Caerus Group LLC

Oil Futures Trading Program


Monthly Performance (%)

Date Range: 06/18 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 -8.64 -8.81 -1.64 6.16 -2.93 2.07 -2.71 1.38 2.05 2.05   -11.47 
2019 2.05 -2.32 -2.49 0.41 -7.82 0.35 9.24 -4.79 7.26 0.69 -1.50 -2.54  -2.65 
2018 0.34 -1.46 -1.87 -0.40 3.61 0.26  0.39 

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

Trend-following program trading intraday positions in NYMEX WTI Light Sweet Crude Oil Futures (Ticker symbol CL). Advisor developed a proprietary algorithm for trading crude oil futures. This program implements a breakout trading system for intraday positions only. The goal is to deploy a systematic, methodical process to achieve a competitive edge in the oil market.

Performance Statistics

Date Range: 06/18 - 10/20
  Program S&P 500 Coquest 40 
Total Return -13.48% 26.66% 2.55% 
Annualized Return -6.01% 10.27% 1.05% 
Annualized Std. Deviation 14.41% 18.93% 6.42% 
Correlation 0.37 -0.06 
Sharpe Ratio (rf=2.5%) -0.59 0.41 -0.23 
Worst Month -8.81% -12.35% -2.77% 
Date of Worst Month 02/2020 03/2020 09/2019 
Worst Drawdown -21.83% -19.60% -7.96% 
Date of Worst Drawdown 1/19 - 3/20 12/19 - 3/20 8/19 - 10/20 

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: 06/18 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 -11.47 2.77 -3.54 
2019 -2.65 31.50 7.53 
2018 0.39 -6.85 -1.96 

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: 06/18 - 10/20
Date: 10/31/2020
Perf: $1,016.92 Date: 9/30/2020
Perf: $1,020.18 Date: 8/31/2020
Perf: $1,035.30 Date: 7/31/2020
Perf: $1,047.13 Date: 6/30/2020
Perf: $1,027.51 Date: 5/31/2020
Perf: $1,040.83 Date: 4/30/2020
Perf: $1,053.15 Date: 3/31/2020
Perf: $1,049.69 Date: 2/29/2020
Perf: $1,049.06 Date: 1/31/2020
Perf: $1,064.93 Date: 12/31/2019
Perf: $1,054.28 Date: 11/30/2019
Perf: $1,060.85 Date: 10/31/2019
Perf: $1,050.56 Date: 9/30/2019
Perf: $1,074.30 Date: 8/31/2019
Perf: $1,104.91 Date: 7/31/2019
Perf: $1,066.31 Date: 6/30/2019
Perf: $1,031.14 Date: 5/31/2019
Perf: $1,010.93 Date: 4/30/2019
Perf: $1,031.14 Date: 3/31/2019
Perf: $1,003.54 Date: 2/28/2019
Perf: $968.76 Date: 1/31/2019
Perf: $962.60 Date: 12/31/2018
Perf: $980.44 Date: 11/30/2018
Perf: $976.34 Date: 10/31/2018
Perf: $988.20 Date: 9/30/2018
Perf: $1,013.23 Date: 8/31/2018
Perf: $1,017.81 Date: 7/31/2018
Perf: $992.50 Date: 6/30/2018
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,258.82 Date: 9/30/2020
Perf: $1,293.22 Date: 8/31/2020
Perf: $1,344.31 Date: 7/31/2020
Perf: $1,254.13 Date: 6/30/2020
Perf: $1,187.18 Date: 5/31/2020
Perf: $1,164.01 Date: 4/30/2020
Perf: $1,111.12 Date: 3/31/2020
Perf: $984.86 Date: 2/29/2020
Perf: $1,123.63 Date: 1/31/2020
Perf: $1,224.40 Date: 12/31/2019
Perf: $1,224.89 Date: 11/30/2019
Perf: $1,188.98 Date: 10/31/2019
Perf: $1,147.34 Date: 9/30/2019
Perf: $1,122.97 Date: 8/31/2019
Perf: $1,102.35 Date: 7/31/2019
Perf: $1,120.05 Date: 6/30/2019
Perf: $1,104.15 Date: 5/31/2019
Perf: $1,031.43 Date: 4/30/2019
Perf: $1,101.37 Date: 3/31/2019
Perf: $1,058.50 Date: 2/28/2019
Perf: $1,038.36 Date: 1/31/2019
Perf: $1,006.06 Date: 12/31/2018
Perf: $931.45 Date: 11/30/2018
Perf: $1,023.91 Date: 10/31/2018
Perf: $1,003.44 Date: 9/30/2018
Perf: $1,077.12 Date: 8/31/2018
Perf: $1,071.01 Date: 7/31/2018
Perf: $1,037.20 Date: 6/30/2018
Perf: $1,000.00 Date: 10/31/2020
Perf: $865.25 Date: 9/30/2020
Perf: $847.86 Date: 8/31/2020
Perf: $830.83 Date: 7/31/2020
Perf: $819.52 Date: 6/30/2020
Perf: $842.35 Date: 5/31/2020
Perf: $825.27 Date: 4/30/2020
Perf: $850.18 Date: 3/31/2020
Perf: $800.85 Date: 2/29/2020
Perf: $814.20 Date: 1/31/2020
Perf: $892.86 Date: 12/31/2019
Perf: $977.30 Date: 11/30/2019
Perf: $1,002.77 Date: 10/31/2019
Perf: $1,018.04 Date: 9/30/2019
Perf: $1,011.06 Date: 8/31/2019
Perf: $942.63 Date: 7/31/2019
Perf: $990.05 Date: 6/30/2019
Perf: $906.31 Date: 5/31/2019
Perf: $903.15 Date: 4/30/2019
Perf: $979.77 Date: 3/31/2019
Perf: $975.76 Date: 2/28/2019
Perf: $1,000.68 Date: 1/31/2019
Perf: $1,024.45 Date: 12/31/2018
Perf: $1,003.87 Date: 11/30/2018
Perf: $1,001.27 Date: 10/31/2018
Perf: $966.38 Date: 9/30/2018
Perf: $970.26 Date: 8/31/2018
Perf: $988.75 Date: 7/31/2018
Perf: $1,003.40 Date: 6/30/2018
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: 06/18 - 10/20
Date: 10/31/2020
Return: 2.05 % Date: 9/30/2020
Return: 2.05 % Date: 8/31/2020
Return: 1.38 % Date: 7/31/2020
Return: -2.71 % Date: 6/30/2020
Return: 2.07 % Date: 5/31/2020
Return: -2.93 % Date: 4/30/2020
Return: 6.16 % Date: 3/31/2020
Return: -1.64 % Date: 2/29/2020
Return: -8.81 % Date: 1/31/2020
Return: -8.64 % Date: 12/31/2019
Return: -2.54 % Date: 11/30/2019
Return: -1.50 % Date: 10/31/2019
Return: 0.69 % Date: 9/30/2019
Return: 7.26 % Date: 8/31/2019
Return: -4.79 % Date: 7/31/2019
Return: 9.24 % Date: 6/30/2019
Return: 0.35 % Date: 5/31/2019
Return: -7.82 % Date: 4/30/2019
Return: 0.41 % Date: 3/31/2019
Return: -2.49 % Date: 2/28/2019
Return: -2.32 % Date: 1/31/2019
Return: 2.05 % Date: 12/31/2018
Return: 0.26 % Date: 11/30/2018
Return: 3.61 % Date: 10/31/2018
Return: -0.40 % Date: 9/30/2018
Return: -1.87 % Date: 8/31/2018
Return: -1.46 % Date: 7/31/2018
Return: 0.34 % Date: 6/30/2018
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: 06/18 - 10/20
Return: 6.00 %
Count: 1 Return: -9.00 %
Count: 2 Return: -3.00 %
Count: 3 Return: 1.00 %
Count: 2 Return: 7.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: 2.00 %
Count: 4 Return: 4.00 %
Count: 1 Return: -2.00 %
Count: 5 Return: -1.00 %
Count: 1 Return: 0.00 %
Count: 6

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: 06/18 - 10/20
Date: 10/31/2020
Drawdown: -15.54 % Date: 9/30/2020
Drawdown: -17.24 % Date: 8/31/2020
Drawdown: -18.90 % Date: 7/31/2020
Drawdown: -20.00 % Date: 6/30/2020
Drawdown: -17.78 % Date: 5/31/2020
Drawdown: -19.44 % Date: 4/30/2020
Drawdown: -17.01 % Date: 3/31/2020
Drawdown: -21.83 % Date: 2/29/2020
Drawdown: -20.52 % Date: 1/31/2020
Drawdown: -12.84 % Date: 12/31/2019
Drawdown: -4.60 % Date: 11/30/2019
Drawdown: -2.12 % Date: 10/31/2019
Drawdown: -0.63 % Date: 9/30/2019
Drawdown: -1.31 % Date: 8/31/2019
Drawdown: -7.99 % Date: 7/31/2019
Drawdown: -3.36 % Date: 6/30/2019
Drawdown: -11.53 % Date: 5/31/2019
Drawdown: -11.84 % Date: 4/30/2019
Drawdown: -4.36 % Date: 3/31/2019
Drawdown: -4.75 % Date: 2/28/2019
Drawdown: -2.32 % Date: 1/31/2019
Drawdown: 0.00 % Date: 12/31/2018
Drawdown: 0.00 % Date: 11/30/2018
Drawdown: -0.21 % Date: 10/31/2018
Drawdown: -3.69 % Date: 9/30/2018
Drawdown: -3.30 % Date: 8/31/2018
Drawdown: -1.46 % Date: 7/31/2018
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:  Caerus Group LLC
Address: 2033 W. School St
City: Chicago
State: IL
Zip: 60618
Country: US

Key People

Name:  Luke Laidley
Position:  Principal
Biography: 

Luke Laidley is the Founder and Trading Principal of Caerus Group, LLC • 18+ years of experience at investment management Irms, including Goldman Sachs & Morgan Stanley • Trading WTI Oil futures since 2010. Founder of proprietary trading Irms, including Firth Trading and Caerus Group • Graduated from Boston College


Additional Information

 Futures Sectors Traded
 Energies Yes 
 Investment Methodology
 Trend Following Yes 
 Systematic Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $200,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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