Rohrs & Company LLC : Seasonal Commodities Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since6/2004 Seasonal Commodities Program -0.17 - - - - - 7.37 30.11 S&P 500 0.85 - - - - - 9.52 225.83 +/- S&P 500 -1.02 - - - - - -2.15 -195.72 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 ManagementStops - 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel