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J.E. Moody & Company, LLC

Commodity Relative Value program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-0.15%-0.14%2.05%-0.99%-1.58%2.03%1.72%2.23%    5.20%
20160.48%-1.01%-0.48%-0.58%-0.37%-1.52%1.10%0.17%1.63%-1.32%0.57%-0.26%-1.63%
20150.23%3.76%-1.91%-1.51%-0.88%-0.42%1.18%-1.06%-0.39%-0.34%2.67%-0.19%0.99%
2014-0.24%-1.30%-0.91%0.19%-0.87%-0.56%-0.18%0.56%-0.45%0.12%1.11%0.72%-1.82%
20130.34%-0.51%-1.03%-0.36%1.39%-0.09%1.49%0.42%0.13%0.78%0.52%-1.17%1.89%
20120.55%-0.47%0.65%-2.04%0.51%-0.26%-0.63%0.34%0.66%0.90%0.82%0.68%1.68%
2011-0.44%0.08%-0.69%1.23%0.49%0.24%-0.84%1.90%1.90%-0.68%-0.44%1.98%4.77%
20100.30%0.32%1.46%0.10%0.07%-0.45%0.03%0.00%0.52%0.13%0.72%-0.59%2.63%
20091.04%-0.78%1.20%0.35%0.53%-0.35%0.08%0.33%-1.65%0.68%0.19%0.63%2.24%
20082.95%-0.51%2.52%0.06%2.21%0.88%0.81%-1.14%-0.12%0.91%1.14%2.20%12.48%
2007-0.64%2.33%2.21%-1.04%-0.11%0.96%1.18%1.55%0.09%2.69%2.25%1.57%13.55%
2006    1.37%0.44%4.09%1.93%1.79%4.97%2.18%4.15%22.84%

Performance statistics — May 2006 to Aug 2017

Cumulative total return 83.66%
Annualized compound return 5.51%
Annualized standard deviation 4.37%
Monthly correlation to S&P 500 TRI -0.05
Annualized sharpe ratio (0%) 1.08
Monthly maximum loss (Apr 2012) -2.04%
Maximum drawdown (Mar 2015 - Jun 2016) -6.23%

Annual performance (%) — May 2006 to Aug 2017

Year or YTD J E Moody & Company S&P 500 TRIBTOP50 Index
20175.2011.93-2.39
2016-1.6311.96-4.44
20150.991.38-0.92
2014-1.8213.6912.33
20131.8932.390.74
20121.6816.00-1.83
20114.772.11-4.25
20102.6315.066.38
20092.2426.46-4.77
200812.48-37.0013.58
200713.555.497.57
200622.84--

Performance comparison: Growth of $10,000 invested since inception — May 2006 to Aug 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 — Sep 2007 to Aug 2017

Distribution of monthly returns — May 2006 to Aug 2017

Underwater curve — May 2006 to Aug 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

J E Moody and Company LLC was founded by John E. Moody, PhD and has been registered with the NFA as a commodity pool operator and commodity trading advisor, and is an NFA member, since April 2001. In April 2001, Dr. Moody, Managing Member of JE Moody and Company LLC, registered as a commodity pool operator and commodity trading advisor. In July 2001, JE Moody and Company LLC was formed. In May 2002, JE Moody and Company LLC assumed the commodity pool operator and commodity trading advisor registration of Dr. Moody. Dr. Moody became listed as a principal of JE Moody on April 20, 2001, and registered as an associated person and an NFA associate member of JE Moody on April 26, 2001.

Investment goal

Aims to capture commodity alpha with minimal beta and low correlation to major asset classes and hedge fund strategies, including Commodity Trading Advisors ("CTAs").

Markets traded

Energies, metals, livestock and agriculturals

Strategy

The Commodity Relative Value strategy is diversified across the primary commodity sectors (energies, metals, grains, livestock, and softs), with an emphasis on risk management, and seeks to minimize drawdowns. CRV is a market-neutral strategy, aiming to capture commodity alpha with minimal commodity beta and generally low correlation to major asset classes and hedge fund strategies, including CTAs and commodity traders.

Key personnel

John E. Moody, Ph.D., Portfolio Manager — The only principal of J E Moody & Company is John Moody, Ph.D.  Dr. Moody was named a Rising Star of Hedge Funds at the 2009 Institutional Investor Hedge Fund Industry Awards.  He was previously a Principal Investigator at Berkeley’s International Computer Science Institute, founded and directed the Computational Finance Program at Oregon Graduate Institute, and was a member of the Computer Science and Neuroscience Faculties at Yale University.  Dr. Moody received his PhD and MS in Physics from Princeton, and BA Honors in Physics at the University of Chicago.  Moody has over 25 years of experience trading futures and options.  He took leave from full-time academia in 2003 to focus on trading and building JEM’s asset management business.

 

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