Princeton Investments and Technologies, LLC : Commodity Arbitrage Program

archived programs
Year-to-Date
N / A
May Performance
3.40%
Min Investment
$ 150k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
6.04%
Sharpe (RFR=1%)
0.32
CAROR
-
Assets
$ 2.7M
Worst DD
-7.16
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/2017
Commodity Arbitrage Program 3.40 - - - 4.71 - - 4.96
S&P 500 -6.58 - - - 29.91 - - 28.67
+/- S&P 500 9.98 - - - -25.19 - - -23.71

Strategy Description

Summary

The Commodity Arbitrage Program grew out of our company's principals' proprietary trading since 2003 as well as our collective rich quantitative modeling experiences. The program uses statistical methods to identify trading opportunities in commodity calendar spread markets. (Calendar... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 15.00%
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 5000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 3.23%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Grains
25.00%
Livestock
25.00%
Composition Pie Chart

Summary

The Commodity Arbitrage Program grew out of our company's principals' proprietary trading since 2003 as well as our collective rich quantitative modeling experiences. The program uses statistical methods 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.

The program currently trades futures contracts in Natural Gas, Crude Oil, Gasoline, Heating Oil, Live Cattle, Lean Hogs, Wheat and Corn.

Investment Strategy

Aggregated behavior of market participants ultimately drives the calendar spread prices, certain consistent market behavior can emerge, for example seasonality. For example, because October is usually warmer than December, the natural gas price difference between October and December is usually negative. The spread price reflects also the commodity inventory. If the October supply is tight, natural gas October and December price difference can be dramatically positive.

We use statistics methods and our specific calendar spread market knowledge to dissect closely the spread price behavior including seasonality, and design entry and exit to capitalize on these patterns.

Once individual commodity pair signals are generated, we construct a near-optimal portfolio using modern portfolio theory. One key aspect of the portfolio construction is that the risky or volatile pairs get proportionally lower portfolio weight.
v We execute our entry and exit orders according to the prevailing market conditions using our proprietary execution algorithms.

Risk Management

Risk management is essential to capital growth and long-term investment success. It is a cornerstone of the trading program since its inception.

We implement stringent risk management from several aspects.

1. We have an overall portfolio level stop-loss: If the drawdown reaches the backtest maximum of about 8%, the entire portfolio is programmed to stop-loss.
2. We use low leverage: The utilized margin is usually under 10% of the portfolio margin allowed by futures brokers.
3. We trade 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.
4. We trade only liquid spread markets so that our risk control can actually be achieved if necessary.

   

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
-7.16 8 - 5/1/2018 1/1/2019
-2.24 2 1 2/1/2018 4/1/2018
-0.46 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
6.30 2 1/1/2018 2/1/2018
3.40 1 5/1/2019 5/1/2019
2.75 1 5/1/2018 5/1/2018
2.73 2 2/1/2019 3/1/2019
0.83 3 9/1/2017 11/1/2017
0.62 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.92 6 6/1/2018 11/1/2018
-2.24 2 3/1/2018 4/1/2018
-0.87 1 1/1/2019 1/1/2019
-0.69 1 4/1/2019 4/1/2019
-0.46 1 12/1/2017 12/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable47.6252.6350.0040.00
Average Period Return0.250.480.25-1.63
Average Gain1.652.574.230.90
Average Loss-1.04-1.84-3.73-3.31
Best Period3.785.816.692.20
Worst Period-2.39-4.64-6.92-6.64
Standard Deviation1.742.974.562.70
Gain Standard Deviation1.482.232.171.07
Loss Standard Deviation0.581.631.891.98
Sharpe Ratio (1%)0.090.08-0.05-0.97
Average Gain / Average Loss1.601.391.140.27
Profit / Loss Ratio1.451.551.140.18
Downside Deviation (10%)1.122.394.597.11
Downside Deviation (5%)0.901.793.243.65
Downside Deviation (0%)0.851.652.922.92
Sortino Ratio (10%)-0.14-0.31-0.48-0.93
Sortino Ratio (5%)0.180.13-0.08-0.72
Sortino Ratio (0%)0.290.290.09-0.56

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.