Rohrs & Company LLC : Seasonal Commodities Program

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-0.17%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.37%
Sharpe (RFR=1%)
0.26
CAROR
3.53%
Assets
$ 100k
Worst DD
-21.30
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2004
Seasonal Commodities Program -0.17 - - - - - 7.07 30.11
S&P 500 0.85 - - - - - 9.52 203.65
+/- S&P 500 -1.02 - - - - - -2.45 -173.54

Strategy Description

Summary

The SEASONAL COMMODITY PROGRAM trades seasonal commodity spreads using a fundamental approach. The seasonal approach to markets is designed to anticipate future price movement rather than constantly react to an endless stream of often contradictory news. It seeks to eliminate the "noise"... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 1340 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Livestock
35.00%
Grains
30.00%
Energy
15.00%
Currency Futures
5.00%
Precious Metals
5.00%
Interest Rates
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The SEASONAL COMMODITY PROGRAM trades seasonal commodity spreads using a fundamental approach. The seasonal approach to markets is designed to anticipate future price movement rather than constantly react to an endless stream of often contradictory news. It seeks to eliminate the "noise" in the marketplace. Although numerous factors affect the markets, certain conditions and events recur at annual intervals. Perhaps the most obvious is the annual cycle of weather from warm to cold and back to warm. However, the calendar also marks the passing of important events, such as the date for U.S. income taxes every April 15th. Such annual events create yearly cycles in supply and demand. Enormous supplies of grain at harvest dwindle throughout the year. Demand for heating oil typically rises as cold weather approaches but subsides as inventory is filled. Monetary liquidity may decline as taxes are paid but rise as the Federal Reserve re-circulates funds.

Investment Strategy

The Program seeks seasonal trades for which there is a clear FUNDAMENTAL reason why they should work. And that in the last 15 years have worked 12/15 and 8/10 and 4/5. Entry and exit points are based on historical parameters as guides, but also with a constant eye toward new market forces that could distort normal seasonal patters, as for example a "mad-cow outbreak" with Cattle; or Hurricanes with Grains and Oil.

Timing - while these seasonal patterns are fairly consistent from year to year, we found that because of various circumstances they don't always occur in the same time frames. Thus, it was important to devise additional technical analyses to devise the opportune entry and exit dates for the particular year.

Risk Management

Stops - Also, while early risk parameters were set based on historical trade patterns, this proved too volatile. Thus, additional proprietary, technical analyses were devised better evaluate to markets as the trades were unfolding.

   

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
-21.30 41 - 10/1/2007 3/1/2011
-15.20 11 5 7/1/2004 6/1/2005
-14.43 7 8 11/1/2005 6/1/2006
-5.32 1 1 4/1/2007 5/1/2007
-0.54 1 1 2/1/2007 3/1/2007
-0.25 1 1 8/1/2007 9/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
21.82 3 6/1/2007 8/1/2007
17.17 5 10/1/2006 2/1/2007
15.44 2 6/1/2004 7/1/2004
12.71 2 10/1/2005 11/1/2005
10.38 2 7/1/2005 8/1/2005
10.24 4 7/1/2008 10/1/2008
6.42 2 4/1/2011 5/1/2011
6.02 2 9/1/2010 10/1/2010
5.59 2 4/1/2009 5/1/2009
5.23 2 4/1/2008 5/1/2008
5.16 1 7/1/2011 7/1/2011
3.58 1 4/1/2007 4/1/2007
2.83 1 10/1/2007 10/1/2007
2.70 1 9/1/2004 9/1/2004
2.15 1 9/1/2011 9/1/2011
1.92 1 2/1/2009 2/1/2009
1.90 1 4/1/2005 4/1/2005
1.75 2 7/1/2006 8/1/2006
1.54 1 3/1/2010 3/1/2010
1.01 1 3/1/2006 3/1/2006
0.54 1 7/1/2010 7/1/2010
0.47 1 12/1/2009 12/1/2009
0.42 1 11/1/2011 11/1/2011
0.37 1 2/1/2011 2/1/2011
0.26 1 9/1/2009 9/1/2009
0.24 1 5/1/2010 5/1/2010
0.24 1 2/1/2008 2/1/2008
0.10 1 1/1/2005 1/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.23 3 11/1/2007 1/1/2008
-11.20 3 11/1/2008 1/1/2009
-9.63 3 4/1/2006 6/1/2006
-9.25 3 10/1/2004 12/1/2004
-6.25 3 12/1/2005 2/1/2006
-6.20 3 11/1/2010 1/1/2011
-5.42 2 5/1/2005 6/1/2005
-5.32 1 5/1/2007 5/1/2007
-4.22 1 8/1/2004 8/1/2004
-4.05 1 6/1/2008 6/1/2008
-3.87 1 3/1/2011 3/1/2011
-3.72 1 3/1/2009 3/1/2009
-3.54 3 6/1/2009 8/1/2009
-2.55 1 4/1/2010 4/1/2010
-2.45 1 3/1/2008 3/1/2008
-2.30 1 6/1/2011 6/1/2011
-2.11 2 1/1/2010 2/1/2010
-1.59 2 10/1/2009 11/1/2009
-1.53 2 2/1/2005 3/1/2005
-1.25 1 9/1/2005 9/1/2005
-0.93 1 9/1/2006 9/1/2006
-0.69 1 8/1/2010 8/1/2010
-0.54 1 3/1/2007 3/1/2007
-0.47 1 6/1/2010 6/1/2010
-0.25 1 9/1/2007 9/1/2007
-0.17 1 12/1/2011 12/1/2011
-0.17 1 10/1/2011 10/1/2011
-0.17 1 8/1/2011 8/1/2011
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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 Profitable49.4550.5650.0051.2554.0557.3564.2977.27100.00
Average Period Return0.350.851.533.014.856.3010.8313.5216.90
Average Gain2.995.588.4710.3013.8216.7921.4019.1416.90
Average Loss-2.23-3.99-5.41-4.66-5.71-7.81-8.19-5.59
Best Period10.4021.8220.1440.2541.6536.8438.5136.0431.71
Worst Period-8.16-11.23-14.06-14.79-14.78-15.20-15.87-12.402.27
Standard Deviation3.576.308.6810.9812.8015.4416.4913.347.15
Gain Standard Deviation2.704.816.2110.7210.6112.119.939.147.15
Loss Standard Deviation2.163.183.913.464.133.473.584.35
Sharpe Ratio (1%)0.080.100.120.180.260.280.470.711.65
Average Gain / Average Loss1.341.401.572.212.422.152.613.42
Profit / Loss Ratio1.311.431.572.322.852.894.7011.64
Downside Deviation (10%)2.414.296.237.299.7012.4014.9314.8612.81
Downside Deviation (5%)2.233.714.994.625.626.807.035.030.78
Downside Deviation (0%)2.193.574.704.044.755.575.323.31
Sortino Ratio (10%)-0.02-0.09-0.15-0.27-0.28-0.32-0.33-0.54-0.84
Sortino Ratio (5%)0.120.160.210.430.600.631.111.8815.03
Sortino Ratio (0%)0.160.240.330.751.021.132.044.08

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.