iTTa Asset Management Ltd. : iTTa Commodity Spread Trading - 2x

archived programsClosed to new investments
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=0.50%)
-0.10
CAROR
-
Assets
$ 4.7M
Worst DD
-14.59
S&P Correlation
-0.27

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 Since
4/2011
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

Summary

The 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%
Strategy Pie Chart

Composition

Grains
35.00%
Energy
30.00%
Livestock
15.00%
Softs
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The 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 Strategy

The 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 Management

The 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.

   

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=0.50%)
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=0.50%)
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
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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
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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.