Transworld Capital Management : High Liquidity
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Year-to-Date
N / A
Jun -2.55%
|
Min. Investment
|
$ 50k
|
Inception
|
Dec 2008
|
Assets
|
$ 775k
|
|
Mgmt Fee
|
2.00%
|
Sharpe (RFR=1%)
|
0.18
|
Worst DD
|
-27.96
|
|
Perf Fee
|
20.00%
|
CAROR
|
2.58%
|
S&P Correlation
|
-0.21
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2012 | -5.95 | 5.74 | -5.27 | 0.40 | 0.07 | -2.55 | | | | | | | -7.76 | -7.76 |
| 2011 | -0.32 | -4.81 | 0.64 | -6.35 | 2.91 | 5.01 | 1.25 | -10.32 | 2.49 | -6.34 | -4.80 | 3.80 | -16.76 | -19.81 |
| 2010 | 2.54 | 0.06 | 2.87 | -1.06 | 4.09 | 4.05 | -8.62 | -1.17 | 6.97 | 1.21 | -8.77 | 5.19 | 6.12 | -10.80 |
| 2009 | 3.42 | 5.50 | 0.58 | 1.60 | -0.23 | 4.17 | -5.10 | 5.25 | 2.20 | 7.85 | 0.58 | 2.59 | 31.64 | -5.10 |
| 2008 | | | | | | | | | | | | 2.15 | 2.15 | N/A |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Period Returns
|
|
Jun
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
12/2008
|
|
High Liquidity
|
-2.55
|
-2.09
|
-
|
-20.56
|
-7.44
|
-
|
-
|
9.56
|
|
S&P 500
|
3.96
|
-3.29
|
-
|
3.13
|
48.15
|
-
|
-
|
50.78
|
|
+/- S&P 500
|
-6.51
|
1.20
|
-
|
-23.68
|
-55.59
|
-
|
-
|
-41.22
|
Strategy Description
Summary
The “High Liquidity” program is managed by Transworld Capital Management Limited. Tim Rea of Auto Trading Systems is the founding principle of this firm. This program utilizes a number of proprietary models to trade the E-mini S&P 500 futures as well as...
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Strategy Description
Summary
The “High Liquidity” program is managed by Transworld Capital Management Limited. Tim Rea of Auto Trading Systems is the founding principle of this firm. This program utilizes a number of proprietary models to trade the E-mini S&P 500 futures as well as various Treasury Note Futures.
Investment Strategy
This program is trading contracts that are generally very liquid, such as the E-mini S&P 500 futures and Treasury Notes Futures, and can be traded in significant numbers. There are a number of systematic proprietary models used to determine these trades and as such there is not one way to described the underlying methodology but will include trading both with, and counter to the trend at times. Trades are generally shorter term in nature with the majority of trades occurring within a one to three day time frame.
To December 2009 results were calculated on a pro forma basis in the same manner from a proprietary account. From January 2010 customer accounts have been traded and the composite monthly calculations and invoicing done by Futures Accounting and Compliance LLC.
Risk Management
Risks are spread across a number trading models and contracts used and all utilize stop losses. In addition some methods used will exit before the end of the US day leaving a smaller number of potential positions that can be carried overnight.