Redleaf Capital, LLC : Cotton Boll

archived programs
Year-to-Date
N / A
Nov Performance
-3.61%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.43%
Sharpe (RFR=1%)
-1.13
CAROR
-5.16%
Assets
$ 890k
Worst DD
-15.07
S&P Correlation
0.05

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
3/2014
Cotton Boll -3.61 -9.94 - -14.74 - - - -13.57
S&P 500 3.42 1.28 - 5.69 - - - 17.44
+/- S&P 500 -7.03 -11.22 - -20.43 - - - -31.00

Strategy Description

Summary

This is a fundamentals based trading program trading the cotton market. Cotton Boll is a low turnover program and its goal will be to capture up and down movements in the market. It is designed with a targeted annualized standard deviation which will allow investors to utilize various... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-15.00%
Sector Focus
Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Composition

Softs
100.00%
Composition Pie Chart

Summary

This is a fundamentals based trading program trading the cotton market. Cotton Boll is a low turnover program and its goal will be to capture up and down movements in the market. It is designed with a targeted annualized standard deviation which will allow investors to utilize various levels of leverage.

Investment Strategy

The strategy uses ICE cotton intra-commodity spreads, options, and futures to achieve its objective of capital preservation and growth.

Risk Management

Diversification of strategies and time frames.

   

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
-15.07 11 - 12/1/2015 11/1/2016
-1.48 3 2 6/1/2015 9/1/2015
-1.30 3 5 5/1/2014 8/1/2014
-0.77 2 1 1/1/0001 4/1/2014
-0.11 1 1 4/1/2015 5/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
2.98 1 8/1/2016 8/1/2016
1.98 3 10/1/2015 12/1/2015
1.71 1 4/1/2016 4/1/2016
1.45 4 1/1/2015 4/1/2015
0.87 1 5/1/2014 5/1/2014
0.76 1 11/1/2014 11/1/2014
0.29 1 9/1/2014 9/1/2014
0.19 1 6/1/2015 6/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.94 3 9/1/2016 11/1/2016
-5.67 3 5/1/2016 7/1/2016
-4.54 3 1/1/2016 3/1/2016
-1.48 3 7/1/2015 9/1/2015
-1.30 3 6/1/2014 8/1/2014
-0.77 2 3/1/2014 4/1/2014
-0.11 1 5/1/2015 5/1/2015
-0.05 1 10/1/2014 10/1/2014
-0.01 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable39.3941.9439.2954.5537.50
Average Period Return-0.43-0.98-1.52-2.05-2.90
Average Gain0.790.781.061.441.29
Average Loss-1.22-2.25-3.19-6.25-5.42
Best Period2.981.982.212.112.15
Worst Period-3.92-9.94-11.18-14.74-14.51
Standard Deviation1.572.543.354.754.97
Gain Standard Deviation0.820.550.730.650.74
Loss Standard Deviation1.432.663.334.024.69
Sharpe Ratio (1%)-0.33-0.48-0.60-0.64-0.89
Average Gain / Average Loss0.640.350.330.230.24
Profit / Loss Ratio0.420.250.220.280.14
Downside Deviation (10%)1.673.335.178.4411.54
Downside Deviation (5%)1.482.743.825.536.52
Downside Deviation (0%)1.442.613.544.945.54
Sortino Ratio (10%)-0.50-0.66-0.77-0.84-0.91
Sortino Ratio (5%)-0.34-0.45-0.53-0.55-0.68
Sortino Ratio (0%)-0.30-0.37-0.43-0.42-0.52

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 4 2.98 8/2016

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