Loading...

Report Start Date Report End Date


Trading Strategy: Long-Term Trend Following / Diversified
4.7 Exempt - QEPs Only

Program Description: Chesapeake Capital Corporation's trading methodology is long term trend following utilizing robust trading systems across a broadly diversified set of markets; put simply: Classic Trend Following . It is a systematic (i.e. rules-based) investment approach that focuses on capital preservation while attempting to provide positive annual returns. Utilizing diversification and robust systems, our goal is to maximize the profit in each trade by following the system entries and exits regardless of market conditions or temptations.

Investment Information

Loading chart...


Performance is based on the returns for the Chesapeake Plus Fund LLC A Shares (4% Mgt Fee & 20% Inc Fee) from 1994 to 2013, Chesapeake Plus Fund LLC C Shares (3% Mgt Fee & 10% Inc Fee) from Jan 2014 to Jun 2014, and the Chesapeak Plus Fund LLC Series C Shares (2% Mgt Fee & 10% Inc Fee) from July 2014 to present. Please see accounting notes for details. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-7.65% 5.68% 1.44% 2.96% -6.83% 3.61% 2.54% 3.91% -0.46% -2.99% -2.10% 0.23%
2020 3.23% -3.26% 0.29% -1.16% 1.06% -0.56% 1.46% 5.40% -3.40% -0.63% 9.66% 10.04%
2021 4.40% 6.54% 0.44% 8.50% -2.63% -0.50% 0.85% 0.66% 3.21% 3.19% -2.56% 0.03%
2022 1.48% 4.35% 6.77% 6.07% -1.61% -2.46% -4.91% 4.64% 3.96% 1.04% -5.28% 0.06%
2023 -0.85% 3.01% -2.55% 1.35% 1.19% 2.40% 0.28% 0.28% -0.13% -0.35% -3.95% -0.78%
2024 -0.02% 5.62% 5.16%  

 201920202021202220232024 YTD
ROR-0.67%23.20%23.76%14.01%-0.32%11.04%
Max DD-7.65%-4.11%-3.12%-8.74%-5.16%-0.02%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.22
Peak-to-Valley Drawdown (1) (Apr 2022 - Jul 2022) -8.74%
Worst Monthly Return (Jan 2019) -7.65%
Current Losing Streak 0.00%
Average Monthly Return 1.10%
Monthly Std. Deviation 3.71%
# Months with Positive Performance 39
# Months with Negative Performance 24
Gain to Loss Ratio 1.36
Annualized Statistics
Compound ROR (2) 13.13%
Standard Deviation 12.86%
Downside Deviation (3) 7.46%
Sharpe Ratio (4) 0.95
Sortino Ratio (5) 1.01
Calmar Ratio (6) 1.35
Sterling Ratio (7) 0.75
Profit Loss Ratio 2.20

            Current Losing Streak = 0.00%

Loading chart...
Loading chart...

Select an index or program to add as a benchmark:

Comparisons ProgramAG CTA Index
Remove		SP 500 TR
Remove
Annualized Compound ROR (2) 13.13%5.64%17.11%
Cumulative Return 91.13%33.35%129.11%
Cumulative VAMI(8) 191113342291
Largest Monthly Gain 10.04%2.99%12.82%
Largest Monthly Loss -7.65%-1.42%-12.35%
Profit Loss Ratio 2.203.671.95
Correlation —0.6550.055
Last Month 5.16%2.10%3.22%
Last 12 Months 11.22%8.51%29.88%
Last 36 Months 39.80%16.38%38.61%
Loading chart...


+++ Accounting Notes: For the years 1994 to 2013, this monthly performance data is for Chesapeake Plus Fund LLC (formerly Chesapeake Preferred II LLC), Series A shares, which has a 4% annual management fee "or" a 20% incentive fee and monthly brokerage commissions which range from 0.05% to 0.38% of the Company's average beginning-of-month Net Assets value, although actual brokerage costs may be above or below such range. For the period 9/1/07 to 12/31/07, the 4% annual management fee is waived. For the period 1/1/08 to 12/31/13, 2% of the 4% management fee is waived. The Company also has a 20-25 basis point annual administration fee (paid by the fund) from 7/1/97 to 1/31/04.

For the time period 1/1/14 to 6/30/14, this monthly performance data is for Chesapeake Plus Fund LLC (formerly Chesapeake Preferred II LLC), Series C shares, which has a 3% annual management fee and a 10% incentive fee and monthly brokerage commissions which range from 0.02% to 0.05% of the Company's average beginning-of-month Net Assets value, although actual brokerage costs may be above or below such range.

For the time period 7/1/14 to present, this monthly performance data is for Chesapeake Plus Fund LLC (formerly Chesapeake Preferred II LLC), Series C shares, which has a 2% annual management fee and a 10% incentive fee and monthly brokerage commissions which range from 0.02% to 0.03% of the Company's average beginning-of-month Net Assets value, although actual brokerage costs may be above or below such range.

Chesapeake did compile this data as a contemporaneous estimate of this account's performance on a monthly basis for the period. The entire performance history includes interest income.

An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Apr 1994

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.