Strategic Investments : Commodity Program

archived programs
Year-to-Date
N / A
Dec Performance
7.49%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.77%
Sharpe (RFR=1%)
0.58
CAROR
11.97%
Assets
$ 0k
Worst DD
-39.62
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/1992
Commodity Program 7.49 - - - - - 14.31 709.29
S&P 500 6.53 - - - - - -4.74 716.65
+/- S&P 500 0.96 - - - - - 19.06 -7.36

Strategy Description

Summary

The Commodity Program is primarily a fundamental program, using technical tools to indicate entry and exit points. This program typically trades the Precious Metals, Energies, Grains, Meats, and the Softs.... 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 $12.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Composition

Summary

The Commodity Program is primarily a fundamental program, using technical tools to indicate entry and exit points. This program typically trades the Precious Metals, Energies, Grains, Meats, and the Softs.

   

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
-39.62 8 14 12/1/1993 8/1/1994
-30.27 32 20 6/1/1999 2/1/2002
-26.20 12 4 10/1/1996 10/1/1997
-23.49 19 - 2/1/2008 9/1/2009
-15.84 2 6 3/1/1993 5/1/1993
-14.31 11 7 4/1/2006 3/1/2007
-11.71 2 2 8/1/1998 10/1/1998
-8.93 3 1 4/1/1996 7/1/1996
-8.58 4 2 2/1/1998 6/1/1998
-7.96 1 1 11/1/2005 12/1/2005
-7.90 1 2 10/1/2003 11/1/2003
-6.72 1 2 12/1/1995 1/1/1996
-6.00 2 1 12/1/1992 2/1/1993
-5.52 2 2 2/1/1999 4/1/1999
-4.31 1 2 3/1/2005 4/1/2005
-3.11 1 5 3/1/2004 4/1/2004
-2.43 1 1 12/1/2004 1/1/2005
-2.15 1 1 10/1/1995 11/1/1995
-1.96 1 1 9/1/2005 10/1/2005
-1.65 1 1 1/1/0001 7/1/1992
-0.77 2 2 8/1/1992 10/1/1992
-0.31 1 1 12/1/1998 1/1/1999
-0.16 1 1 1/1/2006 2/1/2006
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
53.96 4 12/1/2003 3/1/2004
50.88 6 9/1/2007 2/1/2008
43.86 6 11/1/1994 4/1/1995
42.29 3 2/1/1996 4/1/1996
34.64 3 10/1/1993 12/1/1993
29.11 4 7/1/1995 10/1/1995
25.39 3 8/1/1996 10/1/1996
24.51 2 7/1/1998 8/1/1998
23.56 3 3/1/2002 5/1/2002
22.05 2 5/1/1999 6/1/1999
21.69 1 2/1/1998 2/1/1998
21.13 2 10/1/2009 11/1/2009
19.18 2 11/1/1997 12/1/1997
17.29 3 8/1/2003 10/1/2003
15.36 2 3/1/2006 4/1/2006
14.71 1 12/1/1995 12/1/1995
14.46 2 11/1/1998 12/1/1998
13.53 5 11/1/1999 3/1/2000
12.79 2 6/1/1993 7/1/1993
10.90 5 5/1/2005 9/1/2005
10.21 2 4/1/2003 5/1/2003
9.71 3 7/1/2002 9/1/2002
9.48 3 8/1/2010 10/1/2010
9.20 8 5/1/2004 12/1/2004
9.06 1 1/1/2006 1/1/2006
8.98 4 11/1/2002 2/1/2003
8.78 1 2/1/1999 2/1/1999
8.36 2 9/1/2001 10/1/2001
7.78 1 9/1/1994 9/1/1994
7.68 4 4/1/2007 7/1/2007
7.62 1 6/1/2001 6/1/2001
7.49 1 12/1/2010 12/1/2010
6.84 1 3/1/1993 3/1/1993
6.67 1 6/1/1997 6/1/1997
6.56 2 2/1/2005 3/1/2005
6.36 2 10/1/2008 11/1/2008
5.51 1 12/1/1996 12/1/1996
5.44 3 9/1/2006 11/1/2006
4.95 2 8/1/1997 9/1/1997
4.73 3 4/1/2008 6/1/2008
4.19 1 3/1/1997 3/1/1997
3.03 2 10/1/2000 11/1/2000
2.88 1 8/1/1992 8/1/1992
2.86 1 11/1/2005 11/1/2005
2.53 1 8/1/2000 8/1/2000
2.53 1 6/1/1996 6/1/1996
2.34 2 3/1/2010 4/1/2010
2.28 1 3/1/2001 3/1/2001
2.02 1 2/1/2007 2/1/2007
1.89 1 4/1/1998 4/1/1998
1.50 2 11/1/1992 12/1/1992
0.55 1 5/1/1994 5/1/1994
0.23 1 6/1/2010 6/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-30.21 3 6/1/1994 8/1/1994
-20.44 4 7/1/1999 10/1/1999
-17.11 10 12/1/2008 9/1/2009
-15.84 2 4/1/1993 5/1/1993
-13.96 4 1/1/1994 4/1/1994
-13.46 1 7/1/1997 7/1/1997
-12.77 1 10/1/1997 10/1/1997
-12.34 2 1/1/1997 2/1/1997
-12.11 4 5/1/2006 8/1/2006
-11.71 2 9/1/1998 10/1/1998
-10.62 4 11/1/2001 2/1/2002
-10.14 3 12/1/2009 2/1/2010
-9.57 4 4/1/2000 7/1/2000
-9.32 2 5/1/1995 6/1/1995
-9.26 2 6/1/2003 7/1/2003
-9.17 3 7/1/2008 9/1/2008
-8.94 1 3/1/2003 3/1/2003
-8.89 3 12/1/2000 2/1/2001
-8.77 1 3/1/2008 3/1/2008
-8.46 2 4/1/2001 5/1/2001
-7.96 1 12/1/2005 12/1/2005
-7.90 1 11/1/2003 11/1/2003
-7.71 2 7/1/2001 8/1/2001
-7.45 2 5/1/1998 6/1/1998
-7.23 1 7/1/1996 7/1/1996
-6.72 1 1/1/1996 1/1/1996
-6.55 2 8/1/1993 9/1/1993
-6.44 1 10/1/1994 10/1/1994
-6.00 2 1/1/1993 2/1/1993
-5.57 1 11/1/1996 11/1/1996
-5.52 2 3/1/1999 4/1/1999
-5.26 1 10/1/2002 10/1/2002
-5.07 1 3/1/2007 3/1/2007
-4.52 2 12/1/2006 1/1/2007
-4.31 1 4/1/2005 4/1/2005
-4.25 1 5/1/1996 5/1/1996
-4.04 2 4/1/1997 5/1/1997
-3.38 1 8/1/2007 8/1/2007
-3.11 1 4/1/2004 4/1/2004
-3.06 1 3/1/1998 3/1/1998
-2.88 1 5/1/2010 5/1/2010
-2.81 1 11/1/2010 11/1/2010
-2.43 1 1/1/2005 1/1/2005
-2.26 1 7/1/2010 7/1/2010
-2.15 1 11/1/1995 11/1/1995
-1.96 1 10/1/2005 10/1/2005
-1.65 1 7/1/1992 7/1/1992
-1.50 1 9/1/2000 9/1/2000
-1.14 1 6/1/2002 6/1/2002
-0.77 2 9/1/1992 10/1/1992
-0.63 1 1/1/1998 1/1/1998
-0.31 1 1/1/1999 1/1/1999
-0.16 1 2/1/2006 2/1/2006
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods222.00220.00217.00211.00205.00199.00187.00175.00163.00
Percent Profitable55.4156.8261.7570.1476.5982.4194.1298.86100.00
Average Period Return1.143.436.8914.4522.8731.4553.5276.2499.33
Average Gain5.2810.4215.9624.7933.0640.6657.3577.2299.33
Average Loss-4.01-5.77-7.75-9.85-10.47-11.69-7.69-8.12
Best Period22.0647.1956.9288.83150.91186.54139.52249.78289.34
Worst Period-20.68-30.21-33.67-26.20-22.96-27.06-19.59-9.3311.95
Standard Deviation6.2911.2716.1623.8430.9135.9239.7550.5358.49
Gain Standard Deviation4.979.5513.2620.9328.1232.7337.7749.9958.49
Loss Standard Deviation3.175.007.195.616.407.216.221.72
Sharpe Ratio (1%)0.170.280.400.560.690.821.271.431.61
Average Gain / Average Loss1.321.802.062.523.163.487.459.51
Profit / Loss Ratio1.642.373.335.9210.3316.29119.26822.82
Downside Deviation (10%)3.635.657.728.719.389.856.504.592.07
Downside Deviation (5%)3.455.136.756.666.566.472.971.34
Downside Deviation (0%)3.415.016.526.185.925.742.360.88
Sortino Ratio (10%)0.200.390.571.091.632.155.8111.9334.63
Sortino Ratio (5%)0.310.620.952.023.264.5516.9953.67
Sortino Ratio (0%)0.330.681.062.343.865.4822.7286.89

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.