Spring Valley Asset Management (SVAM) : SVAM Commodity Advantage Portfolio

Year-to-Date
1.69%
Sep Performance
1.66%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.41%
Sharpe (RFR=1%)
0.44
CAROR
-
Assets
$ 10.0M
Worst DD
-3.00
S&P Correlation
-0.09

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/2020
SVAM Commodity Advantage Portfolio 1.66 -0.53 1.69 - - - - 2.63
S&P 500 -4.76 0.37 18.56 - - - - 22.97
+/- S&P 500 6.42 -0.90 -16.87 - - - - -20.34

Strategy Description

Summary

The SVAM Commodity Advantage Portfolio pursues a multi-strategy systematic approach to investing across a diverse selection of highly liquid commodity markets (including precious metals, industrial metals, energies, grains, foods, fibers and meats), offering the potential for attractive... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 3.00
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 Daily
Investor Requirements QEP
Lock-up Period 0

Trading

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

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Energy
25.00%
Grains
22.00%
Precious Metals
20.00%
Softs
20.00%
Livestock
8.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

The SVAM Commodity Advantage Portfolio pursues a multi-strategy systematic approach to investing across a diverse selection of highly liquid commodity markets (including precious metals, industrial metals, energies, grains, foods, fibers and meats), offering the potential for attractive risk-adjusted returns, controlled downside volatility and distinct correlation benefits within a cash efficient (i.e., low margin) investment vehicle. The portfolio's trading methodology is premised upon the notion that, unlike the highly correlated nature of global stock and bond markets, the unique fundamentals of each individual commodity market - with respect to supply and demand imbalances, seasonal characteristics, weather-related patterns and government/trade policy - gives each a distinct "personality" and therefore warrants a trading approach that is specifically tailored to that commodity market.

Investment Strategy

The Commodity Advantage Portfolio utilizes a series of proprietary forecasting models to "map" the prevailing alpha opportunity set for each individual commodity market based upon an assessment of market volatility and price action across multiple time horizons; thereafter, the firm's Dynamic Allocation Model assigns a unique subset of trading models that are best suited to profit given the forecasted alpha opportunity set for a given commodity market. Each of the underlying model subsets are opportunistic in nature and may evolve over time, and each may include models that seek to capture directional, mean reverting, cross-commodity and/or cross-sectional opportunities. The result is a diverse portfolio that seeks to optimize both risk exposure and alpha capture across each individual commodity market; to this end, risk exposures are systematically determined at the individual model, subset and portfolio levels, while holding periods range from mere days to several weeks in duration.

   

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
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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
-3.00 3 - 5/1/2021 8/1/2021
-0.87 1 1 11/1/2020 12/1/2020
-0.26 1 1 3/1/2021 4/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
1.98 3 1/1/2021 3/1/2021
1.81 1 11/1/2020 11/1/2020
1.66 1 9/1/2021 9/1/2021
1.38 1 5/1/2021 5/1/2021
0.27 1 7/1/2021 7/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.42 1 8/1/2021 8/1/2021
-0.87 1 12/1/2020 12/1/2020
-0.86 1 6/1/2021 6/1/2021
-0.26 1 4/1/2021 4/1/2021
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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.