Pelican Bay Futures Management : Futures Spread Strategy

archived programs
Year-to-Date
N / A
Aug Performance
-6.93%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.81%
Sharpe (RFR=1%)
-0.05
CAROR
-1.37%
Assets
$ 2.1M
Worst DD
-32.11
S&P Correlation
0.12

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2007
Futures Spread Strategy -6.93 -16.07 - -17.82 -30.49 -4.47 - -6.65
S&P 500 1.98 7.35 - 15.38 37.79 -4.59 - -5.65
+/- S&P 500 -8.91 -23.41 - -33.20 -68.28 0.11 - -1.00

Strategy Description

Investment Strategy

Extensive computer analysis is performed on exchange-traded commodity futures to identify intra-commodity spreads that have historically shown a tendency to move in a predictable way. Or specific contracts that have exhibited strong historic seasonal tendencies. For example,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 5k
CTA Max Funding Factor
Management Fee
2.00%
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
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
10.89%
Worst Peak-to-Trough
-21.89%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
Systematic

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Softs
28.00%
Interest Rates
25.00%
Grains
19.00%
Currency Futures
15.00%
Energy
10.00%
Livestock
3.00%
Composition Pie Chart

Investment Strategy

Extensive computer analysis is performed on exchange-traded commodity futures to identify intra-commodity spreads that have historically shown a tendency to move in a predictable way. Or specific contracts that have exhibited strong historic seasonal tendencies. For example, a purchase of December Wheat is made against a sale of July Wheat. Or, a long/short option spread on a specific contract may be taken. In a spread strategy, it is the price relationship between the two contracts that provides opportunity.

   

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
-32.11 38 - 6/1/2009 8/1/2012
-15.61 5 3 10/1/2008 3/1/2009
-5.97 1 4 3/1/2008 4/1/2008
-2.28 1 1 1/1/0001 9/1/2007
-1.30 1 1 8/1/2008 9/1/2008
-0.04 1 1 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
13.89 1 4/1/2009 4/1/2009
12.25 3 2/1/2012 4/1/2012
12.11 2 10/1/2007 11/1/2007
11.73 3 1/1/2008 3/1/2008
11.35 1 8/1/2008 8/1/2008
8.32 1 3/1/2010 3/1/2010
7.57 1 6/1/2009 6/1/2009
7.06 1 10/1/2008 10/1/2008
5.73 1 4/1/2011 4/1/2011
4.69 1 10/1/2010 10/1/2010
4.43 1 12/1/2008 12/1/2008
4.41 1 6/1/2012 6/1/2012
4.26 2 5/1/2008 6/1/2008
2.36 1 2/1/2009 2/1/2009
1.72 2 12/1/2009 1/1/2010
1.61 1 2/1/2011 2/1/2011
1.51 1 6/1/2010 6/1/2010
1.31 1 8/1/2010 8/1/2010
1.07 1 10/1/2011 10/1/2011
0.79 1 8/1/2011 8/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.07 2 7/1/2012 8/1/2012
-11.63 1 5/1/2012 5/1/2012
-10.89 1 1/1/2009 1/1/2009
-7.99 1 11/1/2008 11/1/2008
-7.06 5 7/1/2009 11/1/2009
-6.57 1 9/1/2011 9/1/2011
-6.53 1 3/1/2011 3/1/2011
-6.46 3 11/1/2011 1/1/2012
-6.06 2 4/1/2010 5/1/2010
-5.97 1 4/1/2008 4/1/2008
-5.60 3 5/1/2011 7/1/2011
-5.00 1 2/1/2010 2/1/2010
-3.71 1 3/1/2009 3/1/2009
-3.63 1 7/1/2008 7/1/2008
-3.40 3 11/1/2010 1/1/2011
-2.28 1 9/1/2007 9/1/2007
-2.23 1 5/1/2009 5/1/2009
-1.71 1 9/1/2010 9/1/2010
-1.30 1 9/1/2008 9/1/2008
-0.92 1 7/1/2010 7/1/2010
-0.04 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable45.0048.2847.2744.9044.1943.2448.0038.46
Average Period Return0.020.390.690.34-0.010.29-0.07-1.10
Average Gain4.346.577.8410.9412.2814.6614.5411.72
Average Loss-3.52-5.39-5.73-8.30-9.73-10.66-13.56-9.12
Best Period13.8919.7825.2235.8730.5937.4331.6021.58
Worst Period-11.63-16.79-16.44-23.22-27.81-27.09-31.21-27.48
Standard Deviation5.147.588.8212.6513.3315.6217.1013.27
Gain Standard Deviation3.445.216.9810.458.4011.4110.458.40
Loss Standard Deviation3.234.024.065.866.787.128.618.41
Sharpe Ratio (1%)-0.010.020.02-0.05-0.11-0.11-0.18-0.39
Average Gain / Average Loss1.231.221.371.321.261.371.071.29
Profit / Loss Ratio1.011.141.231.071.001.050.990.80
Downside Deviation (10%)3.755.546.6310.8513.9816.7322.5426.00
Downside Deviation (5%)3.574.955.378.129.7510.8913.3712.07
Downside Deviation (0%)3.524.805.077.498.809.5911.459.45
Sortino Ratio (10%)-0.10-0.15-0.27-0.43-0.54-0.60-0.70-0.87
Sortino Ratio (5%)-0.020.030.03-0.08-0.15-0.16-0.23-0.43
Sortino Ratio (0%)0.000.080.140.050.000.03-0.01-0.12

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.