Commodity Asset Management LLC

Futures CTA Program *QEP*


Monthly Performance (%)

Date Range: 12/16 - 08/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 -0.05 5.43 0.39 -5.54 -3.59 2.85 -0.33 3.09   1.81 
2019 6.24 5.49 -2.60 -4.93 -2.66 2.18 0.71 3.31 0.34 0.76 -1.10 1.15  8.62 
2018 1.28 -2.65 -8.30 7.12 8.77 -5.08 -0.02 0.88 0.15 -2.17 -0.65 -0.58  -2.40 
2017 0.23 -1.17 0.40 -2.11 -2.47 2.60 4.03 7.54 -3.79 6.14 -5.73 12.50  18.03 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

Commodity Asset Management (“CAM”) is a specialized industrial commodities focused asset manager, founded by alumni of AQR Capital Management and Marc Rich & Co. CAM invests in lesser covered, but still liquid, exchange traded industrial commodities, where it believes it has a distinct fundamental edge. CAM sources its alpha from proprietary relationships across the industrial commodities value chain, as well as alternative data. CAM dampens the volatility inherent in commodities through active hedging and risk management, and has low correlation to traditional indexes.

Performance Statistics

Date Range: 12/16 - 08/20
  Program S&P 500 Coquest 40 
Total Return 27.39% 71.47% 3.10% 
Annualized Return 6.83% 15.46% 0.82% 
Annualized Std. Deviation 14.49% 15.54% 7.18% 
Correlation 0.01 0.12 
Sharpe Ratio (rf=2.5%) 0.30 0.83 -0.23 
Worst Month -8.30% -12.35% -6.10% 
Date of Worst Month 03/2018 03/2020 02/2018 
Worst Drawdown -10.73% -19.60% -9.14% 
Date of Worst Drawdown 1/18 - 3/18 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/16 - 08/20
Year or YTD Program S&P 500 Coquest 40 
2020 1.81 9.75 -1.80 
2019 8.62 31.50 7.53 
2018 -2.40 -4.38 -4.29 
2017 18.03 21.84 1.24 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/16 - 08/20
Date: 8/31/2020
Perf: $1,023.20 Date: 7/31/2020
Perf: $1,034.90 Date: 6/30/2020
Perf: $1,015.50 Date: 5/31/2020
Perf: $1,028.67 Date: 4/30/2020
Perf: $1,040.85 Date: 3/31/2020
Perf: $1,037.42 Date: 2/29/2020
Perf: $1,036.80 Date: 1/31/2020
Perf: $1,052.48 Date: 12/31/2019
Perf: $1,041.96 Date: 11/30/2019
Perf: $1,048.46 Date: 10/31/2019
Perf: $1,038.28 Date: 9/30/2019
Perf: $1,061.75 Date: 8/31/2019
Perf: $1,092.00 Date: 7/31/2019
Perf: $1,053.85 Date: 6/30/2019
Perf: $1,019.10 Date: 5/31/2019
Perf: $999.11 Date: 4/30/2019
Perf: $1,019.09 Date: 3/31/2019
Perf: $991.81 Date: 2/28/2019
Perf: $957.44 Date: 1/31/2019
Perf: $951.35 Date: 12/31/2018
Perf: $968.99 Date: 11/30/2018
Perf: $964.94 Date: 10/31/2018
Perf: $976.66 Date: 9/30/2018
Perf: $1,001.39 Date: 8/31/2018
Perf: $1,005.92 Date: 7/31/2018
Perf: $980.90 Date: 6/30/2018
Perf: $988.32 Date: 5/31/2018
Perf: $980.08 Date: 4/30/2018
Perf: $992.89 Date: 3/31/2018
Perf: $982.28 Date: 2/28/2018
Perf: $983.17 Date: 1/31/2018
Perf: $1,047.04 Date: 12/31/2017
Perf: $1,012.41 Date: 11/30/2017
Perf: $1,001.50 Date: 10/31/2017
Perf: $1,000.20 Date: 9/30/2017
Perf: $959.97 Date: 8/31/2017
Perf: $980.67 Date: 7/31/2017
Perf: $964.65 Date: 6/30/2017
Perf: $960.90 Date: 5/31/2017
Perf: $989.81 Date: 4/30/2017
Perf: $987.93 Date: 3/31/2017
Perf: $993.89 Date: 2/28/2017
Perf: $1,008.62 Date: 1/31/2017
Perf: $987.10 Date: 12/31/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,681.40 Date: 7/31/2020
Perf: $1,568.62 Date: 6/30/2020
Perf: $1,484.87 Date: 5/31/2020
Perf: $1,455.90 Date: 4/30/2020
Perf: $1,389.75 Date: 3/31/2020
Perf: $1,231.83 Date: 2/29/2020
Perf: $1,405.39 Date: 1/31/2020
Perf: $1,531.43 Date: 12/31/2019
Perf: $1,532.04 Date: 11/30/2019
Perf: $1,487.13 Date: 10/31/2019
Perf: $1,435.04 Date: 9/30/2019
Perf: $1,404.56 Date: 8/31/2019
Perf: $1,378.78 Date: 7/31/2019
Perf: $1,400.91 Date: 6/30/2019
Perf: $1,381.02 Date: 5/31/2019
Perf: $1,290.07 Date: 4/30/2019
Perf: $1,377.55 Date: 3/31/2019
Perf: $1,323.93 Date: 2/28/2019
Perf: $1,298.73 Date: 1/31/2019
Perf: $1,258.34 Date: 12/31/2018
Perf: $1,165.02 Date: 11/30/2018
Perf: $1,280.67 Date: 10/31/2018
Perf: $1,255.06 Date: 9/30/2018
Perf: $1,347.21 Date: 8/31/2018
Perf: $1,339.58 Date: 7/31/2018
Perf: $1,297.29 Date: 6/30/2018
Perf: $1,250.76 Date: 5/31/2018
Perf: $1,243.05 Date: 4/30/2018
Perf: $1,213.80 Date: 3/31/2018
Perf: $1,209.20 Date: 2/28/2018
Perf: $1,240.72 Date: 1/31/2018
Perf: $1,288.25 Date: 12/31/2017
Perf: $1,218.44 Date: 11/30/2017
Perf: $1,205.06 Date: 10/31/2017
Perf: $1,169.17 Date: 9/30/2017
Perf: $1,142.55 Date: 8/31/2017
Perf: $1,119.49 Date: 7/31/2017
Perf: $1,116.03 Date: 6/30/2017
Perf: $1,093.50 Date: 5/31/2017
Perf: $1,086.76 Date: 4/30/2017
Perf: $1,071.65 Date: 3/31/2017
Perf: $1,060.73 Date: 2/28/2017
Perf: $1,059.45 Date: 1/31/2017
Perf: $1,019.00 Date: 12/31/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,273.91 Date: 7/31/2020
Perf: $1,235.73 Date: 6/30/2020
Perf: $1,239.82 Date: 5/31/2020
Perf: $1,205.46 Date: 4/30/2020
Perf: $1,250.35 Date: 3/31/2020
Perf: $1,323.68 Date: 2/29/2020
Perf: $1,318.54 Date: 1/31/2020
Perf: $1,250.63 Date: 12/31/2019
Perf: $1,251.25 Date: 11/30/2019
Perf: $1,237.03 Date: 10/31/2019
Perf: $1,250.79 Date: 9/30/2019
Perf: $1,241.35 Date: 8/31/2019
Perf: $1,237.15 Date: 7/31/2019
Perf: $1,197.51 Date: 6/30/2019
Perf: $1,189.07 Date: 5/31/2019
Perf: $1,163.70 Date: 4/30/2019
Perf: $1,195.50 Date: 3/31/2019
Perf: $1,257.49 Date: 2/28/2019
Perf: $1,291.06 Date: 1/31/2019
Perf: $1,223.87 Date: 12/31/2018
Perf: $1,151.99 Date: 11/30/2018
Perf: $1,158.71 Date: 10/31/2018
Perf: $1,166.29 Date: 9/30/2018
Perf: $1,192.16 Date: 8/31/2018
Perf: $1,190.37 Date: 7/31/2018
Perf: $1,179.99 Date: 6/30/2018
Perf: $1,180.22 Date: 5/31/2018
Perf: $1,243.39 Date: 4/30/2018
Perf: $1,143.14 Date: 3/31/2018
Perf: $1,067.15 Date: 2/28/2018
Perf: $1,163.74 Date: 1/31/2018
Perf: $1,195.42 Date: 12/31/2017
Perf: $1,180.32 Date: 11/30/2017
Perf: $1,049.17 Date: 10/31/2017
Perf: $1,112.94 Date: 9/30/2017
Perf: $1,048.56 Date: 8/31/2017
Perf: $1,089.87 Date: 7/31/2017
Perf: $1,013.45 Date: 6/30/2017
Perf: $974.19 Date: 5/31/2017
Perf: $949.50 Date: 4/30/2017
Perf: $973.55 Date: 3/31/2017
Perf: $994.54 Date: 2/28/2017
Perf: $990.57 Date: 1/31/2017
Perf: $1,002.30 Date: 12/31/2016
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 12/16 - 08/20
Date: 8/31/2020
Return: 3.09 % Date: 7/31/2020
Return: -0.33 % Date: 6/30/2020
Return: 2.85 % Date: 5/31/2020
Return: -3.59 % Date: 4/30/2020
Return: -5.54 % Date: 3/31/2020
Return: 0.39 % Date: 2/29/2020
Return: 5.43 % Date: 1/31/2020
Return: -0.05 % Date: 12/31/2019
Return: 1.15 % Date: 11/30/2019
Return: -1.10 % Date: 10/31/2019
Return: 0.76 % Date: 9/30/2019
Return: 0.34 % Date: 8/31/2019
Return: 3.31 % Date: 7/31/2019
Return: 0.71 % Date: 6/30/2019
Return: 2.18 % Date: 5/31/2019
Return: -2.66 % Date: 4/30/2019
Return: -4.93 % Date: 3/31/2019
Return: -2.60 % Date: 2/28/2019
Return: 5.49 % Date: 1/31/2019
Return: 6.24 % Date: 12/31/2018
Return: -0.58 % Date: 11/30/2018
Return: -0.65 % Date: 10/31/2018
Return: -2.17 % Date: 9/30/2018
Return: 0.15 % Date: 8/31/2018
Return: 0.88 % Date: 7/31/2018
Return: -0.02 % Date: 6/30/2018
Return: -5.08 % Date: 5/31/2018
Return: 8.77 % Date: 4/30/2018
Return: 7.12 % Date: 3/31/2018
Return: -8.30 % Date: 2/28/2018
Return: -2.65 % Date: 1/31/2018
Return: 1.28 % Date: 12/31/2017
Return: 12.50 % Date: 11/30/2017
Return: -5.73 % Date: 10/31/2017
Return: 6.14 % Date: 9/30/2017
Return: -3.79 % Date: 8/31/2017
Return: 7.54 % Date: 7/31/2017
Return: 4.03 % Date: 6/30/2017
Return: 2.60 % Date: 5/31/2017
Return: -2.47 % Date: 4/30/2017
Return: -2.11 % Date: 3/31/2017
Return: 0.40 % Date: 2/28/2017
Return: -1.17 % Date: 1/31/2017
Return: 0.23 % Date: 12/31/2016
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/16 - 08/20
Return: 2.00 %
Count: 1 Return: 5.00 %
Count: 2 Return: -5.00 %
Count: 2 Return: 9.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: -3.00 %
Count: 3 Return: 1.00 %
Count: 5 Return: 13.00 %
Count: 1 Return: -6.00 %
Count: 2 Return: 6.00 %
Count: 2 Return: -4.00 %
Count: 2 Return: 8.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: 3.00 %
Count: 4 Return: -2.00 %
Count: 3 Return: -1.00 %
Count: 4 Return: 0.00 %
Count: 9

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 12/16 - 08/20
Date: 8/31/2020
Drawdown: -3.76 % Date: 7/31/2020
Drawdown: -6.64 % Date: 6/30/2020
Drawdown: -6.34 % Date: 5/31/2020
Drawdown: -8.93 % Date: 4/30/2020
Drawdown: -5.54 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -3.13 % Date: 12/31/2019
Drawdown: -3.08 % Date: 11/30/2019
Drawdown: -4.19 % Date: 10/31/2019
Drawdown: -3.12 % Date: 9/30/2019
Drawdown: -3.85 % Date: 8/31/2019
Drawdown: -4.18 % Date: 7/31/2019
Drawdown: -7.25 % Date: 6/30/2019
Drawdown: -7.90 % Date: 5/31/2019
Drawdown: -9.86 % Date: 4/30/2019
Drawdown: -7.40 % Date: 3/31/2019
Drawdown: -2.60 % Date: 2/28/2019
Drawdown: 0.00 % Date: 1/31/2019
Drawdown: -1.57 % Date: 12/31/2018
Drawdown: -7.35 % Date: 11/30/2018
Drawdown: -6.81 % Date: 10/31/2018
Drawdown: -6.20 % Date: 9/30/2018
Drawdown: -4.12 % Date: 8/31/2018
Drawdown: -4.26 % Date: 7/31/2018
Drawdown: -5.10 % Date: 6/30/2018
Drawdown: -5.08 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: -4.37 % Date: 3/31/2018
Drawdown: -10.73 % Date: 2/28/2018
Drawdown: -2.65 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: -5.73 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -3.79 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: -2.80 % Date: 5/31/2017
Drawdown: -5.27 % Date: 4/30/2017
Drawdown: -2.87 % Date: 3/31/2017
Drawdown: -0.77 % Date: 2/28/2017
Drawdown: -1.17 % Date: 1/31/2017
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Commodity Asset Management LLC
Address: 1345 Avenue of the Americas, 33rd Floor
City: New York
State: NY
Zip: 10105
Country: USA

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Metals Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Discretionary Yes 
 Sector Specialist Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 8% 
 Managed Account Availability: Open 
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