Mercantile Analytics and Trading, LLC : Global Diversified Commodity Program (Prop)

Year-to-Date
3.09%
Jun Performance
0.23%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
13.38%
Sharpe (RFR=1%)
0.15
CAROR
2.18%
Assets
$ 580k
Worst DD
-12.62
S&P Correlation
-0.14

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2015
Global Diversified Commodity Program (Prop) 0.23 -1.00 3.09 6.14 14.59 - - 10.57
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 47.51
+/- S&P 500 -1.61 -20.95 7.13 0.75 -12.24 - - -36.94

Strategy Description

Summary

The goal of the program is to realize long term capital growth through exposure to price trends in a diverse portfolio of commodity interests, both on U.S. and international futures exchanges. It seeks to profit from declining markets, as well as from rising markets, by using short... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 10.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 623 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 3.00%
1-3 Months 52.00%
1-30 Days 45.00%
Intraday 0%

Decision-Making

Discretionary 16.00%
Systematic 84.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Energy
10.00%
Grains
10.00%
Softs
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The goal of the program is to realize long term capital growth through exposure to price trends in a diverse portfolio of commodity interests, both on U.S. and international futures exchanges. It seeks to profit from declining markets, as well as from rising markets, by using short positions.

Investment Strategy

Investment decisions for the program are computer driven using quantitative models developed by Mercantile Analytics and Trading, LLC. However, execution of trades, investment allocation and market selection is subject to the discretion of the portfolio manager. The quantitative models employed by Mercantile Analytics and Trading, LLC utilize market generated data as a means of predicting market opportunity. This data is derived directly from trading activity in the market, and includes such things as price, volume and open interest data. Investment decisions are not based on analysis of fundamental supply and demand factors, general economic conditions or anticipated global events. The program aims to maintain a balanced portfolio whereby different groups of related commodity interests are allocated similar amounts of the total risk budget. However, the program does not maintain positions continually in all markets, but rather seeks to avoid or minimize exposure in an individual market until a trend is determined to be in effect. Consequently, at certain times, the portfolio may be relatively concentrated in some groups of commodity interests relative to others.

Risk Management

Investment decisions are made within the framework of a risk management system which quantifies and limits the capital committed to each trade, commodity interest, and market sector.

   

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
-12.62 6 20 11/1/2015 5/1/2016
-11.39 6 - 8/1/2019 2/1/2020
-8.03 4 9 2/1/2018 6/1/2018
-5.38 4 1 3/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
12.74 5 10/1/2017 2/1/2018
12.62 1 3/1/2020 3/1/2020
10.11 1 8/1/2019 8/1/2019
8.91 2 6/1/2016 7/1/2016
8.59 2 11/1/2016 12/1/2016
7.36 2 11/1/2019 12/1/2019
6.31 3 7/1/2018 9/1/2018
5.75 3 6/1/2017 8/1/2017
3.01 1 11/1/2015 11/1/2015
2.78 1 3/1/2019 3/1/2019
2.50 3 11/1/2018 1/1/2019
2.46 1 2/1/2017 2/1/2017
1.62 1 4/1/2016 4/1/2016
1.47 1 2/1/2016 2/1/2016
1.09 1 4/1/2018 4/1/2018
0.23 1 6/1/2020 6/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.74 2 9/1/2019 10/1/2019
-7.92 3 8/1/2016 10/1/2016
-7.54 2 1/1/2020 2/1/2020
-6.49 1 9/1/2017 9/1/2017
-5.49 1 3/1/2016 3/1/2016
-5.43 2 12/1/2015 1/1/2016
-5.38 4 4/1/2019 7/1/2019
-5.20 2 5/1/2018 6/1/2018
-5.18 1 5/1/2016 5/1/2016
-4.03 1 3/1/2018 3/1/2018
-3.21 1 1/1/2017 1/1/2017
-2.02 1 10/1/2018 10/1/2018
-1.51 3 3/1/2017 5/1/2017
-1.23 2 4/1/2020 5/1/2020
-0.28 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable51.7955.5658.8271.1182.0587.88100.00
Average Period Return0.250.641.112.644.616.469.77
Average Gain2.983.944.624.896.357.979.77
Average Loss-2.68-3.47-3.89-2.90-3.34-4.46
Best Period12.6211.2410.7910.6514.7214.3419.30
Worst Period-6.71-8.98-12.62-9.73-7.05-7.100.29
Standard Deviation3.864.695.074.545.135.465.57
Gain Standard Deviation3.003.182.532.863.753.775.57
Loss Standard Deviation2.162.463.192.782.062.08
Sharpe Ratio (1%)0.040.080.120.360.610.821.21
Average Gain / Average Loss1.111.131.191.681.901.79
Profit / Loss Ratio1.191.421.694.148.7012.96
Downside Deviation (10%)2.603.544.564.775.536.478.06
Downside Deviation (5%)2.422.963.452.552.222.360.66
Downside Deviation (0%)2.372.823.202.121.631.67
Sortino Ratio (10%)-0.06-0.17-0.30-0.50-0.54-0.58-0.74
Sortino Ratio (5%)0.070.130.180.641.401.8910.21
Sortino Ratio (0%)0.110.230.351.242.833.86

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.