iTTa Asset Management Ltd. : iTTa Commodity Spread Trading - 2x Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -2.69% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.30% Sharpe (RFR=1%) -0.14 CAROR - Assets $ 4.7M Worst DD -14.59 S&P Correlation -0.27 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since4/2011 iTTa Commodity Spread Trading - 2x -2.69 -1.30 - -13.65 - - - -1.58 S&P 500 1.26 -1.33 - 6.72 - - - 1.13 +/- S&P 500 -3.95 0.03 - -20.37 - - - -2.71 Strategy Description SummaryThe iTTa Commodity Spread Trading is a commodity market neutral trading program, which offers investros access to a broad range of low correlated systematic alpha strategies, and is designed to provide an alternative allocation to commodity according to... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 300k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $6.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 3000 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -15.00% Worst Peak-to-Trough 0% Sector Focus Arbitrage & Spread Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 30.00% 1-30 Days 70.00% Intraday 0% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Spreading/hedging 100.00% Composition Grains 35.00% Energy 30.00% Livestock 15.00% Softs 10.00% Industrial Metals 5.00% Precious Metals 5.00% SummaryThe iTTa Commodity Spread Trading is a commodity market neutral trading program, which offers investros access to a broad range of low correlated systematic alpha strategies, and is designed to provide an alternative allocation to commodity according to investors' risk preferences. The iTTa Commodity Spread Trading aims to deliver competitive returns with a low level of volatility under considerations of capital preservation and liquidity.Investment StrategyThe iTTa Commodity Spread Trading aims to profit from price inefficiencies prevalent in the global commodity markets, both among commodities within the same bloc and among different maturities of the same commodity arising from situations such as seasonality, extreme contango/backwardation, short-term liquidity imbalance, and relative strength, etc. Investment universe may include crude oil, heating oil, gasoline, natural gas, wheat, corn, soybean, soybean meal, soybean oil, oat, rice, lean hog, live cattle, feeder cattle, sugar, coffee, cotton, lumber, cocoa, palladium, platinum, silver, gold, copper, and so forth.Risk ManagementThe risk manager provides independent daily monitoring of investment restrictions to ensure the portfolio is operating within the stated risk limits. A stated monthly stop loss is enforced. Once the montly stop loss limits approach, portfolio manager has to compulsorily reduce the positions. Stop orders are not used in the spread markets; however, when the portfolio apprach the stop loss limits, positions are exited in an orderly manner to avoid excess slippage. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -14.59 11 - 8/1/2011 7/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.23 5 4/1/2011 8/1/2011 2.35 1 5/1/2012 5/1/2012 2.14 2 11/1/2011 12/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.63 2 9/1/2011 10/1/2011 -7.28 4 1/1/2012 4/1/2012 -3.57 2 6/1/2012 7/1/2012 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods16.0014.0011.00 Percent Profitable50.0050.009.09 Average Period Return-0.05-0.76-4.03 Average Gain2.383.759.93 Average Loss-2.48-5.26-5.43 Best Period6.758.389.93 Worst Period-5.25-7.88-12.68 Standard Deviation3.265.505.81 Gain Standard Deviation2.323.38 Loss Standard Deviation1.992.583.70 Sharpe Ratio (1%)-0.04-0.18-0.78 Average Gain / Average Loss0.960.711.83 Profit / Loss Ratio0.960.710.18 Downside Deviation (10%)2.434.898.24 Downside Deviation (5%)2.244.256.57 Downside Deviation (0%)2.194.096.17 Sortino Ratio (10%)-0.19-0.40-0.79 Sortino Ratio (5%)-0.06-0.24-0.69 Sortino Ratio (0%)-0.02-0.18-0.65 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel