Princeton Investments and Technologies, LLC : Commodity Arbitrage Plus

Year-to-Date
2.68%
Jun Performance
1.22%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.76%
Sharpe (RFR=1%)
1.40
CAROR
-
Assets
$ 3.1M
Worst DD
-11.01
S&P Correlation
0.48

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
10/2019
Commodity Arbitrage Plus 1.22 2.79 2.68 10.99 - - - 30.93
S&P 500 2.22 8.17 18.13 43.11 - - - 46.07
+/- S&P 500 -1.00 -5.38 -15.45 -32.12 - - - -15.14

Strategy Description

Summary

We uses the Commodity Arbitrage Plus Program ((CAPP) to manage client accounts presently. The CAPP has two sets of strategies, the Commodity Arbitrage Strategy (CAS) and the Macro Trading Strategy (MTS). The CAS trades commodity calendar spread futures while the MTS trades with the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
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 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Fundamental
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Stock Indices
40.00%
Precious Metals
15.00%
Energy
15.00%
Grains
15.00%
Livestock
15.00%
Composition Pie Chart

Summary

We uses the Commodity Arbitrage Plus Program ((CAPP) to manage client accounts presently. The CAPP has two sets of strategies, the Commodity Arbitrage Strategy (CAS) and the Macro Trading Strategy (MTS). The CAS trades commodity calendar spread futures while the MTS trades with the stock index futures. The Commodity Arbitrage Strategy (CAS) grew out of Dr. Wang’s proprietary trading experience since September 2003. The program uses statistical methods as well as the trader’s experience to identify trading opportunities in commodity calendar spread markets. Calendar spreads are pairs of future contracts of same commodity but with different futures expirations. An example of a calendar spread for WTI crude oil would be long December 2018 WTI crude oil while at the same time short November 2018 WTI crude oil contract. In general we do not trade the directional underlying commodity market unless we have strong signals with conservative risk limits. Commodities such as crude oil, heating oil, wheat, live cattle, gold and copper, play important roles in economy and in our daily lives. There are many market participants such as commodity producers, hedgers, money managers as well as short term speculators. Market activities are aggregation of different participants with different motivations, risk levels, and trading horizons. Due to the aggregation of the activities, there can be directional bias or mean reversion for some calendar spreads. We use statistical analysis combined with the specific market knowledge discern the type of market conditions and trade accordingly. PINT trades futures contracts in several sectors: the energy sector in Natural Gas, Crude Oil, Gasoline, and Heating Oil; the livestock sector in Live Cattle, Lean Hogs and Feeder Cattle; and the grain sector in Wheat, Soybeans and Corn. The Macro Trading Strategy (MTS) grew out of Dr. Wang’s investment experiences. So far we long only the stock index futures but try to avoid relatively large stock market dips such as bear markets in which the major stock index S&P 500 declines over 20%. In the future we may enter into either long or short positions depending on prevailing market conditions.

Investment Strategy

Our Commodity Arbitrage Strategy (CAS) trades energy, grains and livestock calendar spreads. We trade the spreads intraday or keep them up to a few months. We buy or sell the spreads intraday by trying to identify potentially the most dominant market forces of the day. We also trade the spreads in a short or medium term by using both statistical method and trader’s experience to identify the optimal entry and exit timing. We try to pick only potentially the most profitable opportunities to trade while exit conservatively. Our Macro Trading Strategy (MTS) invests semi-passively in the stock index futures to skip large drawdowns.

Risk Management

Risk management is essential to capital growth and long-term investment success. It is a cornerstone of the PINT’s trading program since inception. We implement stringent risk management from several aspects: 1. We have an overall portfolio level stop-loss: If the drawdown reaches the preset maximum of 10%, the entire portfolio is mandated to stop-loss. 2. We use low leverage: The total utilized margin is mandated to be under 20% of the portfolio value. Usually the total utilized margin is under 10% of the portfolio value. The Commodity Arbitrage Strategy (CAS) trades calendar spreads of many different commodities: The portfolio weight of each position is inversely proportional to its volatility, thus volatile calendar spreads get lower weight. We mandate that we would not commit over 5% of capital on each of the commodity sectors we trade and in general do not commit over 2.5% on each sector. We trade mostly liquid spread markets so that our risk control can actually be achieved if necessary. The Macro Trading Strategy (MTS) trades the front month E-mini S&P500 or NASDAQ-100 futures contracts, and so far we have tried to just long the futures. We do not commit over 5% of capital for trading margin and we usually do not commit over 2.5% of capital. We take out the long position as long as we see unfavorable macro market situation.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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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
-11.01 2 - 8/1/2020 10/1/2020
-0.02 1 1 1/1/0001 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
31.18 10 11/1/2019 8/1/2020
9.26 2 11/1/2020 12/1/2020
4.17 4 3/1/2021 6/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.01 2 9/1/2020 10/1/2020
-1.43 2 1/1/2021 2/1/2021
-0.02 1 10/1/2019 10/1/2019
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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.