Spring Valley Asset Management

SVAM Commodity Advantage Portfolio *QEP*


Monthly Performance (%)

Date Range: 10/20 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 0.94 0.63 0.40 -0.26 1.38 -0.86 0.27 -2.42 1.66   1.69 
2020 1.81 -0.87  0.92 

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

The SVAM Commodity Advantage Portfolio pursues a multi-strategy systematic approach to investing across a diverse selection of highly liquid commodity markets (including precious metals, industrial metals, energies, grains, foods, fibers and meats), offering the potential for attractive risk-adjusted returns, controlled downside volatility and distinct correlation benefits within a cash efficient (i.e., low margin) investment vehicle. The Portfolio's trading methodology is premised upon the notion that, unlike the highly correlated nature of global stock and bond markets, the unique fundamentals of each individual commodity market - with respect to supply and demand imbalances, seasonal characteristics, weather-related patterns and government/trade policy - gives each a distinct "personality" and therefore warrants a trading approach that is specifically tailored to that commodity market.

Performance Statistics

Date Range: 10/20 - 09/21
  Program S&P 500 Coquest 40 
Total Return 2.63% 30.01% 11.37% 
Annualized Return 2.63% 30.01% 11.37% 
Annualized Std. Deviation 4.21% 13.34% 4.37% 
Correlation -0.07 -0.01 
Sharpe Ratio (rf=2.5%) 0.09 2.06 2.03 
Worst Month -2.42% -4.65% -0.91% 
Date of Worst Month 08/2021 09/2021 01/2021 
Worst Drawdown -3.00% -4.65% -0.91% 
Date of Worst Drawdown 5/21 - 8/21 8/21 - 9/21 12/20 - 1/21 

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: 10/20 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 1.69 15.93 6.73 
2020 0.92 15.21 4.68 

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: 10/20 - 09/21
Date: 9/30/2021
Perf: $1,117.26 Date: 8/31/2021
Perf: $1,111.70 Date: 7/31/2021
Perf: $1,111.48 Date: 6/30/2021
Perf: $1,106.61 Date: 5/31/2021
Perf: $1,110.83 Date: 4/30/2021
Perf: $1,094.84 Date: 3/31/2021
Perf: $1,075.91 Date: 2/28/2021
Perf: $1,061.68 Date: 1/31/2021
Perf: $1,037.31 Date: 12/31/2020
Perf: $1,046.83 Date: 11/30/2020
Perf: $1,008.80 Date: 10/31/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,335.65 Date: 8/31/2021
Perf: $1,400.78 Date: 7/31/2021
Perf: $1,359.46 Date: 6/30/2021
Perf: $1,327.85 Date: 5/31/2021
Perf: $1,297.62 Date: 4/30/2021
Perf: $1,288.60 Date: 3/31/2021
Perf: $1,223.28 Date: 2/28/2021
Perf: $1,171.95 Date: 1/31/2021
Perf: $1,140.47 Date: 12/31/2020
Perf: $1,152.10 Date: 11/30/2020
Perf: $1,109.50 Date: 10/31/2020
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,026.30 Date: 8/31/2021
Perf: $1,009.54 Date: 7/31/2021
Perf: $1,034.57 Date: 6/30/2021
Perf: $1,031.79 Date: 5/31/2021
Perf: $1,040.74 Date: 4/30/2021
Perf: $1,026.57 Date: 3/31/2021
Perf: $1,029.25 Date: 2/28/2021
Perf: $1,025.15 Date: 1/31/2021
Perf: $1,018.73 Date: 12/31/2020
Perf: $1,009.24 Date: 11/30/2020
Perf: $1,018.10 Date: 10/31/2020
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: 10/20 - 09/21
Date: 9/30/2021
Return: 1.66 % Date: 8/31/2021
Return: -2.42 % Date: 7/31/2021
Return: 0.27 % Date: 6/30/2021
Return: -0.86 % Date: 5/31/2021
Return: 1.38 % Date: 4/30/2021
Return: -0.26 % Date: 3/31/2021
Return: 0.40 % Date: 2/28/2021
Return: 0.63 % Date: 1/31/2021
Return: 0.94 % Date: 12/31/2020
Return: -0.87 % Date: 11/30/2020
Return: 1.81 % Date: 10/31/2020
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: 10/20 - 09/21
Return: -2.00 %
Count: 1 Return: 1.00 %
Count: 3 Return: -1.00 %
Count: 2 Return: 2.00 %
Count: 2 Return: 0.00 %
Count: 4

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: 10/20 - 09/21
Date: 9/30/2021
Drawdown: -1.39 % Date: 8/31/2021
Drawdown: -3.00 % Date: 7/31/2021
Drawdown: -0.59 % Date: 6/30/2021
Drawdown: -0.86 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: -0.26 % Date: 3/31/2021
Drawdown: 0.00 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: 0.00 % Date: 12/31/2020
Drawdown: -0.87 % Date: 11/30/2020
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:  Spring Valley Asset Management
Address: 365 South Street, Suite 204
City: Morristown
State: NJ
Zip: 07960
Country: United States

Key People

Name:  John Ryan
Position:  Principal
Biography: 


Additional Information

 Futures Sectors Traded
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Developed Only Yes 
 Holding Period
 Short Term Yes 
 Intra-Week Yes 
 Investment Terms & Information
 Managed Account Minimum:  
 Margin / Equity Ratio: 6% 
 Managed Account Availability: Open 
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