iTTa Asset Management Ltd. : iTTa CTA Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance -0.53% Min Investment $ 1,000k Mgmt. Fee 2.50% Perf. Fee 20.00% Annualized Vol 9.63% Sharpe (RFR=1%) -1.54 CAROR - Assets $ 1.8M Worst DD -10.34 S&P Correlation -0.80 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 Nov Qtr 2020 1yr 3yr 5yr 10yr Since5/2012 iTTa CTA -0.53 - - - - - - -8.01 S&P 500 0.28 - - - - - - 183.73 +/- S&P 500 -0.81 - - - - - - -191.74 Strategy Description SummaryThe iTTa CTA uses iTTa Asset Management proprietary market timing and risk management model to trade liquid futures markets. Focus is on growth combined with a fully automated and disciplined stop loss approach. The portfolio combines... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 500k CTA Max Funding Factor 1.00 Management Fee 2.50% Performance Fee 20.00% Average Commission $6.00 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -4.00% Worst Peak-to-Trough 4.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 10.00% 1-30 Days 65.00% Intraday 25.00% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Momentum 40.00% Trend-following 60.00% Composition Stock Indices 65.00% Precious Metals 10.00% Energy 10.00% Industrial Metals 5.00% Grains 5.00% Softs 5.00% SummaryThe iTTa CTA uses iTTa Asset Management proprietary market timing and risk management model to trade liquid futures markets. Focus is on growth combined with a fully automated and disciplined stop loss approach. The portfolio combines overnight positions and day trading which sometimes can take opposite directions. The portfolio is diversified over different futures and foreign exchange markets trading in different time frames.Investment StrategyThe iTTa CTA combines 4 different trading time frames to diversify the risk and provide the best risk adjusted return, 1. Index Trading 2. Commodity Trading Using different time frames and automatically stop loss approach to enhance adjsuted return.Risk ManagementThe risk manager provides independent daily monitoring of investment restrictions to ensure the portfolio is operating within the stated risk limits. On the position level, automatically stop loss is applied to all systematical trading positions. 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 -10.34 6 - 5/1/2012 11/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 2.60 1 5/1/2012 5/1/2012 1.19 1 7/1/2012 7/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.00 1 6/1/2012 6/1/2012 -5.74 4 8/1/2012 11/1/2012 Show More Time Windows Analysis 1 Month3 Month Number of Periods7.005.00 Percent Profitable28.570.00 Average Period Return-1.15-4.31 Average Gain1.90 Average Loss-2.37-4.31 Best Period2.60-2.41 Worst Period-6.00-6.61 Standard Deviation2.781.65 Gain Standard Deviation1.00 Loss Standard Deviation2.201.65 Sharpe Ratio (1%)-0.44-2.77 Average Gain / Average Loss0.80 Profit / Loss Ratio0.32 Downside Deviation (10%)2.885.73 Downside Deviation (5%)2.664.79 Downside Deviation (0%)2.604.56 Sortino Ratio (10%)-0.54-0.97 Sortino Ratio (5%)-0.46-0.95 Sortino Ratio (0%)-0.44-0.95 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