Sugar Creek Investment Management, LLC : Heritage Agriculture

archived programs
Year-to-Date
N / A
Dec Performance
0.15%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.29%
Sharpe (RFR=1%)
-0.04
CAROR
-0.40%
Assets
$ 251k
Worst DD
-17.85
S&P Correlation
-0.22

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
3/2014
Heritage Agriculture 0.15 -1.29 - -14.57 - - - -1.12
S&P 500 1.82 3.25 - 9.54 - - - 19.57
+/- S&P 500 -1.67 -4.54 - -24.10 - - - -20.69

Strategy Description

Summary

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

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
2.50
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
3000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
15.00%
1-3 Months
65.00%
1-30 Days
15.00%
Intraday
5.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Composition

Grains
65.00%
Softs
25.00%
Livestock
10.00%
Composition Pie Chart

Summary

The Sugar Creek Heritage Agriculture program is a discretionary specialist trading program offered by Sugar Creek Investment Management, LLC. PERFORMANCE NOTES: ALL PRO-FORMA RETURNS FROM MARCH 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 investment strategy utilizes a combination of fundamental supply/ demand, cash, and margin analysis to identify attractive thematic opportunities across agriculture markets. The futures and options strategy is focused on mainly trading in grains, oilseeds, oilseed products, and softs listed on the Chicago Mercantile Exchange (CME) and the Intercontinental Exchange (ICE). Additional exposure across the livestock and tropical markets is traded on a more opportunistic basis.

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
-17.85 22 - 1/1/2015 11/1/2016
-2.09 1 2 3/1/2014 4/1/2014
-1.55 1 2 10/1/2014 11/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
13.75 6 5/1/2014 10/1/2014
13.48 1 6/1/2016 6/1/2016
6.77 2 12/1/2014 1/1/2015
3.01 2 7/1/2015 8/1/2015
2.66 1 3/1/2014 3/1/2014
2.27 2 11/1/2015 12/1/2015
0.76 1 10/1/2016 10/1/2016
0.51 2 3/1/2015 4/1/2015
0.15 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.84 3 7/1/2016 9/1/2016
-9.38 5 1/1/2016 5/1/2016
-4.50 2 5/1/2015 6/1/2015
-2.90 2 9/1/2015 10/1/2015
-2.18 1 11/1/2016 11/1/2016
-2.09 1 4/1/2014 4/1/2014
-1.92 1 2/1/2015 2/1/2015
-1.55 1 11/1/2014 11/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable52.9450.0041.3847.8352.94
Average Period Return0.04-0.02-0.24-0.44-1.16
Average Gain2.373.737.228.868.82
Average Loss-2.58-3.77-5.50-8.97-12.38
Best Period13.488.3113.7517.8816.55
Worst Period-11.64-15.84-16.92-14.57-16.08
Standard Deviation3.844.967.5910.6011.68
Gain Standard Deviation3.102.203.436.324.86
Loss Standard Deviation2.774.004.644.743.61
Sharpe Ratio (1%)-0.01-0.05-0.10-0.14-0.23
Average Gain / Average Loss0.920.991.310.990.71
Profit / Loss Ratio1.030.990.930.910.80
Downside Deviation (10%)2.764.487.0110.6614.01
Downside Deviation (5%)2.593.955.747.919.80
Downside Deviation (0%)2.553.825.447.268.81
Sortino Ratio (10%)-0.13-0.28-0.39-0.51-0.62
Sortino Ratio (5%)-0.02-0.07-0.13-0.18-0.27
Sortino Ratio (0%)0.01-0.01-0.04-0.06-0.13

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 8 0.76 10/2016
Discretionary Trader Index Month 1 13.48 6/2016
Agricultural Trader Index Month 1 13.48 6/2016
Agricultural Trader Index Month 10 0.68 12/2015
Agricultural Trader Index Month 6 1.58 11/2015

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