Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
Launched in May 2006, the quantitative JEM CRV Program seeks to profit from price movements in related commodity contracts based on both market and fundamental indicators. The strategy offers a highly diversified portfolio covering the energies, base & precious metals, grains, livestock and softs. CRV’s market- neutral strategies capture forward curve alpha via calendar spreads, while its new basket-neutral strategies capture profits from offsetting long and short positions across commodity markets. CRV is an absolute return program that generates commodity alpha with almost no commodity beta. It has nearly zero correlation to all major asset classes and hedge fund styles, including commodity indices, CTAs and commodity strategies (see table below).<br><br> The Program is open for investment via JEM CRV Fund II, our Cayman and Delaware based Master-Feeder structure. These Funds offer access to our 1X, 2X, and 3X Programs with many of the advantages of a managed account, including top-tier service providers, solid cash management, efficient margin usage, and semi-monthly liquidity. Please contact us for investment information.
J E Moody & Company LLC was founded in July 2001 and has over 10 years of experience trading client accounts as a registered CTA/CPO. JEM’s Commodity Relative Value Program celebrated its fifth anniversary in May 2011, and is one of the very few pure-alpha strategies in the natural resources arena. CRV’s performance since inception has proven to be an excellent validation of the Program’s unique investment strategy and tight risk controls. JEM has a strong team of traders/researchers with extensive experience in commodity markets, quantitative modeling, and derivatives trading. Dr. John Moody was named a Rising Star of Hedge Funds at the 2009 Institutional Investor Hedge Fund Industry Awards.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.06% | 0.21% | 1.10% | 4.41% | N/A | |||||||||
| 2025 | 0.57% | 0.13% | -0.55% | 0.89% | -1.44% | -0.05% | -0.51% | 0.34% | 2.18% | 0.88% | -0.02% | -0.56% | 1.84% | -1.99% |
| 2024 | -0.26% | -0.27% | -0.12% | 0.58% | 0.60% | -0.05% | -0.61% | -0.46% | 0.18% | -0.22% | 0.67% | 0.84% | 0.86% | -1.16% |
| 2023 | 0.06% | -0.49% | 0.93% | -0.06% | 1.35% | -0.09% | 0.51% | -0.62% | 0.54% | -0.71% | 0.55% | 1.40% | 3.40% | -0.79% |
| 2022 | -1.56% | 1.20% | 3.25% | 0.82% | -2.46% | -1.26% | 0.09% | 0.36% | 0.52% | 1.65% | -0.10% | 0.10% | 2.51% | -3.69% |
| 2021 | -0.49% | 1.17% | 0.26% | 1.61% | -0.15% | 0.31% | -0.10% | 0.28% | -0.36% | 0.14% | 0.87% | -0.53% | 3.04% | -0.53% |
Accounting Notes: Monthly returns from May 16 2006 to October 31 2022 (198 months, 4,231 trading days) are based on a gross composite of representative traded accounts, scaled to reflect their selected exposure level (1X to 3X Programs). Actual commissions are included, as are assumed interest and pro forma fees of 1% annual management and 25% performance. Benchmark interest is the 90-day SOFR rate (as of 4/1/2020, prior to which it was the 90-day Eurodollar rate, capped at 3% during Sept. – Dec. 2008), and is not scaled with exposure level. The trading level of $731M is the aggregate 1X equivalent trading level across all exposure levels and all accounts traded pursuant to the JEM CRV Program, and includes notionally-funded accounts. The Manager believes that the manner in which the trading level and pro forma performance figures have been calculated is reasonable. However, there are other reasonable calculation methods which would have yielded materially different results. Actual interest earned, fees, and expenses vary by account. Each investor’s performance may be better or worse than the figures shown for a variety of reasons, including, but not limited to, the above factors and the timing of their own investment and redemption decisions.
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2026 | 4.41% | N/A | $1,000 |
| 2025 | 1.84% | -1.99% | $1,000 |
| 2024 | 0.86% | -1.16% | $1,000 |
| 2023 | 3.40% | -0.79% | $1,000 |
| 2022 | 2.51% | -3.69% | $1,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 4.41% | N/A |
| 2025 | 1.84% | -1.99% |
| 2024 | 0.86% | -1.16% |
Accounting Notes:
Monthly returns from May 16 2006 to October 31 2022 (198 months, 4,231 trading days) are based on a gross composite of representative traded accounts, scaled to reflect their selected exposure level (1X to 3X Programs). Actual commissions are included, as are assumed interest and pro forma fees of 1% annual management and 25% performance. Benchmark interest is the 90-day SOFR rate (as of 4/1/2020, prior to which it was the 90-day Eurodollar rate, capped at 3% during Sept. – Dec. 2008), and is not scaled with exposure level. The trading level of $731M is the aggregate 1X equivalent trading level across all exposure levels and all accounts traded pursuant to the JEM CRV Program, and includes notionally-funded accounts. The Manager believes that the manner in which the trading level and pro forma performance figures have been calculated is reasonable. However, there are other reasonable calculation methods which would have yielded materially different results. Actual interest earned, fees, and expenses vary by account. Each investor’s performance may be better or worse than the figures shown for a variety of reasons, including, but not limited to, the above factors and the timing of their own investment and redemption decisions.++Qualified Eligible Investors Only:
A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).
Exemptions:
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.