Sugar Creek Investment Management, LLC : Dairy Arbitrage

archived programs
Year-to-Date
N / A
Feb Performance
-3.33%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.84%
Sharpe (RFR=1%)
0.64
CAROR
10.27%
Assets
$ 223k
Worst DD
-14.02
S&P Correlation
0.17

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Dairy Arbitrage -3.33 - - - - -7.24 - 31.90
S&P 500 3.72 - - - - 73.07 - 80.12
+/- S&P 500 -7.05 - - - - -80.31 - -48.21

Strategy Description

Summary

The Sugar Creek Dairy Arbitrage program is a discretionary specialist trading program offered by Sugar Creek Investment Management, LLC. PERFORMANCE NOTES: ALL PRO-FORMA RETURNS FROM MAY 2014 TO PRESENT ARE DERIVED FROM COMPOSITE RETURNS OF SUGAR CREEK CLIENT ACCOUNTS AND CALCULATED... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -25.00%
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 65.00%
1-30 Days 25.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Arbitrage
10.00%
Fundamental
70.00%
Seasonal/cyclical
15.00%
Technical
5.00%
Strategy Pie Chart

Composition

Softs
100.00%
Composition Pie Chart

Summary

The Sugar Creek Dairy Arbitrage program is a discretionary specialist trading program offered by Sugar Creek Investment Management, LLC. PERFORMANCE NOTES: ALL PRO-FORMA RETURNS FROM MAY 2014 TO PRESENT ARE DERIVED FROM COMPOSITE RETURNS OF SUGAR CREEK CLIENT ACCOUNTS AND CALCULATED TO REFLECT 2% MANAGEMENT AND 20% PERFORMANCE FEES ("2/20"). ALL ASSETS UNDER MANAGEMENT REPORTED DURING THIS PERIOD ARE ASSETS MANAGED BY SUGAR CREEK INVESTMENT MANAGEMENT, LLC.  ALL RETURNS HAVE BEEN CALCULATED BY NAV CONSULTING, INC. 

Investment Strategy

The futures and options strategy is focused on mainly trading in Class III milk listed on the Chicago Mercantile Exchange (CME). Additional market exposure across dairy products such as whey, butter, cheese, and Class IV milk is traded on a more opportunistic basis. The program utilizes a combination of fundamental supply/ demand, cash, and margin analysis to identify attractive risk/ reward trades. Dairy market seasonality and chart analysis also play a role in trade generation and management.

Risk Management

DISCLAIMER: ALL RETURNS REPORTED ARE PRO-FORMA BASED ON A 2% MANAGEMENT AND 20% PERFORMANCE FEE SCHEDULE. FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE POTENTIAL RISKS. YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS AND IN ORDER TO INVEST IN THE COMPANY. DO NOT TRADE OR INVEST WITH MONEY YOU CAN’T AFFORD TO LOSE. THIS DOCUMENT AND ITS CONTENTS ARE NEITHER A SOLICITATION NOR AN OFFER TO BUY OR SELL FUTURES, STOCKS OR OPTIONS ON THE FUTURES OR OPTIONS MARKETS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT OR INVESTMENT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED IN THIS DOCUMENT (IF ANY). THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
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Sharpe Ratio: (RF=1%)
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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
-14.02 1 - 5/1/2016 6/1/2016
-10.69 9 8 12/1/2014 9/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
48.23 8 5/1/2014 12/1/2014
12.30 2 4/1/2016 5/1/2016
6.83 3 6/1/2015 8/1/2015
5.99 2 10/1/2015 11/1/2015
3.76 1 2/1/2016 2/1/2016
3.36 4 10/1/2016 1/1/2017
3.02 1 2/1/2015 2/1/2015
1.92 2 7/1/2016 8/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.02 1 6/1/2016 6/1/2016
-9.01 3 3/1/2015 5/1/2015
-6.90 1 9/1/2015 9/1/2015
-4.21 1 1/1/2015 1/1/2015
-3.95 2 12/1/2015 1/1/2016
-3.33 1 2/1/2017 2/1/2017
-3.22 1 3/1/2016 3/1/2016
-0.88 1 9/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable67.6556.2548.2847.8358.82
Average Period Return0.922.804.765.307.36
Average Gain3.368.2914.5515.5817.30
Average Loss-4.17-4.27-4.38-4.13-6.84
Best Period9.1017.7837.7037.3637.13
Worst Period-14.02-12.37-10.96-7.19-11.85
Standard Deviation4.578.1113.1313.1115.71
Gain Standard Deviation2.506.0112.6112.2212.83
Loss Standard Deviation3.623.753.392.243.33
Sharpe Ratio (1%)0.180.310.320.330.37
Average Gain / Average Loss0.811.943.323.772.53
Profit / Loss Ratio1.682.503.103.463.61
Downside Deviation (10%)3.264.355.466.879.69
Downside Deviation (5%)3.123.834.234.025.71
Downside Deviation (0%)3.083.703.933.374.81
Sortino Ratio (10%)0.160.360.420.04-0.02
Sortino Ratio (5%)0.270.671.011.071.03
Sortino Ratio (0%)0.300.761.211.571.53

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 7 0.80 12/2016
Agricultural Trader Index Month 7 0.69 11/2016
Agricultural Trader Index Month 3 1.81 10/2016
Agricultural Trader Index Month 10 0.75 8/2016
Discretionary Trader Index Month 8 2.93 5/2016
Agricultural Trader Index Month 5 2.93 5/2016
Discretionary Trader Index Month 1 9.10 4/2016
Agricultural Trader Index Month 1 9.10 4/2016
Agricultural Trader Index Month 2 3.76 2/2016
Discretionary Trader Index Month 6 3.76 2/2016
Discretionary Trader Index Month 10 2.32 11/2015
Agricultural Trader Index Month 5 2.32 11/2015
Discretionary Trader Index Month 4 3.59 10/2015
Agricultural Trader Index Month 1 3.59 10/2015

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