Year-to-Date
N/A
Minimum Investment
250,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 17.44%
Sharpe (RFR=1%) 0.58
CAROR 10.01%
Assets 0
Worst Drawdown -9.80
S&P Correlation -0.09

Summary

The Commodity Multi–System Program is a systematic commodity futures trading program based on technical indicators that also incorporates a discretionary component to dampen volatility. The discretionary component is an options overlay. Options can be used to reduce the risk, lock in profits or take the place of the systematic futures positions. Net shorting of options is not permitted. Option strategies are derived from the principals’ 25 years of proprietary options trading and market making experience at merchant energy companies, trading companies and international banks. The CMSP uses dynamic position sizing and money management rules that incorporate volatility and futures prices in attempting to limit risk. Portfolio-level risk targets are implied by having exposure to a limited number of contracts and by using contract- and commodity- level risk targets. The money management rules also attempt to reduce exposure during non-trending markets and add exposure as trades prove to be profitable. The system does not pick tops or bottoms. It tends to hold profitable positions for 2 to 8 months resulting in lower RT / million than most other systems.