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Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: May-2024
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Report Start Date Report End Date

Chesapeake Capital Corporation / Diversified Program (LV)
Accepting New Investors: Yes Systematic / Trend / Diversified
4.7 Exempt - QEPs Only


Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-6.18% 4.55% 1.12% 2.88% -6.49% 3.18% 3.71% 1.71% -2.18% -3.27% -0.65% -1.70%
2020 2.14% -6.40% -2.96% 0.49% -1.20% -0.92% 2.33% 2.47% -3.95% -0.78% 7.43% 8.03%
2021 0.51% 6.33% 0.16% 6.15% 2.04% -3.89% -2.39% 0.22% 2.19% 2.89% -4.59% 2.39%
2022 4.24% 2.58% 6.59% 6.53% -0.20% -0.04% -3.09% 2.58% 4.39% -0.04% -6.27% 1.34%
2023 -3.23% 2.51% -2.37% 1.38% 0.92% 1.19% 0.45% -0.86% 0.15% -1.26% -4.39% -5.36%
2024 2.49% 3.55% 2.51% -2.78% -0.35%  

 201920202021202220232024 YTD
ROR-4.03%5.84%11.98%19.35%-10.66%5.39%
Max DD-7.59%-10.71%-6.19%-6.31%-11.29%-3.12%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: N/A

Program Description: Chesapeake utilizes a technical program to trade more than 90 global markets. The system focuses on analyzing historical price movements within a quantitative framework rather than attempting to forecast changes through fundamental analysis. The strategies analyze large number of quantitative interrelated mathematical and statistical formulas. Charting techniques are utilized as a tool to identify key support and resistance levels as well as entry and exit points in the various markets. Chesapeake also analyzes price open interest, daily price action, volatility, volume, and market psychology or sentiment and limits the amount of equity committed to each trade, market, or complex.

Investment Information
Program Start Date Feb-1988
Minimum Investment 5,000,000
Management Fee 1.00%
Incentive Fee 0.00%
Margin 20%
Round Turns per Million 750
Currency US Dollar
NFA No: #0211201
Trading Strategy       Market Segment      

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Program Statistics
Peak-to-Valley Drawdown (1) (Aug 2019 - Oct 2020) -15.73%
Worst Monthly Return (May 2019) -6.49%
Current Losing Streak -10.60%
Average Monthly Return 0.44%
Annualized Statistics
Annualized Compounded ROR (2) 4.64%
Standard Deviation 12.16%
Sharpe Ratio (4) 0.35
36 Month Calmar Ratio (3) 0.18
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: May-2024
Please wait for your Report to Fully Load Print to PDF



Time Window Analysis
Length Best Average Worst
1 mo 8% 0.4% -6.5%
3 mo 16.6% 1.6% -10.7%
6 mo 31.9% 3.1% -12.4%
12 mo 33.2% 7.2% -13.2%
18 mo 57.8% 13.5% -14.2%
24 mo 63.3% 22.6% -7.3%
36 mo 55.4% 35.7% 8.5%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Sep-19 -15.73% 14 mo 4 mo Feb-21
Oct-22 -15.17% 15 mo 5 mo n/a
May-19 -6.49% 1 mo 2 mo Jul-19
Jun-21 -6.19% 2 mo 6 mo Jan-22
May-22 -3.32% 3 mo 2 mo Sep-22

Comparisons                                        ProgramSP 500 TR
Annualized Compound ROR 4.64%16.68%
Cumulative Return 27.82%130.64%
Cumulative VAMI (5) 12782306
Largest Monthly Gain 8.03%12.82%
Largest Monthly Loss -6.49%-12.35%
Correlation —0.058
Last 12 Months -4.97%28.19%
Last 36 Months 8.53%31.59%

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: May-2024
Please wait for your Report to Fully Load Print to PDF



+ NOTES:

A Qualified Eligible Person ('QEP') 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 $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE 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 ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

** 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.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-05-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

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.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com