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Darren Carlat

SpreadEdge Diversified Seasonal Spreads

Investment Strategy

SpreadEdge Diversified Seasonal Spread Program is designed to provide exposure to a broad base of U.S. energy, and agricultural futures markets. Markets generally traded include (but are not limited to) crude oil, natural gas, gasoline, heating oil, wheat, corn, soybeans, soybean meal, soybean oil, live cattle, feeder cattle, lean hogs, cotton, coffee, sugar, cocoa, and orange juice.

The Program seeks to achieve significant profits across a broad variety of market conditions (both bull and bear markets, inflationary and deflationary environments). To achieve their objectives, the Programs involve speculating in futures contracts (or options thereon) available for trading on any U.S. exchange. Trades are typically seasonal calendar spreads or intra-commodity spreads (such as Chicago vs. Kansas City wheat). Inter-commodity spreads are not generally used. Options are normally not used, but could be used in extreme market conditions for risk management purposes.

Performance (VAMI)

Monthly Returns

Fund Manager

Darren Carlat is the Managing Director of SpreadEdge Capital, LLC and is responsible for all aspects of the companies operations including market research, trading, customer satisfaction, and operations management.  Mr. Carlat attended Washburn University in Topeka, Ks and graduated with a Bachelor in Business Administration Degree with a major in Accounting.

In 1986, he started a 32 year career in various increasing capacities with Frito-Lay, Inc., a large snack food producer and distributor that is a division of PepsiCo Inc..  Prior to his retirement in early 2018, Mr. Carlat served as an Executive in Supply Chain Operations in the company’s headquarters in Plano, Tx.  His responsibilities included leading the development, support, and execution of demand forecasting, production scheduling, replenishment planning, and numerous other supply chain planning activities.

For decades, Mr. Carlat has been developing, programming, and testing a wide variety of trading systems.  In 2010, he finished initial development efforts on a seasonal spread trading strategy which he has continually refined, enhanced and improved.  This trading system has been used for his own trading activities and is the basis of all of the programs described.  In 2014, he became an registered Commodities Trading Advisor (CTA), founded SpreadEdge Capital, LLC. and began to offer the trading program to the public.  He is now dedicated to this effort full time and remains as the largest investor in the program.

General Information

Inception DateDec 2014
Minimum Investment100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone12146363133
E-mail[email protected]
Websitehttps:/SpreadEdgeCapital.com

Statistics

Total Return Cumulative 174.84%
Sharpe Ratio 0.53
Sortino Ratio 0.61
Winning Months (%) 59.29%
Correlation vs. S&P 500 TR -0.11

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -3.12 -1.68 2.27 0.76 -1.85
2023 4.71 3.67 2.42 -1.15 1.03 -1.78 4.58 5.55 1.79 -4.03 2.70 2.10 23.31
2022 3.38 -2.87 -9.66 3.94 9.42 2.92 -4.11 -1.23 2.34 4.98 0.50 2.81 11.64
2021 -4.69 -3.87 2.04 -5.89 -0.16 3.93 -2.04 2.75 0.30 -2.94 1.31 1.97 -7.58
2020 5.39 1.16 7.02 4.06 -0.93 -4.74 0.34 -2.71 -3.10 -0.59 -0.79 -4.14 0.21
2019 5.17 2.69 0.52 -0.67 -0.32 -2.71 3.58 0.06 -8.66 4.87 3.80 -0.78 6.92
2018 3.43 4.79 23.76 -6.01 15.24 -0.64 4.81 -6.96 3.54 13.01 0.69 10.39 83.09
2017 26.22 0.02 -6.77 15.60 -0.85 -6.26 1.20 -9.51 -16.32 -7.65 9.63 7.58 5.55
2016 -27.94 -2.52 2.15 3.09 4.67 -14.86 14.20 8.96 22.10 15.85 9.66 -22.01 -0.77
2015 1.31 14.48 -2.46 -6.36 -5.36 -1.52 -17.02 8.59 18.72 -11.33 2.65 2.45 -1.51
2014 8.77 8.77
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Return Statistics

Last Month 0.76%
Year To Date -1.85%
3 Month ROR 1.32%
12 Months ROR 10.13%
36 Month ROR 41.92%
Total Return Cumulative 174.84%
Total Return Annualized 11.33%
Best Month 26.22%
Winning Months (%) 59.29%
Gain Deviation 5.93

Risk Statistics

Standard Deviation Annualized 27.99%
Max Drawdown (Monthly) -44.02%
Max Drawdown Length 21
Worst Month -27.94%
Losing Months (%) 40.71%
Average Losing Month -5.47%
Loss Deviation 5.85
Correlation vs S&P 500 -0.11
Correlation vs DJ/CS MF -0.20

Risk/Reward Statistics

Sharpe Ratio 0.53
Sortino Ratio 0.61
Omega Ratio 1.15
Skewness -0.04
Kurtosis 2.57

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -44.02% 16 5 03/2015 11/2016
2 -34.23% 6 5 05/2017 03/2018
3 -29.24% 23 17 05/2020 08/2023
4 -22.01% 1 4 12/2016 04/2017
5 -8.81% 6 4 04/2019 01/2020

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 26.22%-27.94%1.23%1.20%0.76%59.29%
3 Months 55.12%-30.07%3.53%2.28%1.32%61.26%
6 Months 66.38%-34.23%6.99%4.52%2.92%63.89%
1 Year 94.27%-40.35%15.14%10.85%10.13%69.61%
2 Years 129.36%-26.46%33.31%30.49%43.30%70.00%
3 Years 204.20%-17.26%52.05%30.79%41.92%84.62%
5 Years 184.55%20.22%91.90%96.64%24.07%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.33%35.56%79.59%260.37%1808.39%6946.05%
% Positive59.29%61.26%63.89%69.61%70.00%84.62%
Avg. Pos. Period5.83%11.26%18.08%28.89%51.91%62.62%
Avg. Neg. Period-5.47%-8.71%-12.64%-16.36%-10.08%-6.07%
Sharpe Ratio0.530.851.151.712.983.12
Sortino Ratio0.611.211.843.6214.7448.36
Standard Deviation8.08%14.37%21.09%30.73%38.71%57.83%
Downside Deviation5.11%7.36%9.43%10.80%6.55%3.05%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Company Information

Minimum Investment100,000 USD (notional funding: 65.00%)
AUM2,347,273 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million8500
Margin to Equity30.00%
Legal StructureManaged Account
Investment RestrictionNon US Only

Company Information

CompanyDarren Carlat
PrincipalDarren Carlat
Phone12146363133
E-mail[email protected]
License NumberNFA 480000
LocationProsper, United States
Performance Compiled bySpreadEdge

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -3.12 -1.68 2.27 0.76 -1.85
2023 4.71 3.67 2.42 -1.15 1.03 -1.78 4.58 5.55 1.79 -4.03 2.70 2.10 23.31
2022 3.38 -2.87 -9.66 3.94 9.42 2.92 -4.11 -1.23 2.34 4.98 0.50 2.81 11.64
2021 -4.69 -3.87 2.04 -5.89 -0.16 3.93 -2.04 2.75 0.30 -2.94 1.31 1.97 -7.58
2020 5.39 1.16 7.02 4.06 -0.93 -4.74 0.34 -2.71 -3.10 -0.59 -0.79 -4.14 0.21
2019 5.17 2.69 0.52 -0.67 -0.32 -2.71 3.58 0.06 -8.66 4.87 3.80 -0.78 6.92
2018 3.43 4.79 23.76 -6.01 15.24 -0.64 4.81 -6.96 3.54 13.01 0.69 10.39 83.09
2017 26.22 0.02 -6.77 15.60 -0.85 -6.26 1.20 -9.51 -16.32 -7.65 9.63 7.58 5.55
2016 -27.94 -2.52 2.15 3.09 4.67 -14.86 14.20 8.96 22.10 15.85 9.66 -22.01 -0.77
2015 1.31 14.48 -2.46 -6.36 -5.36 -1.52 -17.02 8.59 18.72 -11.33 2.65 2.45 -1.51
2014 8.77 8.77
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

SpreadEdge Diversified Seasonal Spread Program is designed to provide exposure to a broad base of U.S. energy, and agricultural futures markets. Markets generally traded include (but are not limited to) crude oil, natural gas, gasoline, heating oil, wheat, corn, soybeans, soybean meal, soybean oil, live cattle, feeder cattle, lean hogs, cotton, coffee, sugar, cocoa, and orange juice.

The Program seeks to achieve significant profits across a broad variety of market conditions (both bull and bear markets, inflationary and deflationary environments). To achieve their objectives, the Programs involve speculating in futures contracts (or options thereon) available for trading on any U.S. exchange. Trades are typically seasonal calendar spreads or intra-commodity spreads (such as Chicago vs. Kansas City wheat). Inter-commodity spreads are not generally used. Options are normally not used, but could be used in extreme market conditions for risk management purposes.

Return Statistics

Last Month 0.76%
Year To Date -1.85%
3 Month ROR 1.32%
12 Months ROR 10.13%
36 Month ROR 41.92%
Total Return Cumulative 174.84%
Total Return Annualized 11.33%
Best Month 26.22%
Winning Months (%) 59.29%
Gain Deviation 5.93

Risk Statistics

Standard Deviation Annualized 27.99%
Max Drawdown (Monthly) -44.02%
Max Drawdown Length 21
Worst Month -27.94%
Losing Months (%) 40.71%
Average Losing Month -5.47%
Loss Deviation 5.85
Correlation vs S&P 500 -0.11
Correlation vs DJ/CS MF -0.20

Risk/Reward Statistics

Sharpe Ratio 0.53
Sortino Ratio 0.61
Omega Ratio 1.15
Skewness -0.04
Kurtosis 2.57

Performance (VAMI)

Fund Manager

Darren Carlat is the Managing Director of SpreadEdge Capital, LLC and is responsible for all aspects of the companies operations including market research, trading, customer satisfaction, and operations management.  Mr. Carlat attended Washburn University in Topeka, Ks and graduated with a Bachelor in Business Administration Degree with a major in Accounting.

In 1986, he started a 32 year career in various increasing capacities with Frito-Lay, Inc., a large snack food producer and distributor that is a division of PepsiCo Inc..  Prior to his retirement in early 2018, Mr. Carlat served as an Executive in Supply Chain Operations in the company’s headquarters in Plano, Tx.  His responsibilities included leading the development, support, and execution of demand forecasting, production scheduling, replenishment planning, and numerous other supply chain planning activities.

For decades, Mr. Carlat has been developing, programming, and testing a wide variety of trading systems.  In 2010, he finished initial development efforts on a seasonal spread trading strategy which he has continually refined, enhanced and improved.  This trading system has been used for his own trading activities and is the basis of all of the programs described.  In 2014, he became an registered Commodities Trading Advisor (CTA), founded SpreadEdge Capital, LLC. and began to offer the trading program to the public.  He is now dedicated to this effort full time and remains as the largest investor in the program.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -44.02% 16 5 03/2015 11/2016
2 -34.23% 6 5 05/2017 03/2018
3 -29.24% 23 17 05/2020 08/2023
4 -22.01% 1 4 12/2016 04/2017
5 -8.81% 6 4 04/2019 01/2020

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 26.22%-27.94%1.23%1.20%0.76%59.29%
3 Months 55.12%-30.07%3.53%2.28%1.32%61.26%
6 Months 66.38%-34.23%6.99%4.52%2.92%63.89%
1 Year 94.27%-40.35%15.14%10.85%10.13%69.61%
2 Years 129.36%-26.46%33.31%30.49%43.30%70.00%
3 Years 204.20%-17.26%52.05%30.79%41.92%84.62%
5 Years 184.55%20.22%91.90%96.64%24.07%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.33%35.56%79.59%260.37%1808.39%6946.05%
% Positive59.29%61.26%63.89%69.61%70.00%84.62%
Avg. Pos. Period5.83%11.26%18.08%28.89%51.91%62.62%
Avg. Neg. Period-5.47%-8.71%-12.64%-16.36%-10.08%-6.07%
Sharpe Ratio0.530.851.151.712.983.12
Sortino Ratio0.611.211.843.6214.7448.36
Standard Deviation8.08%14.37%21.09%30.73%38.71%57.83%
Downside Deviation5.11%7.36%9.43%10.80%6.55%3.05%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.