Lenapi Advisors, LLC : Lenapi Quantitative Long/Short Commodity 2X

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
4/2011
Lenapi Quantitative Long/Short Commodity 2X -4.80 - - - - - - -24.59
S&P 500 3.13 - - - - - - 154.03
+/- S&P 500 -7.93 - - - - - - -178.62

Strategy Description

Summary

Quantitative 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%
Strategy Pie Chart

Composition

Energy
35.00%
Grains
25.00%
Industrial Metals
15.00%
Precious Metals
10.00%
Softs
10.00%
Livestock
5.00%
Composition Pie Chart

Summary

Quantitative 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 Strategy

Lenapi 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 Management

Position 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.

   

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
-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.