iTTa Asset Management Ltd. : iTTa CTA

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
5/2012
iTTa CTA -0.53 -3.99 - - - - - -8.01
S&P 500 0.28 0.68 - - - - - 8.08
+/- S&P 500 -0.81 -4.67 - - - - - -16.09

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Stock Indices
65.00%
Precious Metals
10.00%
Energy
10.00%
Grains
5.00%
Softs
5.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

The 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 Strategy

The 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 Management

The 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.

   

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
-10.34 6 - 5/1/2012 11/1/2012
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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
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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.