Sugar Creek Investment Management, LLC : Geneva Commodities

archived programs
Year-to-Date
N / A
Feb Performance
0.06%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.70%
Sharpe (RFR=1%)
0.06
CAROR
0.83%
Assets
$ 25k
Worst DD
-20.46
S&P Correlation
-0.35

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
1/2015
Geneva Commodities 0.06 -2.32 - 1.56 - - - 1.81
S&P 500 3.72 7.50 - 22.33 - - - 18.48
+/- S&P 500 -3.66 -9.82 - -20.77 - - - -16.67

Strategy Description

Summary

The Sugar Creek Geneva Commodities program is an opportunistic portfolio focused on implementing both directional and relative value positions. The portfolio's commodity exposure(s) can at times be concentrated in one market or one sector or be spread out across multiple markets and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$25.00
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
2500 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-22.50%
Worst Peak-to-Trough
30.00%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
25.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Arbitrage
70.00%
Fundamental
20.00%
Technical
10.00%
Strategy Pie Chart

Composition

Energy
35.00%
Softs
19.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Grains
10.00%
Currency Futures
3.00%
Stock Indices
3.00%
Composition Pie Chart

Summary

The Sugar Creek Geneva Commodities program is an opportunistic portfolio focused on implementing both directional and relative value positions. The portfolio's commodity exposure(s) can at times be concentrated in one market or one sector or be spread out across multiple markets and sectors. This program is offered by Sugar Creek Investment Management, LLC. PERFORMANCE NOTES: ALL PRO-FORMA RETURNS FROM JANUARY 2015 THROUGH DECEMBER 2016 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 WERE ASSETS MANAGED BY SUGAR CREEK INVESTMENT MANAGEMENT, LLC. PRO-FORMA RETURNS ON PERFORMANCE AFTER DECEMBER 2016 ARE DERIVED FROM A PROPRIETARY ACCOUNT AND CALCULATED TO REFLECT 2/20 FEES AT A $25,000.00 NOMINAL ACCOUNT SIZE.  ALL RETURNS HAVE BEEN CALCULATED BY NAV CONSULTING, INC. 

Investment Strategy

The investment strategy utilizes a combination of fundamental econometric modeling, statistical spread, and macro market analysis to identify attractive risk/ reward trades.

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
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
-20.46 7 8 1/1/2015 8/1/2015
-3.90 2 - 10/1/2016 12/1/2016
-0.77 2 2 5/1/2016 7/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
23.95 3 11/1/2015 1/1/2016
3.92 1 4/1/2015 4/1/2015
3.18 3 8/1/2016 10/1/2016
2.83 2 4/1/2016 5/1/2016
2.13 1 9/1/2015 9/1/2015
2.01 1 1/1/2015 1/1/2015
0.45 2 1/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.76 2 2/1/2015 3/1/2015
-9.15 4 5/1/2015 8/1/2015
-3.90 2 11/1/2016 12/1/2016
-1.69 2 2/1/2016 3/1/2016
-0.79 1 10/1/2015 10/1/2015
-0.77 2 6/1/2016 7/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable50.0045.8357.1480.00100.00
Average Period Return0.150.673.8413.9815.52
Average Gain2.857.1612.2018.3915.52
Average Loss-2.54-4.81-7.29-3.66
Best Period14.1323.9524.3728.2925.49
Worst Period-9.68-14.07-18.97-10.720.20
Standard Deviation4.248.7013.2412.039.32
Gain Standard Deviation3.757.9110.178.459.32
Loss Standard Deviation2.774.697.196.11
Sharpe Ratio (1%)0.020.050.251.081.50
Average Gain / Average Loss1.121.491.675.03
Profit / Loss Ratio1.121.262.2320.12
Downside Deviation (10%)2.815.557.804.562.91
Downside Deviation (5%)2.644.996.763.050.43
Downside Deviation (0%)2.604.856.522.77
Sortino Ratio (10%)-0.09-0.100.181.972.73
Sortino Ratio (5%)0.030.090.494.2532.32
Sortino Ratio (0%)0.060.140.595.05

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.