Principle Capital Management LLC : Principle Commodity Futures Fund

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
5.20%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.38%
Sharpe (RFR=1%)
-0.14
CAROR
-1.47%
Assets
$ 1.7M
Worst DD
-19.78
S&P Correlation
-0.04

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Principle Commodity Futures Fund 5.20 - - - 4.91 -7.46 - -5.16
S&P 500 0.37 - - - 23.76 80.68 - 80.12
+/- S&P 500 4.83 - - - -18.84 -88.14 - -85.28

Strategy Description

Summary

The Principle Commodity Futures Program is a discretionary strategy combining both fundamentals analysis and technical analysis. The investment strategy’s objective is to generate consistent returns by capturing inefficiency in energy commodity markets. The strategy will focus on... Read More

Account & Fees

Type Fund
Minimum Investment $ 500k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1300 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD 15.00%
Worst Peak-to-Trough -11.00%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 40.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic

Strategy

Fundamental
50.00%
Option-purchasing
15.00%
Option-spreads
15.00%
Spreading/hedging
20.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Principle Commodity Futures Program is a discretionary strategy combining both fundamentals analysis and technical analysis. The investment strategy’s objective is to generate consistent returns by capturing inefficiency in energy commodity markets. The strategy will focus on trading opportunities in natural gas, crude oil, and refined products.

Investment Strategy

Our investment strategy starts with intensive fundamental research, collecting and analyzing historical data of production and consumption of each commodity and factors that affect the supply and demand of each commodity. We use statistical programs and other proprietary models to identify investment opportunities that arise from the imbalance between supply and demand. We make discretionary investment decisions on the basis of our judgments on the output of the proprietary models. We also employ a combination of top-down and bottom-up fundamental analysis. The top-down approach will use macro data to gauge underlying growth trends and forecast future supply and demand balance due to economic activities. The bottom-up analysis will collect data on individual pipelines, power plants and refineries to assess fundamental conditions in individual locations and aggregate them to generate the overall picture of supply and demand balance. We trade the following strategies: 1) Spreads - which involve holding simultaneous long and short futures; 2) Opportunistic trading - which generally involves purchasing options to create directional exposure.

Risk Management

Our risk management strategy covers four major areas: 1. Market risk: We manage risk by building a portfolio with trades with favorable risk-reward payoffs. We quantify the downside risks and measure risk by VaR and tail stress. We simulate, stress test and back-test to avoid damage from negative tail events, and limit risk through stop-loss and drawdown limits. 2. Liquidity risk: We only take positions in liquid markets and products. The duration of trades is typically within 6 to 12 months depending on products' liquidity. 3. Credit risk: All trades are futures and options listed on national futures exchanges to minimize credit risk. 4. Operational risk: We adopt leading practices in our internal operations.

   

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:
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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-19.78 6 - 9/1/2016 3/1/2017
-11.29 7 8 5/1/2014 12/1/2014
-9.62 2 5 10/1/2015 12/1/2015
-1.84 2 1 5/1/2016 7/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
10.86 4 1/1/2015 4/1/2015
10.31 2 1/1/2016 2/1/2016
7.02 2 4/1/2017 5/1/2017
5.82 5 6/1/2015 10/1/2015
5.55 2 8/1/2016 9/1/2016
5.20 1 11/1/2017 11/1/2017
3.86 2 8/1/2017 9/1/2017
3.75 1 5/1/2016 5/1/2016
1.87 2 9/1/2014 10/1/2014
0.58 1 11/1/2016 11/1/2016
0.50 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.18 4 12/1/2016 3/1/2017
-9.62 2 11/1/2015 12/1/2015
-7.23 2 11/1/2014 12/1/2014
-6.13 3 6/1/2014 8/1/2014
-5.92 2 6/1/2017 7/1/2017
-4.84 1 10/1/2016 10/1/2016
-3.00 2 3/1/2016 4/1/2016
-1.84 2 6/1/2016 7/1/2016
-0.79 1 10/1/2017 10/1/2017
-0.36 1 5/1/2015 5/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable53.4956.1050.0056.2557.6955.00
Average Period Return-0.06-0.48-0.91-0.720.070.02
Average Gain2.373.324.715.877.298.37
Average Loss-2.85-5.34-6.52-9.21-9.79-10.18
Best Period5.4710.1310.519.5716.4615.61
Worst Period-12.18-15.68-19.78-16.11-16.06-13.49
Standard Deviation3.575.227.158.789.5610.33
Gain Standard Deviation1.862.552.672.594.615.04
Loss Standard Deviation2.993.345.616.103.643.01
Sharpe Ratio (1%)-0.04-0.14-0.20-0.20-0.15-0.19
Average Gain / Average Loss0.830.620.720.640.750.82
Profit / Loss Ratio0.960.790.720.821.021.00
Downside Deviation (10%)2.984.867.4410.2211.7814.25
Downside Deviation (5%)2.824.286.297.797.698.40
Downside Deviation (0%)2.784.146.017.226.767.09
Sortino Ratio (10%)-0.16-0.35-0.45-0.56-0.64-0.72
Sortino Ratio (5%)-0.05-0.17-0.22-0.22-0.19-0.24
Sortino Ratio (0%)-0.02-0.12-0.15-0.100.010.00

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.