Wharton Capital Management : Wharton AG Futures Program

Year-to-Date
0.70%
Jul Performance
3.85%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.44%
Sharpe (RFR=1%)
0.70
CAROR
8.73%
Assets
$ 6.3M
Worst DD
-12.00
S&P Correlation
-0.02

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
Wharton AG Futures Program 3.85 5.75 0.70 -3.91 2.46 9.64 - 94.05
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 157.34
+/- S&P 500 2.54 4.58 -18.18 -9.73 -33.26 -43.16 - -63.29

Strategy Description

Investment Strategy

The Program primarily involves the speculative trading of futures contracts on grains and meat products. However, the Program is not limited to those markets. In implementing the Program, the Advisor may speculate or trade in any futures or options contract traded on a... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
15.00%
1-3 Months
30.00%
1-30 Days
50.00%
Intraday
5.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
70.00%
Technical
30.00%
Strategy Pie Chart

Composition

Livestock
80.00%
Grains
20.00%
Composition Pie Chart

Investment Strategy

The Program primarily involves the speculative trading of futures contracts on grains and meat products. However, the Program is not limited to those markets. In implementing the Program, the Advisor may speculate or trade in any futures or options contract traded on a U.S. futures exchange, either now or in the future (collectively, “Commodity Interests”). Such instruments may include, without limitation, futures contracts (and options thereon) on any of the following: physical commodities in addition to grain and meat products, interest-rate sensitive products, financial instruments, and stock indices.

Risk Management

Technical entry and exit points are used to Manage 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
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
-12.00 7 7 11/1/2012 6/1/2013
-10.15 2 9 8/1/2014 10/1/2014
-10.00 18 - 8/1/2017 2/1/2019
-5.51 8 9 2/1/2016 10/1/2016
-2.11 1 5 7/1/2015 8/1/2015
-1.45 1 2 12/1/2011 1/1/2012
-1.20 1 2 7/1/2012 8/1/2012
-1.12 1 3 1/1/0001 9/1/2011
-0.47 1 1 1/1/2014 2/1/2014
-0.03 1 1 3/1/2014 4/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
54.32 4 5/1/2014 8/1/2014
20.24 6 2/1/2012 7/1/2012
14.48 3 11/1/2013 1/1/2014
10.12 7 1/1/2015 7/1/2015
5.66 4 5/1/2017 8/1/2017
4.41 4 5/1/2018 8/1/2018
4.24 2 11/1/2017 12/1/2017
3.98 3 12/1/2015 2/1/2016
3.85 1 7/1/2019 7/1/2019
3.83 5 11/1/2016 3/1/2017
3.63 1 5/1/2019 5/1/2019
3.40 1 7/1/2013 7/1/2013
2.52 1 11/1/2014 11/1/2014
2.48 3 9/1/2012 11/1/2012
2.08 1 5/1/2013 5/1/2013
1.99 1 2/1/2013 2/1/2013
1.72 3 7/1/2016 9/1/2016
1.36 1 12/1/2011 12/1/2011
1.07 2 9/1/2015 10/1/2015
1.01 1 3/1/2018 3/1/2018
0.98 1 9/1/2013 9/1/2013
0.94 1 3/1/2014 3/1/2014
0.78 1 10/1/2011 10/1/2011
0.75 1 3/1/2019 3/1/2019
0.49 1 5/1/2016 5/1/2016
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-10.15 2 9/1/2014 10/1/2014
-9.98 6 9/1/2018 2/1/2019
-9.15 2 12/1/2012 1/1/2013
-5.17 2 9/1/2017 10/1/2017
-5.02 1 6/1/2013 6/1/2013
-4.11 2 3/1/2016 4/1/2016
-3.65 2 1/1/2018 2/1/2018
-2.42 1 8/1/2013 8/1/2013
-2.25 1 10/1/2016 10/1/2016
-2.11 1 8/1/2015 8/1/2015
-2.04 2 3/1/2013 4/1/2013
-1.74 1 6/1/2019 6/1/2019
-1.45 1 1/1/2012 1/1/2012
-1.38 1 6/1/2016 6/1/2016
-1.20 1 8/1/2012 8/1/2012
-1.12 1 9/1/2011 9/1/2011
-0.91 1 10/1/2013 10/1/2013
-0.72 1 4/1/2017 4/1/2017
-0.47 1 4/1/2018 4/1/2018
-0.47 1 2/1/2014 2/1/2014
-0.40 1 12/1/2014 12/1/2014
-0.37 1 4/1/2019 4/1/2019
-0.33 1 11/1/2011 11/1/2011
-0.27 1 11/1/2015 11/1/2015
-0.03 1 4/1/2014 4/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods95.0093.0090.0084.0078.0072.0060.0048.0036.00
Percent Profitable62.1162.3765.5669.0588.4687.5090.0097.92100.00
Average Period Return0.752.384.8810.5516.3724.0341.3954.7871.38
Average Gain2.365.639.6217.1019.1427.8746.3255.9771.38
Average Loss-1.88-3.00-4.13-4.07-4.80-2.89-2.92-1.15
Best Period15.1243.4555.7277.5570.1477.8490.4196.9693.74
Worst Period-8.76-8.69-11.62-10.70-10.00-5.08-7.37-1.159.64
Standard Deviation3.307.8512.0519.2223.7826.6632.4932.8719.86
Gain Standard Deviation2.928.2412.3319.8223.9226.3330.4632.1719.86
Loss Standard Deviation1.912.322.992.983.231.852.80
Sharpe Ratio (1%)0.200.270.360.500.630.831.181.543.34
Average Gain / Average Loss1.251.872.334.213.999.6415.8648.70
Profit / Loss Ratio2.063.104.449.3830.5867.47142.762288.83
Downside Deviation (10%)1.822.964.305.515.335.837.858.273.17
Downside Deviation (5%)1.672.443.223.252.381.852.080.94
Downside Deviation (0%)1.642.322.972.781.931.191.230.17
Sortino Ratio (10%)0.190.390.561.011.652.363.264.0213.82
Sortino Ratio (5%)0.400.871.362.936.2411.9218.4654.24
Sortino Ratio (0%)0.461.031.643.798.4820.1133.75330.22

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 6 3.63 5/2019
Discretionary Trader Index Month 8 3.63 5/2019
Agricultural Trader Index Month 6 0.00 11/2018
Agricultural Trader Index Month 7 1.83 7/2018
Agricultural Trader Index Month 8 0.45 6/2018
Agricultural Trader Index Month 5 1.51 5/2018
Agricultural Trader Index Month 8 1.01 3/2018
Agricultural Trader Index Month 8 1.00 12/2017
IASG CTA Index Month 9 3.21 11/2017
Agricultural Trader Index Month 4 3.21 11/2017
Discretionary Trader Index Month 5 3.21 11/2017
Agricultural Trader Index Month 3 2.78 8/2017
Discretionary Trader Index Month 9 2.78 8/2017
Agricultural Trader Index Month 6 0.97 1/2017
Agricultural Trader Index Month 3 1.42 12/2016
IASG CTA Index 5 Year Rolling 10 87.89 2011 - 2016
Agricultural Trader Index Month 6 2.08 2/2016
Agricultural Trader Index Month 8 0.56 1/2016
IASG CTA Index 3 Year Rolling 9 60.09 2012 - 2015
Agricultural Trader Index Month 5 1.13 12/2015
Agricultural Trader Index Month 6 0.29 10/2015
Agricultural Trader Index Month 3 0.84 9/2015
Agricultural Trader Index Month 9 1.78 7/2015
Agricultural Trader Index Month 7 1.92 6/2015
Agricultural Trader Index Month 2 3.89 5/2015
Discretionary Trader Index Month 6 3.89 5/2015
Agricultural Trader Index Month 6 0.04 2/2015
Agricultural Trader Index Month 3 2.52 11/2014

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