Lenapi Advisors, LLC : Lenapi Quantitative Long/Short Commodity 2X Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -4.80% Min Investment $ 5,000k Mgmt. Fee 3.00% Perf. Fee 20.00% Annualized Vol 17.68% Sharpe (RFR=1%) -1.55 CAROR - Assets $ 92.5M Worst DD -26.02 S&P Correlation -0.37 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr 2020 1yr 3yr 5yr 10yr Since4/2011 Lenapi Quantitative Long/Short Commodity 2X -4.80 - - - - - - -24.59 S&P 500 3.13 - - - - - - 172.59 +/- S&P 500 -7.93 - - - - - - -197.18 Strategy Description SummaryQuantitative Long/Short Commodities: The strategy utilizes eight models across 32 global commodity futures. The trading approaches employed include: short term technical counter-trend (three models), fundamental based (one model), spread (one model), and trend oriented (three models).... Read More Account & Fees Type Managed Account Minimum Investment $ 5,000k Trading Level Incremental Increase $ 250k CTA Max Funding Factor 2.00 Management Fee 3.00% Performance Fee 20.00% Average Commission $8.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1800 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -4.00% Worst Peak-to-Trough 23.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 15.00% 1-3 Months 25.00% 1-30 Days 60.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 25.00% Fundamental 5.00% Momentum 20.00% Pattern Recognition 5.00% Spreading/hedging 15.00% Trend-following 30.00% Composition Energy 35.00% Grains 25.00% Industrial Metals 15.00% Precious Metals 10.00% Softs 10.00% Livestock 5.00% SummaryQuantitative Long/Short Commodities: The strategy utilizes eight models across 32 global commodity futures. The trading approaches employed include: short term technical counter-trend (three models), fundamental based (one model), spread (one model), and trend oriented (three models). The strategy provides direct exposure to global commodities for those investors looking to take advantage of the expected inflation and re-emergence of economic growth. For those with existing long-only commodity exposure, this Strategy takes advantage of both long and short positions and provides good diversification.Investment StrategyLenapi Quantitative Commodities Strategy is a systematic managed futures program that specializes in trading a portfolio of 32 global commodity futures markets. Through diversified time horizons and trading styles, the manager believes portfolio risk can be reduced as strategy returns are not dependant on the profitability of single factor exposures. The strategy incorporates investment approaches that focus on holding periods of multiple days to multiple months. In addition to multiple time horizons, multiple model styles are employed including counter-trend, intra-commodity, quantitative macro and trend oriented approaches.Risk ManagementPosition sizing- volatility based. There are 4 main elements to managing position risk.1 - Vol based trailing protective stop- Full risk comes off. 2 - Momentum/vol filter- Extreme measures can warrant scale outs. 3 - Trend strength filter- Impact both scaling in (as trend improves) and scaling out (trend deteriorates). 4 - Time/signal decay filters- Scale outs may form based on factor of performance/time. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -26.02 11 - 4/1/2011 3/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 8.27 1 9/1/2011 9/1/2011 1.94 1 4/1/2011 4/1/2011 0.82 1 7/1/2011 7/1/2011 0.75 1 11/1/2011 11/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -16.14 2 5/1/2011 6/1/2011 -8.84 4 12/1/2011 3/1/2012 -7.59 1 10/1/2011 10/1/2011 -4.78 1 8/1/2011 8/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods12.0010.007.00 Percent Profitable33.3320.000.00 Average Period Return-2.20-6.13-9.72 Average Gain2.952.37 Average Loss-4.78-8.26-9.72 Best Period8.273.94-3.47 Worst Period-11.42-15.45-19.45 Standard Deviation5.106.175.95 Gain Standard Deviation3.592.22 Loss Standard Deviation3.564.745.95 Sharpe Ratio (1%)-0.45-1.03-1.72 Average Gain / Average Loss0.620.29 Profit / Loss Ratio0.310.07 Downside Deviation (10%)5.039.3713.38 Downside Deviation (5%)4.818.5811.61 Downside Deviation (0%)4.758.3811.18 Sortino Ratio (10%)-0.52-0.79-0.91 Sortino Ratio (5%)-0.48-0.74-0.88 Sortino Ratio (0%)-0.46-0.73-0.87 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. x {{title}} x {{title}} Add Cancel