Princeton Investments and Technologies, LLC : Commodity Arbitrage Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since9/2017 Commodity Arbitrage Program 3.40 - - - -0.34 - - 4.96 S&P 500 -6.58 - - - 29.91 - - 61.40 +/- S&P 500 9.98 - - - -30.24 - - -56.44 Strategy Description SummaryThe 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% Composition Energy 50.00% Grains 25.00% Livestock 25.00% SummaryThe 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 StrategyAggregated 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel