SpreadEdge Capital, LLC : Agriculture Seasonal Spreads

Year-to-Date
4.13%
Nov Performance
1.08%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
28.92%
Sharpe (RFR=1%)
0.98
CAROR
28.78%
Assets
$ 204k
Worst DD
-20.67
S&P Correlation
-0.26

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
3/2017
Agriculture Seasonal Spreads 1.08 -1.00 4.13 14.65 - - - 100.50
S&P 500 3.40 7.33 25.29 13.79 - - - 31.59
+/- S&P 500 -2.32 -8.33 -21.16 0.86 - - - 68.91

Strategy Description

Summary

The program involves “Spread” trades which entails the buying of a futures contract for one month and the simultaneous selling of the same futures contract for a different month. The program leverages 15 years of historical trends combined with current market action to determine the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
7900 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
-9.00%
Worst Peak-to-Trough
20.45%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
50.00%
1-30 Days
40.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Pattern Recognition
30.00%
Seasonal/cyclical
40.00%
Technical
30.00%
Strategy Pie Chart

Composition

Livestock
40.00%
Grains
35.00%
Softs
25.00%
Composition Pie Chart

Summary

The program involves “Spread” trades which entails the buying of a futures contract for one month and the simultaneous selling of the same futures contract for a different month. The program leverages 15 years of historical trends combined with current market action to determine the best investment decisions. SpreadEdge makes both long and short investments in a portfolio of domestic commodities. The SpreadEdge Seasonal Spread Program seeks to capture profitable returns leveraging data analysis of historical seasonal trends.

Investment Strategy

SpreadEdge Agriculture Seasonal Spread Program is designed to provide exposure to a broad base of U.S. agricultural futures markets. Markets generally traded include (but are not limited to) wheat, corn, soybeans, soybean meal, soybean oil, live cattle, feeder cattle, lean hogs, cotton, coffee, sugar, cocoa, and orange juice. The Program seeks to achieve significant profits across a broad variety of market conditions (both bull and bear markets, and inflationary and deflationary environments). To achieve their objectives, the Programs involve speculating in futures contracts (or options thereon) available for trading on any U.S. exchange. Trades are typically seasonal calendar spreads or intra-commodity spreads (such as Chicago vs. Kansas City wheat). Inter-commodity spreads are not generally used. Options are normally not used, but could be used in extreme market conditions for risk management purposes.

Risk Management

For the SpreadEdge trading program, the Advisor attempts to limit the risk on an individual trade to between 2% and 5% of the account's equity. Additionally, SpreadEdge monitors approximately 14 different commodities across 3 asset classes to spread exposure across a wide range of markets. Risk is further minimized by spreading exposure across the various delivery dates within each individual commodity (minimizing front delivery month exposure is critical).

   

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
-20.67 6 3 4/1/2017 10/1/2017
-19.47 3 2 5/1/2018 8/1/2018
-8.61 1 1 3/1/2018 4/1/2018
-5.33 7 - 2/1/2019 9/1/2019
-0.82 1 1 1/1/0001 3/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
71.17 5 11/1/2017 3/1/2018
56.46 6 9/1/2018 2/1/2019
20.93 1 5/1/2018 5/1/2018
8.31 1 4/1/2017 4/1/2017
7.27 1 7/1/2017 7/1/2017
4.68 2 7/1/2019 8/1/2019
4.26 2 10/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.47 3 6/1/2018 8/1/2018
-18.01 3 8/1/2017 10/1/2017
-9.81 2 5/1/2017 6/1/2017
-8.61 1 4/1/2018 4/1/2018
-5.05 1 9/1/2019 9/1/2019
-4.75 4 3/1/2019 6/1/2019
-0.82 1 3/1/2017 3/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable54.5551.6167.86100.00100.00
Average Period Return2.467.7518.0048.7476.51
Average Gain8.3219.9829.1048.7476.51
Average Loss-4.58-5.28-5.43
Best Period20.9344.9475.0895.01135.46
Worst Period-14.30-19.47-20.6714.6524.38
Standard Deviation8.3516.6325.3925.0035.39
Gain Standard Deviation6.0813.7123.3225.0035.39
Loss Standard Deviation4.146.176.43
Sharpe Ratio (1%)0.280.450.691.912.12
Average Gain / Average Loss1.823.785.36
Profit / Loss Ratio2.184.0311.31
Downside Deviation (10%)4.316.145.66
Downside Deviation (5%)4.145.664.81
Downside Deviation (0%)4.105.544.62
Sortino Ratio (10%)0.481.062.74
Sortino Ratio (5%)0.571.333.64
Sortino Ratio (0%)0.601.403.90

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 3 3.15 10/2019
Systematic Trader Index Month 8 3.15 10/2019
Agricultural Trader Index Month 3 2.03 8/2019
Agricultural Trader Index Month 2 2.60 7/2019

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