Livestock CTA LLC : Livestock Trading Program

archived programs
Year-to-Date
N / A
Jul Performance
-5.62%
Min Investment
$ 25k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
16.21%
Sharpe (RFR=1%)
0.02
CAROR
0.12%
Assets
$ 459k
Worst DD
-22.89
S&P Correlation
0.05

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
Livestock Trading Program -5.62 - - - - - 14.42 0.31
S&P 500 1.26 - - - - - 51.28 222.58
+/- S&P 500 -6.88 - - - - - -36.86 -222.28

Strategy Description

Summary

As the name suggests, Livestock CTA, LLC (“Livestock”) primarily trades livestock futures and options. The bulk of trading is in Lean Hogs, Live Cattle and Feeder Cattle at the Chicago Mercantile Exchange. Livestock will occasionally trade the grain markets but this will account... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
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 9600 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough -10.11%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 70.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
75.00%
Technical
25.00%
Strategy Pie Chart

Composition

Livestock
90.00%
Grains
10.00%
Composition Pie Chart

Summary

As the name suggests, Livestock CTA, LLC (“Livestock”) primarily trades livestock futures and options. The bulk of trading is in Lean Hogs, Live Cattle and Feeder Cattle at the Chicago Mercantile Exchange. Livestock will occasionally trade the grain markets but this will account for a minority of the trading volume.

Investment Strategy

Mr. Show is president and sole trader for Livestock. Through Peacock, Mr. Show sells roughly 3 million pounds of fresh and frozen pork per month. His contacts are extensive in the cash livestock markets and include major packers, processors, and large hedge accounts. As required by law, his firm reports all cash trades to the USDA which in turn disseminates these price changes to the major wire houses at the end of the day. The wire houses then release it to newspapers, radio and trade publications which, many traders use to base their trading decisions on. Livestock believes being well connected in the cash side and on top of the fundamentals in the livestock markets gives them a distinctive edge in trading livestock futures markets. The fundamentals effecting livestock accounts for roughly 75% of Livestock’s trading decisions. The other 25% of their decision process comes from the technical and statistical analysis. They employ neural networks and Elliott Wave analysis for timing and use statistical analysis for seasonal tendencies, crop report estimates and import export figures. Relative value is used for spreading one contract against another within the livestock futures markets.

Risk Management

Putting these fundamental, statistical and technical factors together constitutes Livestock’s decision making process for determining trades. Livestock believes determining potential trades is only one important part of what separates successful CTAs from unsuccessful ones. The other important part is risk management. Livestock takes risk management very seriously and follows a specific routine to determine whether a decision to trade meets their stringent risk parameters. This process begins by determining where their maximum stop loss would be with the total dollar amount to risk on each trade and total risk per trade. They then determine position size of approximately 5% risk per trade. In the following calculation Livestock takes a look at projected target levels and tries to establish a minimum price target for taking profits. They then determine the reward to risk ratio which must be at least 1.5 to 1.0 with the goal of the risk being no greater than approximately 5% of the account’s balance. If the risk is too great or the reward is too small then the trade is passed. Also if the reward is potentially huge but the risk per trade is greater than approximately 5%, the CTA will pass on the trade. Livestock uses this method of determining whether to accept or reject a trade regardless of fundamentals and technical factors.

   

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
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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
-22.89 6 - 2/1/2010 8/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
17.18 2 9/1/2010 10/1/2010
13.97 5 12/1/2011 4/1/2012
13.69 2 1/1/2010 2/1/2010
5.52 3 2/1/2011 4/1/2011
4.26 1 8/1/2011 8/1/2011
1.04 1 6/1/2010 6/1/2010
0.16 1 10/1/2011 10/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.40 3 3/1/2010 5/1/2010
-8.29 3 5/1/2012 7/1/2012
-6.49 2 7/1/2010 8/1/2010
-6.41 3 5/1/2011 7/1/2011
-5.65 3 11/1/2010 1/1/2011
-2.09 1 9/1/2011 9/1/2011
-1.94 1 11/1/2011 11/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable48.3955.1757.6965.0064.29
Average Period Return0.11-0.010.942.243.00
Average Gain3.635.686.856.918.65
Average Loss-3.18-7.00-7.12-6.42-7.17
Best Period15.2416.9311.7613.8319.07
Worst Period-8.25-18.40-22.89-13.94-12.58
Standard Deviation4.688.069.167.479.73
Gain Standard Deviation3.925.344.173.136.31
Loss Standard Deviation2.364.467.854.715.15
Sharpe Ratio (1%)0.01-0.030.050.170.15
Average Gain / Average Loss1.140.810.961.071.21
Profit / Loss Ratio1.071.001.312.002.17
Downside Deviation (10%)3.066.227.947.279.50
Downside Deviation (5%)2.865.646.955.095.87
Downside Deviation (0%)2.815.496.724.595.09
Sortino Ratio (10%)-0.10-0.20-0.19-0.38-0.48
Sortino Ratio (5%)0.01-0.050.060.240.26
Sortino Ratio (0%)0.040.000.140.490.59

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.