Salus Alpha Capital Ltd : Salus Alpha Commodity Arbitrage (CAX)

Year-to-Date
5.04%
Oct Performance
1.54%
Min Investment
$ 1,000k
Mgmt. Fee
1.25%
Perf. Fee
20.00%
Annualized Vol
5.46%
Sharpe (RFR=1%)
0.67
CAROR
4.62%
Assets
$ 70.0M
Worst DD
-9.83
S&P Correlation
-0.06

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
3/2007
Salus Alpha Commodity Arbitrage (CAX) 1.54 -0.01 -5.04 -5.86 9.96 20.01 33.76 77.24
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 111.57
+/- S&P 500 -0.50 -1.93 -26.21 -17.87 -31.45 -28.98 -156.35 -34.34

Strategy Description

Summary

Salus Alpha Commodity Arbitrage is an arbitrage fund which targets competitive returns under consideration of capital preservation and liquidity of the fund's assets. The Commodity Arbitrage strategy invests in the 35 most liquid commodity markets worldwide by trading calendar spreads... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.25%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
700 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
5.00%
Worst Peak-to-Trough
-5.71%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Energy
30.00%
Grains
30.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Softs
10.00%
Composition Pie Chart

Summary

Salus Alpha Commodity Arbitrage is an arbitrage fund which targets competitive returns under consideration of capital preservation and liquidity of the fund's assets. The Commodity Arbitrage strategy invests in the 35 most liquid commodity markets worldwide by trading calendar spreads on a market neutral basis. The fund aims to profit from price inefficiencies prevalent in the global commodity markets, both among related commodities ("intercommodity arbitrage") and among different maturities of the same commodity futures contracts ("intracommodity arbitrage"), arising from situations like e.g. short-term supply shortages, seasonality, contango, backwardation, etc.

Investment Strategy

The Salus Alpha Commodity Arbitrage Strategy invests in the 35 most liquid commodity markets worldwide by trading calendar spreads on a market neutral basis. The Strategy employs the 100% systematic Salus Alpha Commodity Arbitrage Model, which is based on statistical optimization, and aims to profit from price inefficiencies prevalent in the global commodity markets. Compared to the financial markets, the commodity markets are inefficient, as market participants on the supply and the demand side are influenced by numerous environmental, geopolitical and other external factors. Therefore, abundant and recurring pricing imbalances exist both among related commodities ("intercommodity arbitrage") and among different maturities of the same commodity futures contracts ("intracommodity arbitrage"), arising from situations like e.g. short-term supply shortages, seasonality, contango, backwardation, etc. The Strategy has the potential to profit from prevalent pricing imbalances, independent of the overall market direction.

Risk Management

LONG positions in typically 20-40 commodities are fully offset by corresponding SHORT positions -> market neutral with 0% net exposure. Fully quantitative, model based spread selection and optimization, NO discretionary input. Re-optimization triggered when one spread hits stop loss limit.

   

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
-9.83 39 7 5/1/2012 8/1/2015
-7.29 11 - 10/1/2018 9/1/2019
-4.52 1 9 4/1/2017 5/1/2017
-3.47 2 9 3/1/2016 5/1/2016
-1.60 2 6 5/1/2010 7/1/2010
-1.24 1 1 5/1/2018 6/1/2018
-0.90 1 1 3/1/2018 4/1/2018
-0.71 1 3 9/1/2009 10/1/2009
-0.64 1 1 7/1/2008 8/1/2008
-0.49 1 1 2/1/2012 3/1/2012
-0.33 1 1 3/1/2007 4/1/2007
-0.26 1 1 6/1/2009 7/1/2009
-0.17 1 1 7/1/2018 8/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
23.30 15 5/1/2007 7/1/2008
14.57 15 12/1/2010 2/1/2012
9.67 4 12/1/2017 3/1/2018
8.62 4 9/1/2015 12/1/2015
6.57 4 1/1/2017 4/1/2017
6.13 10 9/1/2008 6/1/2009
5.80 2 2/1/2016 3/1/2016
5.37 2 4/1/2014 5/1/2014
4.58 3 12/1/2014 2/1/2015
3.42 2 6/1/2016 7/1/2016
3.35 5 1/1/2010 5/1/2010
2.79 2 6/1/2017 7/1/2017
2.37 2 4/1/2012 5/1/2012
2.37 1 7/1/2018 7/1/2018
2.15 2 9/1/2018 10/1/2018
2.15 1 3/1/2007 3/1/2007
2.12 1 5/1/2018 5/1/2018
1.89 4 8/1/2013 11/1/2013
1.83 2 4/1/2013 5/1/2013
1.80 1 10/1/2014 10/1/2014
1.54 1 10/1/2019 10/1/2019
1.50 2 5/1/2019 6/1/2019
1.30 3 8/1/2010 10/1/2010
1.22 1 8/1/2019 8/1/2019
1.12 2 12/1/2018 1/1/2019
1.07 2 8/1/2009 9/1/2009
1.05 3 10/1/2012 12/1/2012
0.93 1 11/1/2016 11/1/2016
0.53 1 11/1/2009 11/1/2009
0.46 2 6/1/2015 7/1/2015
0.23 1 7/1/2014 7/1/2014
0.14 1 8/1/2012 8/1/2012
0.12 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.94 3 3/1/2015 5/1/2015
-5.46 3 2/1/2019 4/1/2019
-5.42 2 8/1/2014 9/1/2014
-4.69 4 12/1/2013 3/1/2014
-4.52 1 5/1/2017 5/1/2017
-4.40 2 6/1/2012 7/1/2012
-3.47 2 4/1/2016 5/1/2016
-2.71 1 9/1/2019 9/1/2019
-2.20 2 6/1/2013 7/1/2013
-2.12 1 12/1/2016 12/1/2016
-1.86 1 7/1/2019 7/1/2019
-1.72 3 8/1/2016 10/1/2016
-1.60 2 6/1/2010 7/1/2010
-1.27 3 1/1/2013 3/1/2013
-1.24 1 6/1/2018 6/1/2018
-1.23 1 6/1/2014 6/1/2014
-1.17 1 8/1/2015 8/1/2015
-1.15 1 11/1/2018 11/1/2018
-1.00 2 8/1/2017 9/1/2017
-0.90 1 4/1/2018 4/1/2018
-0.71 1 1/1/2016 1/1/2016
-0.71 1 10/1/2009 10/1/2009
-0.64 1 8/1/2008 8/1/2008
-0.49 1 3/1/2012 3/1/2012
-0.33 1 4/1/2007 4/1/2007
-0.32 1 11/1/2017 11/1/2017
-0.29 1 9/1/2012 9/1/2012
-0.26 1 11/1/2010 11/1/2010
-0.26 1 7/1/2009 7/1/2009
-0.21 1 11/1/2014 11/1/2014
-0.17 1 8/1/2018 8/1/2018
-0.06 1 12/1/2009 12/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable67.7670.6771.4377.3079.2683.7286.3290.48100.00
Average Period Return0.391.162.394.887.048.9512.5316.2418.09
Average Gain1.152.504.237.119.5511.3715.1418.2318.09
Average Loss-1.20-2.04-2.23-2.74-2.54-3.49-3.91-2.71
Best Period5.3010.3716.0122.3625.6730.1034.6647.1156.71
Worst Period-5.41-5.94-6.61-6.43-6.03-6.36-9.18-5.371.49
Standard Deviation1.582.944.406.557.568.3310.3312.8012.82
Gain Standard Deviation1.102.243.725.676.406.798.5411.7912.82
Loss Standard Deviation1.201.661.782.051.711.862.161.72
Sharpe Ratio (1%)0.190.310.430.590.730.830.920.951.01
Average Gain / Average Loss0.951.221.902.603.763.263.876.73
Profit / Loss Ratio2.012.944.748.8414.3916.7524.4663.93
Downside Deviation (10%)1.142.012.804.205.346.549.2111.6114.17
Downside Deviation (5%)0.991.531.742.032.012.372.712.190.42
Downside Deviation (0%)0.961.421.521.621.391.591.640.98
Sortino Ratio (10%)-0.02-0.03-0.03-0.03-0.10-0.20-0.35-0.46-0.67
Sortino Ratio (5%)0.310.601.091.912.752.933.515.5530.63
Sortino Ratio (0%)0.410.821.573.015.095.647.6516.63

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 10 3.73 3/2016
IASG CTA Index Month 6 3.23 12/2015
Systematic Trader Index Month 8 3.23 12/2015

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