Principle Capital Management LLC : Principle Commodity Futures (Prop)

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
5.20%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.44%
Sharpe (RFR=1%)
0.13
CAROR
1.77%
Assets
$ 2.2M
Worst DD
-21.11
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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
5/2010
Principle Commodity Futures (Prop) 5.20 - - - 5.20 -5.87 15.49 14.26
S&P 500 0.37 - - - 23.76 80.68 72.73 197.06
+/- S&P 500 4.83 - - - -18.56 -86.55 -57.23 -182.80

Strategy Description

Summary

The Principle Commodity Futures Program is a discretionary program focused on energy. The investment strategy’s objective is to generate consistent returns by capturing inefficiency in energy commodity markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD 15.00%
Worst Peak-to-Trough -20.00%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 60.00%
1-30 Days 40.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

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 program focused on energy. The investment strategy’s objective is to generate consistent returns by capturing inefficiency in energy commodity markets.

Investment Strategy

The investment strategy focuses on opportunities generated by energy market inefficiency. Drivers of price volatility are mostly unrelated to financial market. Examples include unpredictable weather and catastrophes create demand spikes/shocks and supply disruptions.

Risk Management

Our risk management strategy covers four major areas: 1. Market risk: We manage risk by construction of asymmetric portfolio. We quantify downside risks and measure risk by measuring downside loss potentials We simulate, stress test and back-test positions to uncover potential 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:
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
-21.11 22 - 2/1/2013 12/1/2014
-6.60 1 4 8/1/2011 9/1/2011
-3.86 2 1 1/1/0001 6/1/2010
-2.74 1 3 7/1/2010 8/1/2010
-0.95 1 3 9/1/2012 10/1/2012
-0.71 1 2 5/1/2012 6/1/2012
-0.60 3 1 1/1/2012 4/1/2012
-0.43 1 1 3/1/2011 4/1/2011
-0.25 2 1 5/1/2011 7/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
23.60 7 9/1/2010 3/1/2011
11.41 2 1/1/2016 2/1/2016
9.78 4 1/1/2015 4/1/2015
9.15 4 10/1/2011 1/1/2012
6.97 2 8/1/2016 9/1/2016
6.92 5 6/1/2015 10/1/2015
6.26 2 4/1/2017 5/1/2017
5.20 1 11/1/2017 11/1/2017
4.53 1 5/1/2016 5/1/2016
4.14 1 7/1/2010 7/1/2010
3.59 3 7/1/2012 9/1/2012
3.38 2 8/1/2017 9/1/2017
2.11 1 9/1/2013 9/1/2013
1.94 1 5/1/2012 5/1/2012
1.86 2 9/1/2014 10/1/2014
1.72 1 8/1/2011 8/1/2011
1.52 1 5/1/2011 5/1/2011
1.19 4 11/1/2012 2/1/2013
0.83 1 11/1/2016 11/1/2016
0.77 1 5/1/2014 5/1/2014
0.43 1 5/1/2013 5/1/2013
0.12 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.34 4 12/1/2016 3/1/2017
-12.28 7 10/1/2013 4/1/2014
-10.47 2 11/1/2015 12/1/2015
-6.63 2 11/1/2014 12/1/2014
-6.60 1 9/1/2011 9/1/2011
-6.00 3 6/1/2014 8/1/2014
-5.21 1 10/1/2016 10/1/2016
-5.06 2 6/1/2017 7/1/2017
-3.86 2 5/1/2010 6/1/2010
-3.46 2 3/1/2016 4/1/2016
-2.74 1 8/1/2010 8/1/2010
-2.13 2 3/1/2013 4/1/2013
-1.94 2 6/1/2016 7/1/2016
-0.95 1 10/1/2012 10/1/2012
-0.75 1 10/1/2017 10/1/2017
-0.71 1 6/1/2012 6/1/2012
-0.60 3 2/1/2012 4/1/2012
-0.55 1 6/1/2013 6/1/2013
-0.43 1 4/1/2011 4/1/2011
-0.29 1 5/1/2015 5/1/2015
-0.25 2 6/1/2011 7/1/2011
-0.12 1 8/1/2013 8/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods91.0089.0086.0080.0074.0068.0056.0044.0032.00
Percent Profitable52.7557.3058.1462.5058.1150.0025.0022.7353.13
Average Period Return0.190.520.981.552.031.88-0.72-4.190.27
Average Gain2.173.785.838.2110.9714.0219.6510.429.45
Average Loss-2.02-3.86-5.75-9.55-10.38-10.26-7.51-8.49-10.12
Best Period6.4714.9923.0426.7728.7734.3533.6919.6622.69
Worst Period-10.64-13.82-18.13-17.82-19.29-20.34-16.52-18.49-16.74
Standard Deviation3.015.107.7210.6712.5914.4514.019.5612.58
Gain Standard Deviation1.913.425.586.807.869.9513.726.028.77
Loss Standard Deviation2.433.404.575.285.044.613.825.056.66
Sharpe Ratio (1%)0.040.050.060.050.04-0.01-0.27-0.86-0.38
Average Gain / Average Loss1.080.981.010.861.061.372.621.230.93
Profit / Loss Ratio1.201.321.411.431.471.370.870.361.06
Downside Deviation (10%)2.353.986.109.5612.2015.0420.7927.4230.03
Downside Deviation (5%)2.193.474.997.218.349.259.7111.8811.50
Downside Deviation (0%)2.153.344.736.667.457.937.288.658.21
Sortino Ratio (10%)-0.09-0.18-0.24-0.36-0.46-0.56-0.79-0.94-0.91
Sortino Ratio (5%)0.050.080.100.080.06-0.01-0.39-0.69-0.42
Sortino Ratio (0%)0.090.160.210.230.270.24-0.10-0.480.03

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 2 5.79 8/2016
Discretionary Trader Index Month 2 5.79 8/2016
Discretionary Trader Index Month 2 4.53 5/2016
IASG CTA Index Month 1 4.53 5/2016
Discretionary Trader Index Month 1 6.47 2/2016
IASG CTA Index Month 10 6.47 2/2016
Discretionary Trader Index Month 2 4.64 1/2016

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