Brock Thompson Trading, LLC : Brock Thompson Trend Trading Program

archived programs
Year-to-Date
N / A
Aug Performance
-1.50%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.35%
Sharpe (RFR=1%)
0.01
CAROR
0.93%
Assets
$ 500k
Worst DD
-6.54
S&P Correlation
0.00

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

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

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Brock Thompson Trend Trading Program -1.50 -1.39 - 2.76 -3.38 - - 3.44
S&P 500 -6.26 -6.42 - -1.56 40.21 - - 46.30
+/- S&P 500 4.76 5.02 - 4.32 -43.59 - - -42.86

Strategy Description

Summary

The BTT Technical Trend Trading Program seeks to achieve significant absolute returns (profits without regard to the performance of U.S. equities or futures markets), while attempting to limit erformance volatility, by identifying and capturing intermediate-term trends.

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Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
960 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
7.29%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
20.00%
Intraday
80.00%

Decision-Making

Discretionary
25.00%
Systematic
75.00%

Strategy

Fundamental
10.00%
Technical
10.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Livestock
70.00%
Grains
30.00%
Composition Pie Chart

Summary

The BTT Technical Trend Trading Program seeks to achieve significant absolute returns (profits without regard to the performance of U.S. equities or futures markets), while attempting to limit erformance volatility, by identifying and capturing intermediate-term trends.

Investment Strategy

The trading program attempts to identify markets that are trending and relies primarily on indicators generated through strategic technical analysis; however to a lesser degree the Advisor will utilize fundamental information when deemed valuable. Average duration of trade last between 4 to 15 days, but could be longer given the strength of the trend. The Advisor will generally trade in agricultural commodities, more specifically meat and grains. However, the Advisor may trade clients’ accounts in futures and options on futures in any and all markets, including stock indices, financials, and interest-rate-sensitive products.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.54 17 - 2/1/2013 7/1/2014
-2.43 1 4 9/1/2012 10/1/2012
-2.00 4 1 1/1/0001 4/1/2012
-0.46 1 1 6/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
7.57 2 5/1/2012 6/1/2012
6.52 6 8/1/2014 1/1/2015
2.02 2 8/1/2012 9/1/2012
1.83 2 11/1/2012 12/1/2012
1.77 1 2/1/2013 2/1/2013
1.59 3 10/1/2013 12/1/2013
1.54 1 2/1/2014 2/1/2014
1.28 1 4/1/2015 4/1/2015
0.83 2 6/1/2013 7/1/2013
0.79 1 3/1/2012 3/1/2012
0.75 2 6/1/2015 7/1/2015
0.19 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.61 5 3/1/2014 7/1/2014
-3.44 2 2/1/2015 3/1/2015
-3.02 1 5/1/2013 5/1/2013
-2.43 1 10/1/2012 10/1/2012
-2.40 2 8/1/2013 9/1/2013
-1.50 1 8/1/2015 8/1/2015
-1.41 2 1/1/2012 2/1/2012
-1.38 1 4/1/2012 4/1/2012
-1.01 1 1/1/2014 1/1/2014
-0.90 1 1/1/2013 1/1/2013
-0.69 1 3/1/2013 3/1/2013
-0.46 1 7/1/2012 7/1/2012
-0.21 1 5/1/2015 5/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable54.5547.6246.1551.5255.5652.38
Average Period Return0.090.380.730.67-0.17-0.23
Average Gain1.102.413.693.772.372.34
Average Loss-1.13-1.46-1.81-2.62-3.35-3.06
Best Period4.957.087.988.925.115.51
Worst Period-3.02-3.51-4.92-4.84-6.34-5.98
Standard Deviation1.542.533.393.913.293.33
Gain Standard Deviation1.232.152.462.831.371.79
Loss Standard Deviation0.830.941.401.251.842.04
Sharpe Ratio (1%)0.000.050.07-0.08-0.51-0.67
Average Gain / Average Loss0.981.652.041.440.710.76
Profit / Loss Ratio1.171.501.751.530.890.84
Downside Deviation (10%)1.182.083.345.698.4110.98
Downside Deviation (5%)0.981.401.972.673.453.80
Downside Deviation (0%)0.941.251.662.012.522.50
Sortino Ratio (10%)-0.27-0.41-0.52-0.76-0.92-0.96
Sortino Ratio (5%)0.010.100.12-0.12-0.48-0.59
Sortino Ratio (0%)0.090.310.440.33-0.07-0.09

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 9 0.93 12/2014
Agricultural Trader Index Month 1 4.08 10/2014
Agricultural Trader Index Month 7 1.54 2/2014
Agricultural Trader Index Month 8 0.43 12/2013
Agricultural Trader Index Month 6 1.11 10/2013
Agricultural Trader Index Month 7 1.77 2/2013
Agricultural Trader Index Month 9 0.27 12/2012
Agricultural Trader Index Month 3 1.56 11/2012
Agricultural Trader Index Month 9 0.56 9/2012
Trend Following Strategy Index Month 6 2.50 6/2012
Agricultural Trader Index Month 2 4.95 5/2012

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.