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Chesapeake Capital Corporation

Diversified program

Printable download

Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20171.30%1.79%-2.51%-0.14%-0.82%-0.97%-0.56%1.72%-1.54%1.61%  -0.23%
20160.30%0.69%-4.22%-1.76%0.85%4.98%0.23%-1.34%0.73%-1.76%-1.45%-0.96%-3.91%
20153.21%-0.18%1.65%-3.83%1.30%-2.21%4.00%-2.94%0.75%-0.56%1.62%-0.53%1.99%
2014-3.27%1.16%-0.82%0.65%0.88%2.13%-0.86%3.23%1.72%1.19%3.91%3.28%13.77%
20136.29%-1.86%2.08%1.31%-0.94%-0.36%3.60%-5.32%1.02%4.60%7.96%5.23%25.38%
2012-2.30%-2.23%1.08%2.24%-3.14%-3.59%5.75%-0.85%-5.10%-5.03%-0.07%-3.29%-15.81%
20111.45%6.34%1.16%5.63%-8.27%-5.91%2.77%-0.30%-12.63%-0.86%5.23%0.83%-6.31%
2010-5.90%2.47%6.40%3.71%-18.29%-3.05%-1.54%3.50%8.80%10.93%-6.11%13.89%10.86%
20090.50%-0.89%-1.04%-3.13%-3.12%-1.38%-0.32%4.80%3.20%-4.68%4.15%2.81%0.38%
20082.35%17.15%-7.49%0.63%2.07%9.48%-9.39%-7.50%-7.20%7.29%6.44%4.14%15.38%
20072.63%-2.33%-1.27%4.53%5.48%0.80%-8.30%-16.42%11.42%10.64%-6.73%5.52%2.28%
20065.54%-0.70%5.37%3.19%-1.50%-0.74%-2.13%-4.66%-1.53%1.38%3.38%3.35%10.88%
2005-3.82%0.46%-0.92%-3.62%-1.25%3.40%0.45%4.70%-1.10%-4.75%4.33%1.97%-0.70%
20041.63%5.05%-2.70%-6.05%-0.50%-2.90%-1.86%-3.23%3.50%2.32%8.89%1.53%4.84%
20036.52%3.61%-8.76%0.29%5.35%-5.65%-1.85%2.42%-2.78%15.48%1.91%6.61%23.09%
2002-2.11%-1.79%2.43%-3.27%2.26%4.19%2.84%2.55%3.81%-2.63%-1.58%4.31%11.07%
2001-0.43%3.75%4.98%-7.50%-1.43%0.16%-3.06%-3.40%7.15%5.01%-10.09%-1.92%-7.98%
2000-0.87%0.92%1.88%-3.80%0.63%-0.99%-3.71%3.90%-7.30%-0.62%7.42%8.80%5.23%
1999-2.76%1.90%-2.65%8.42%-8.71%3.57%-4.80%3.37%1.98%-7.88%4.16%8.49%3.30%
1998-1.29%6.06%3.65%-2.16%3.62%-0.67%3.03%7.27%-0.59%-3.21%-1.68%1.80%16.31%
19971.86%5.48%-1.24%-2.41%-2.28%1.44%6.24%-7.88%5.06%-2.34%1.70%4.88%9.94%
19961.69%-4.26%0.28%10.16%-3.04%3.27%-7.64%0.57%6.47%5.92%6.57%-4.30%15.05%
1995-3.23%-4.39%8.60%1.45%6.84%0.88%-3.09%-2.66%0.20%-1.11%1.76%9.18%14.10%
1994-3.33%-4.88%0.09%-0.60%9.06%7.02%-1.70%-2.98%3.49%1.97%4.83%2.86%15.88%
19930.42%15.99%5.86%7.38%0.40%0.98%9.49%5.88%-2.63%-0.06%1.03%5.77%61.82%
1992-10.98%-2.86%0.53%-0.44%-3.66%6.52%12.96%3.16%-6.78%5.21%2.27%-1.93%1.81%
1991-1.29%4.84%2.32%-2.80%0.27%-1.25%-1.75%-3.32%4.39%4.21%-4.68%12.08%12.51%
19900.49%3.37%8.62%4.37%-4.61%1.77%6.25%15.15%0.60%1.86%-0.25%0.11%43.12%
19894.93%-5.42%6.64%-8.82%22.38%-8.28%11.66%-11.75%-2.82%-7.40%3.90%28.56%28.30%
1988 -2.63%-6.89%-10.71%6.93%32.42%-9.41%6.85%2.03%10.65%11.06%7.04%48.91%

Performance statistics — Feb 1988 to Oct 2017

Cumulative total return 2148.09%
Annualized compound return 11.03%
Annualized standard deviation 19.55%
Monthly correlation to S&P 500 TRI 0.13
Annualized sharpe ratio (0%) 0.47
Monthly maximum loss (May 2010) -18.29%
Maximum drawdown (May 2011 - Dec 2012) -31.58%

Annual performance (%) — Feb 1988 to Oct 2017

Year or YTD Chesapeake Capital Corporation S&P 500 TRIBTOP50 Index
2017-0.2316.91-1.40
2016-3.9111.96-4.44
20151.991.38-0.92
201413.7713.6912.33
201325.3832.390.74
2012-15.8116.00-1.83
2011-6.312.11-4.25
201010.8615.066.38
20090.3826.46-4.77
200815.38-37.0013.58
20072.285.497.57
200610.8815.795.61
2005-0.704.912.76
20044.8410.880.86
200323.0928.6815.55
200211.07-22.1013.68
2001-7.98-11.893.83
20005.23-9.106.60
19993.3021.041.64
199816.3128.5813.18
19979.9433.3610.85
199615.0522.9611.14
199514.1037.5813.90
199415.881.32-1.02
199361.8210.0813.42
19921.817.622.55
199112.5130.4714.68
199043.12-3.1015.24
198928.3031.693.41
198848.91--

Performance comparison: Growth of $10,000 invested since inception — Feb 1988 to Oct 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Nov 2007 to Oct 2017

Distribution of monthly returns — Feb 1988 to Oct 2017

Underwater curve — Feb 1988 to Oct 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Founded in 1988 by R. Jerry Parker, Jr. and was later merged into an Illinois corporation in August 1991.

Investment goal

To maximize the profit in each trade by following the system entries and exits, regardless of market conditions or temptations. Seeks capital preservation, while attempting to provide positive annual returns.

Markets traded

Invested in over 100 markets worldwide, including currencies, commodities, interest rates and stock indices, approximately targeting a 25% / 75% exposure split between the physical commodity and financial futures markets respectively.

Strategy

The Chesapeake trading methodology is long-term trend following, utilizing robust trading systems across a broadly diversified set of markets -- put simply, Classic Trend Following. It is a systematic investment approach that focuses on capital preservation, while attempting to provide positive annual returns. Utilizing diversification and robust systems, the firm’s goal is to maximize the profit in each trade by following the system entries and exits, regardless of market conditions or temptations.  Chesapeake believes using robust trend following systems with minimal filters, conditions or other parameters minimizes the risk of curve fitting and positions them well for market conditions that may not have occurred in the past. They invest in over 100 markets worldwide, including currencies, commodities, interest rates and stock indices. The portfolio strategy is designed to approximately target a fifty-fifty exposure split between the commodity and the financial markets. As well, the maximum risk is limited at the market level, the sector level and the portfolio level. Chesapeake believes there is a major distinction between the volatility of investment returns and the risk of losing capital. Chesapeake is consistent, focused and single-minded in their approach and believes their long term trading systems to be the most consistent and reliable at making positive returns frequently.

Key personnel

R. Jerry Parker, Jr., Chairman of the Board of Directors & CEO — Mr. Parker has overseen Chesapeake’s operations and its trading since its inception. Mr. Parker received a Bachelor of Science degree in Commerce, with an emphasis in Accounting, from the University of Virginia in January 1980.  From November 1983 until June 1986, Mr. Parker was employed as an exempt commodity trading advisor by Mr. Richard J. Dennis, a principal and shareholder of Richard J. Dennis & Company, a Chicago-based commodity trading advisor and a commodity pool operator, in his Turtle training program.  In February 1988 Mr. Parker formed Chesapeake and continues to serve as Chairman and Chief Executive Officer.

Michael L. Ivie, Director of Research — Mr. Ivie received a Bachelor of Science degree in Mathematics from Louisiana State University in 1989. In June 1991, Mr. Ivie joined Chesapeake’s Research Department where his duties included research on trading systems as well as the development and operation of back office software. In March 1999, Mr. Ivie became the Director of Research.

 

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656