Postrock Capital Management : AgMeat Spread Program

archived programs
Year-to-Date
N / A
May Performance
-3.71%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
18.07%
Sharpe (RFR=1%)
0.13
CAROR
1.77%
Assets
$ 126k
Worst DD
-32.35
S&P Correlation
-0.20

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2008
AgMeat Spread Program -3.71 - - - - - -21.98 9.33
S&P 500 2.08 - - - - - 69.21 147.37
+/- S&P 500 -5.79 - - - - - -91.19 -138.04

Strategy Description

Investment Strategy

Postrock's AgMeat Spread Program is a non-directional spread program focused primarily in the grain & livestock markets. The fund is primarily discretionary, focusing on price inequalities within the same market based on historical price-relationships, economics of grain... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $25.00
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 4500 RT/YR/$M
Avg. Margin-to-Equity 18%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 90.00%
Systematic 10.00%

Strategy

Arbitrage
5.00%
Seasonal/cyclical
15.00%
Spreading/hedging
80.00%
Strategy Pie Chart

Composition

Livestock
75.00%
Grains
25.00%
Composition Pie Chart

Investment Strategy

Postrock's AgMeat Spread Program is a non-directional spread program focused primarily in the grain & livestock markets. The fund is primarily discretionary, focusing on price inequalities within the same market based on historical price-relationships, economics of grain storage & production, and economics of cattle-feeding as well as available and perceived current and future supply/demand dynamics.

   

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
-32.35 22 - 7/1/2011 5/1/2013
-25.69 11 10 10/1/2008 9/1/2009
-7.15 1 5 8/1/2010 9/1/2010
-6.15 1 2 4/1/2011 5/1/2011
-0.43 1 1 8/1/2008 9/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
25.03 5 12/1/2009 4/1/2010
22.56 4 5/1/2008 8/1/2008
18.29 7 10/1/2010 4/1/2011
15.78 3 6/1/2010 8/1/2010
12.48 1 10/1/2009 10/1/2009
11.88 2 6/1/2011 7/1/2011
5.84 1 8/1/2009 8/1/2009
4.87 2 2/1/2009 3/1/2009
3.46 1 10/1/2008 10/1/2008
2.60 1 8/1/2012 8/1/2012
2.36 1 1/1/2012 1/1/2012
2.31 1 3/1/2012 3/1/2012
1.59 1 1/1/2013 1/1/2013
0.62 1 5/1/2012 5/1/2012
0.53 1 11/1/2011 11/1/2011
0.25 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.33 4 4/1/2009 7/1/2009
-18.75 2 6/1/2012 7/1/2012
-10.21 3 8/1/2011 10/1/2011
-7.35 1 9/1/2009 9/1/2009
-7.15 1 9/1/2010 9/1/2010
-6.95 3 11/1/2008 1/1/2009
-6.15 1 5/1/2011 5/1/2011
-5.15 1 2/1/2012 2/1/2012
-5.10 1 11/1/2009 11/1/2009
-3.90 1 12/1/2011 12/1/2011
-3.71 1 5/1/2013 5/1/2013
-3.47 2 2/1/2013 3/1/2013
-3.35 1 5/1/2010 5/1/2010
-0.62 4 9/1/2012 12/1/2012
-0.50 1 4/1/2012 4/1/2012
-0.43 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable54.1050.8548.2150.0056.8271.0588.4628.57
Average Period Return0.280.891.262.056.6713.1518.433.85
Average Gain3.787.8213.2219.9623.1625.7521.8027.34
Average Loss-3.84-6.28-9.88-15.85-15.03-17.79-7.39-5.55
Best Period12.4822.1427.5338.6762.6568.9053.9038.94
Worst Period-17.78-21.27-23.84-29.91-27.71-26.23-9.67-8.22
Standard Deviation5.229.1213.6320.5224.7324.4815.6517.69
Gain Standard Deviation3.195.477.7212.0818.8716.4213.2017.57
Loss Standard Deviation3.976.056.556.7710.585.833.652.39
Sharpe Ratio (1%)0.040.070.060.050.210.460.98-0.01
Average Gain / Average Loss0.981.251.341.261.541.452.954.93
Profit / Loss Ratio1.161.291.251.262.033.5522.611.97
Downside Deviation (10%)3.916.7110.0315.4816.4015.418.6123.59
Downside Deviation (5%)3.756.198.7912.8112.8011.073.688.37
Downside Deviation (0%)3.716.068.4912.1511.9710.032.715.07
Sortino Ratio (10%)-0.03-0.05-0.12-0.19-0.060.190.31-0.75
Sortino Ratio (5%)0.050.100.090.080.401.014.18-0.03
Sortino Ratio (0%)0.080.150.150.170.561.316.810.76

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.