Synchronicity Futures LLC : Commodity Long-Short

archived programs
Year-to-Date
N / A
Mar Performance
-4.25%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.73%
Sharpe (RFR=1%)
-9.06
CAROR
-
Assets
$ 1.0M
Worst DD
-19.23
S&P Correlation
0.07

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2016
Commodity Long-Short -4.25 - - - - - - -19.23
S&P 500 -0.04 - - - - - - 52.23
+/- S&P 500 -4.21 - - - - - - -71.46

Strategy Description

Investment Strategy

The Commodity Long-Short (CLS) Program is a systematic long-short pure commodities futures strategy. Proprietary signals combined with the long-short structure attempt to enhance alpha and diversification producing returns that are uncorrelated with both traditional commodity... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
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 700 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Livestock
20.00%
Softs
20.00%
Precious Metals
17.00%
Industrial Metals
3.00%
Composition Pie Chart

Investment Strategy

The Commodity Long-Short (CLS) Program is a systematic long-short pure commodities futures strategy. Proprietary signals combined with the long-short structure attempt to enhance alpha and diversification producing returns that are uncorrelated with both traditional commodity momentum strategies and equities. CLS draws from a pool of 22 liquid commodities futures contracts including livestock, energy, agriculture, and precious metals. Finally, a systematic, artificial intelligence based overlay endeavors to mitigate risk.

   

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
-19.23 -1 - 1/1/0001 3/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.23 6 10/1/2016 3/1/2017
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable0.000.00
Average Period Return-3.49-10.83
Average Gain
Average Loss-3.49-10.83
Best Period-1.75-9.89
Worst Period-5.38-12.12
Standard Deviation1.360.96
Gain Standard Deviation
Loss Standard Deviation1.360.96
Sharpe Ratio (1%)-2.62-11.51
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)4.0912.09
Downside Deviation (5%)3.7811.11
Downside Deviation (0%)3.7010.86
Sortino Ratio (10%)-0.95-1.00
Sortino Ratio (5%)-0.94-1.00
Sortino Ratio (0%)-0.94-1.00

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.