Compass Agriculture

Compass Accounts: Commodity

Summary

The Compass Agriculture Account invests in grain and feed products, oilseeds, cotton, dairy, livestock, poultry, and/or horticultural products. The portfolio manager will take positions directly in either physical assets, or commodity-linked derivative instruments. The account seeks short to mid-term trading profits vs. capital appreciation or current income.

Benchmark: S&P GSCI Agriculture

Core Facts

Asset Class Commodity
Category Agriculture
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.40%
Minimum investment [4] $1000 US
Account number CC062
Account manager Galleon Wealth Management
Region Global
Market Developed

Capitalization

Value

Blend

Growth
LG

MD

SM


Style

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
iPath Series B Bloomberg Livestock Subindex Total Return ETN0.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN0.00%
iPath Series B Bloomberg Sugar Subindex Total Return ETN0.00%
iPath Series B Bloomberg Grains Subindex Total Return ETN0.00%
iShares MSCI Global Agriculture Producers ETF1.83%
iPath Series B Bloomberg Agriculture Subindex Total Return ETN0.00%
iPath Series B Bloomberg Cotton Subindex Total Return ETN0.00%

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/18
End Date12/31/19
Initial Balance$10,000.00
Periodic AdjustmentNone
RebalancingRebalance annually
Reinvest DividendsYes
BenchmarkInvesco DB Agriculture
Portfolio Performance
MetricCompass AgricultureInvesco DB Agriculture
Start Balance$10,000.00$10,000.00
End Balance$9,940.00$9,062.00
End Balance (inflation adjusted)$9,536.00$8,694.00
CAGR-0.30%-4.81%
CAGR (inflation adjusted)-2.35%-6.76%
Stdev13.20%10.31%
Best Year12.34%-0.70%
Worst Year-11.51%-8.74%
Max. Drawdown-17.69%-21.36%
Sharpe Ratio-0.11-0.62
Sortino Ratio-0.15-0.78
US Stock Market Correlation0.68-0.13
Risk and Return Metrics
MetricCompass AgricultureInvesco DB Agriculture
Arithmetic Mean (monthly)0.05%-0.37%
Arithmetic Mean (annualized)0.54%-4.31%
Geometric Mean (monthly)-0.02%-0.41%
Geometric Mean (annualized)-0.30%-4.81%
Volatility (monthly)3.81%2.98%
Volatility (annualized)13.20%10.31%
Downside Deviation (monthly)2.75%2.27%
Max. Drawdown-17.69%-21.36%
US Market Correlation0.68-0.13
Beta (*)0.21
Alpha (annualized)1.42%0.00%
R Squared2.43%100.00%
Sharpe Ratio-0.11-0.62
Sortino Ratio-0.15-0.78
Treynor Ratio (%)-7.29-6.4
Active Return4.51%N/A
Tracking Error15.43%N/A
Information Ratio0.29N/A
Skewness-0.3-0.01
Excess Kurtosis-0.35-0.01
Historical Value-at-Risk (5%)-7.52%-6.11%
Analytical Value-at-Risk (5%)-6.05%-5.26%
Conditional Value-at-Risk (5%)-7.92%-6.14%
Upside Capture Ratio (%)6.15100
Downside Capture Ratio (%)6.86100
Safe Withdrawal Rate45.44%44.11%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods13 out of 24 (54.17%)10 out of 24 (41.67%)
Gain/Loss Ratio0.871.01
(*) Invesco DB Agriculture is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds0.00%
Intl Bonds0.00%
Other100.00%
Cash0.00%
Equity Market Capitalization
CategoryWeight
Large Cap75.90%
Mid Cap19.69%
Small Cap4.41%
Stock Sectors
CategoryWeight
Basic Materials48.34%
Consumer Cyclical0.00%
Financial Services0.00%
Real Estate0.00%
Consumer Defensive3.11%
Healthcare0.00%
Utilities0.00%
Communication Services0.00%
Energy42.73%
Industrials5.82%
Technology0.00%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun-18Dec-187 months-17.69%
2Feb-18Feb-181 monthApr-182 months3 months-2.79%