advisors LLC : LCA 30

archived programs
Year-to-Date
N / A
May Performance
-0.86%
Min Investment
$ 30k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.49%
Sharpe (RFR=1%)
-0.49
CAROR
-0.77%
Assets
$ 88k
Worst DD
-6.66
S&P Correlation
0.25

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
7/2011
LCA 30 -0.86 - - - - - - -2.22
S&P 500 2.10 - - - - - - 168.07
+/- S&P 500 -2.96 - - - - - - -170.29

Strategy Description

Summary

LCA 30 is a short term systematic trading approach in the commodities futures markets. We trade intraday commodities based on our proprietary algorithm that picks particular trading systems from a family of many systems.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough 2.53%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

LCA 30 is a short term systematic trading approach in the commodities futures markets. We trade intraday commodities based on our proprietary algorithm that picks particular trading systems from a family of many systems.

Investment Strategy

We statistically search for a quantitative trading method that might have an advantage for success in a particular trading session on a continuous basis. We also limit our risk per trade per contract plus commissions, fees and slippage. We operate with a certain level of value at risk (VAR). That means we have predetermined strict risk parameters for a trading session, month, and hence a year in place. Within the framework of our strong concentration on the risk management, our goal is to have uncorrelated returns not only both to classic assets such as stock and bond indices but also to alternative assets benchmarks such as CTA and hedge fund indices. Our goal is to maximize the probability of profit utilizing statistical, mathematical and probability models and takes advantage of the right hand side of fat tails in the returns distribution that are often present in the alternative assets universe.

Risk Management

We also limit our risk per trade per contract plus commissions, fees and slippage. We operate with a certain level of value at risk (VAR). That means we have predetermined strict risk parameters for a trading session, month, and hence a year in place.

   

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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-6.66 8 - 4/1/2012 12/1/2012
-2.51 2 4 1/1/0001 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
5.71 4 1/1/2013 4/1/2013
4.42 8 9/1/2011 4/1/2012
1.36 3 2/1/2014 4/1/2014
0.59 1 12/1/2013 12/1/2013
0.13 1 7/1/2013 7/1/2013
0.07 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.66 8 5/1/2012 12/1/2012
-2.51 2 7/1/2011 8/1/2011
-1.13 2 8/1/2013 9/1/2013
-1.08 2 5/1/2013 6/1/2013
-0.86 1 5/1/2014 5/1/2014
-0.86 1 1/1/2014 1/1/2014
-0.86 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable51.4339.3950.0041.6722.22
Average Period Return-0.06-0.03-0.11-0.74-1.29
Average Gain0.672.092.451.641.75
Average Loss-0.83-1.40-2.67-2.45-2.16
Best Period3.025.674.673.312.57
Worst Period-1.91-3.43-5.53-5.84-4.99
Standard Deviation1.012.113.112.682.12
Gain Standard Deviation0.801.531.811.040.89
Loss Standard Deviation0.480.971.672.101.43
Sharpe Ratio (1%)-0.14-0.13-0.20-0.65-1.32
Average Gain / Average Loss0.811.490.920.670.81
Profit / Loss Ratio0.850.970.920.480.23
Downside Deviation (10%)0.932.193.916.319.12
Downside Deviation (5%)0.721.482.513.063.46
Downside Deviation (0%)0.671.322.202.432.26
Sortino Ratio (10%)-0.50-0.57-0.66-0.91-0.97
Sortino Ratio (5%)-0.20-0.19-0.24-0.57-0.81
Sortino Ratio (0%)-0.09-0.02-0.05-0.31-0.57

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.