Loading...

Report Start Date Report End Date


Trading Strategy: Commodity Calendar Spreads & Stock Index Futures Trading

Program Description: Princeton Investments and Technologies ("PINT") uses the Commodity Arbitrage Plus Program ("CAPP") to manage client accounts presently. The CAPP has two sets of strategies, the Commodity Arbitrage Strategy ("CAS") and the Macro Trading Strategy ("MTS"). The CAS trades commodity calendar spread futures while the MTS trades with the stock index futures. Based upon our extensive trading experience in the commodity calendar spread markets, our program focuses on these niche markets while invests semi-passively in the stock index futures in an attempt to mitigate major drawdowns.

Investment Information

Loading chart...


Client Performance since October 2019 See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019  -0.02% 1.12% 0.48%
2020 2.43% 0.65% 2.72% 3.93% 3.57% 1.82% 4.16% 6.74% -6.73% -4.59% 6.29% 2.79%
2021 0.29% -1.34% 1.34% 1.42% 0.13% 1.09% 1.00% 2.33% -1.87% 4.01% 0.25% -3.59%
2022 -1.88% -0.99% 1.67% 1.11% 1.97% -0.45% 1.81% 2.10% -0.13% 0.05% -0.32% -2.71%
2023 -0.06% -1.42% 3.87% 2.15% 3.60% 2.92% 0.75% -4.26% -0.51% -0.88% 5.75% 4.92%
2024 1.87% 5.36%  

 201920202021202220232024 YTD
ROR1.59%25.46%4.95%2.11%17.63%7.33%
Max DD-0.02%-11.01%-3.59%-3.10%-5.59%0.00%

Track Record Prepared By: Internally Prepared

Program Statistics
Omega Ratio % Threshold 1.87
Peak-to-Valley Drawdown (1) (Aug 2020 - Oct 2020) -11.01%
Worst Monthly Return (Sep 2020) -6.73%
Current Losing Streak 0.00%
Average Monthly Return 1.07%
Monthly Std. Deviation 2.73%
# Months with Positive Performance 36
# Months with Negative Performance 17
Gain to Loss Ratio 1.32
Annualized Statistics
Compound ROR (2) 13.13%
Standard Deviation 9.47%
Downside Deviation (3) 5.77%
Sharpe Ratio (4) 1.25
Sortino Ratio (5) 1.30
Calmar Ratio (6) 1.73
Sterling Ratio (7) 0.71
Profit Loss Ratio 2.79

            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%5.56%14.82%
Cumulative Return 72.45%26.99%84.09%
Cumulative VAMI(8) 172412701841
Largest Monthly Gain 6.74%2.99%12.82%
Largest Monthly Loss -6.73%-1.27%-12.35%
Profit Loss Ratio 2.793.891.78
Correlation —0.4800.507
Last Month 5.36%2.18%5.34%
Last 12 Months 28.15%5.97%30.46%
Last 36 Months 36.75%14.61%40.16%
Loading chart...


+++ Accounting Notes: The Performance shown herein represents Client Performance. For Proprietary Performance results please refer to Princeton Investments and Technologies' Latest Disclosure Document.

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 Oct 2019

*** 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 2019-10-31 to 2024-02-29
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.