TYL Trading : Blend Diversified
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definitions page
Year-to-Date
N / A
Oct -4.24%
|
Min. Investment |
$ 1,000k |
Inception |
Aug 2005 |
Assets |
$ 14.5M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
0.63 |
Worst DD |
-11.27 |
|
Perf Fee |
20.00% |
CAROR |
- |
S&P Correlation |
0.01 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | -3.63 | 3.84 | -1.01 | 7.04 | -5.78 | -1.84 | 1.47 | 1.09 | -2.33 | -4.24 | | | -5.92 | -11.27 |
| 2010 | -0.70 | 1.34 | 2.34 | 0.68 | -2.05 | -3.26 | 0.01 | -2.24 | 9.12 | 2.40 | -3.44 | 6.73 | 10.62 | -7.36 |
| 2009 | 0.94 | -2.37 | -1.47 | 0.85 | 12.59 | -1.91 | -0.11 | -0.76 | -0.75 | -0.22 | 4.15 | -2.67 | 7.62 | -3.81 |
| 2008 | 3.03 | 17.93 | -2.98 | 0.27 | -3.08 | 2.80 | -3.53 | 0.46 | -2.10 | 8.95 | 2.95 | -0.30 | 24.95 | -8.04 |
| 2007 | -1.26 | 1.85 | -2.79 | 1.01 | -0.24 | -0.22 | -0.45 | 0.18 | 9.08 | 1.73 | 0.63 | 0.61 | 10.13 | -2.79 |
| 2006 | 2.02 | -2.88 | 2.05 | 4.48 | 0.16 | 0.09 | -1.64 | 0.29 | -2.24 | 1.35 | 2.03 | -2.22 | 3.27 | -3.56 |
| 2005 | | | | | | | | 7.35 | -1.66 | -0.38 | 1.78 | 1.34 | 8.47 | -2.03 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
TYL’s Blend Diversified Program (BDP) trades an adaptive model which constantly analyzes and adjusts to current market volatility, correlation and price patterns.
The BDP utilizes a multi strategy approach which incorporates techniques for trending and non-trending markets. This model diversifies across markets, market sectors, trading signals and time frames. Ideally, the BDP aims at maintaining a diversified portfolio of physical commodities and financial futures.
TYL uses a technical and quantitative analysis approach to the markets. The BDP was formulated from the results of extensive historical futures market testing.
TYL’s focus is on the medium to short term trades with filters to reduce the amount of time involved in trendless market activity. This keeps the BDP’s current average margin unusually low at 4% to 6%.
TYL employs a number of strict disciplines concerning risk management for its Blend Diversified Program. The system employs a systemization of trading rules, money management principles and volatility adjusted features for individual trades as well as the overall portfolio.
Risk Management
The BDP model consists of multiple entry and exit signals with the risk allotment of each signal based upon the probability of its success and correlation to the overall portfolio. Ongoing research continuously monitors the trading model while testing for new and more efficient signals.
