JTM Capital Management LLC : JTM Absolute Return Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance -0.12% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 20.00% Annualized Vol 9.39% Sharpe (RFR=1%) -0.08 CAROR -0.20% Assets $ 2.4M Worst DD -12.31 S&P Correlation -0.02 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since10/2016 JTM Absolute Return Strategy -0.12 - - 0.00 3.85 - - -0.64 S&P 500 2.86 - - 28.87 42.84 - - 74.86 +/- S&P 500 -2.98 - - -28.87 -38.98 - - -75.50 Strategy Description SummaryJTM Absolute Return Strategy employs a discretionary option spread strategy with a focus on domestic agricultural futures markets. Listed AUM includes notional funds. One account included in the summary composite gets preferential exchange fees. Performance includes all fees.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 2.00 Management Fee 0% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 7500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -15.00% Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 30.00% 1-3 Months 40.00% 1-30 Days 30.00% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Option-spreads 70.00% Seasonal/cyclical 10.00% Spreading/hedging 10.00% Other 10.00% Composition Grains 97.00% Other 3.00% SummaryJTM Absolute Return Strategy employs a discretionary option spread strategy with a focus on domestic agricultural futures markets. Listed AUM includes notional funds. One account included in the summary composite gets preferential exchange fees. Performance includes all fees.Investment StrategyThe Advisor’s trading edge is ultimately derived from three factors: (1) The Advisor believes that option markets are segmented and can reflect pricing inefficiencies due to behavioral biases. The Advisor has developed and maintains proprietary technology that is used to identify potential trading opportunities. (2) A flexible discretionary trading approach that draws on John Taylor Malueg’s trading experience for all aspects of the strategy’s implementation. (3) Positions exhibit favorable risk/reward characteristics and are robust to moderate risk assumptions, but positions may still lose value.Risk ManagementMonitoring margin to equity ratio and changes to the bottom line every day come first. The Advisor expects to maintain a margin to equity ratio below 40%. Margin utilization may temporarily exceed 40%, and there may also be instances where the Advisor does not deploy any capital. The Advisor generally seeks to limit potential single position drawdown risk to no more than 5% of a client’s nominal account value. If a position was to go badly astray, a stop loss may be executed, or the Advisor may offset at least part of the position immediately, in order to get it back down to a comfortable position size. The Advisor favors liquid markets and will trade exchange listed products. If a stop loss on a core position has been executed, the Advisor will review the position carefully before re-entry. 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 -12.31 14 13 4/1/2017 6/1/2018 -8.52 5 - 7/1/2019 12/1/2019 -0.50 2 1 1/1/0001 11/1/2016 Show More Consecutive Gains Run-up Length (Mos.) Start End 9.61 4 4/1/2019 7/1/2019 8.54 3 3/1/2018 5/1/2018 8.44 4 7/1/2018 10/1/2018 7.86 5 12/1/2016 4/1/2017 1.30 2 12/1/2018 1/1/2019 1.24 1 6/1/2017 6/1/2017 1.12 1 1/1/2018 1/1/2018 0.63 1 8/1/2017 8/1/2017 0.40 1 10/1/2019 10/1/2019 0.15 1 11/1/2017 11/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.24 1 6/1/2018 6/1/2018 -7.65 2 11/1/2019 12/1/2019 -6.73 2 9/1/2017 10/1/2017 -4.02 1 5/1/2017 5/1/2017 -3.91 2 2/1/2019 3/1/2019 -2.33 1 2/1/2018 2/1/2018 -2.31 1 7/1/2017 7/1/2017 -1.34 2 8/1/2019 9/1/2019 -0.50 2 10/1/2016 11/1/2016 -0.25 1 11/1/2018 11/1/2018 -0.09 1 12/1/2017 12/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods39.0037.0034.0028.0022.0016.00 Percent Profitable58.9756.7658.8250.0050.0087.50 Average Period Return0.020.270.880.872.092.52 Average Gain1.673.234.676.577.603.63 Average Loss-2.34-3.61-4.54-4.82-3.41-5.27 Best Period4.798.548.5713.7414.3012.53 Worst Period-8.24-7.89-10.91-9.76-6.47-5.38 Standard Deviation2.714.275.356.696.624.36 Gain Standard Deviation1.082.652.393.774.693.35 Loss Standard Deviation2.612.463.232.971.860.15 Sharpe Ratio (1%)-0.020.010.07-0.020.090.12 Average Gain / Average Loss0.710.901.031.362.230.69 Profit / Loss Ratio1.021.171.471.362.234.82 Downside Deviation (10%)2.393.554.957.328.238.79 Downside Deviation (5%)2.242.983.804.593.712.65 Downside Deviation (0%)2.212.853.533.972.721.86 Sortino Ratio (10%)-0.16-0.27-0.32-0.56-0.67-0.88 Sortino Ratio (5%)-0.030.010.10-0.030.160.19 Sortino Ratio (0%)0.010.100.250.220.771.35 Top Performer Badges Index Award Type Rank Performance Period Option Strategy Index Month 8 0.00 1/2020 Option Strategy Index Month 10 -0.12 12/2019 Option Strategy Index Month 8 0.00 11/2019 Option Strategy Index Month 6 0.40 10/2019 Option Strategy Index Month 9 -0.56 8/2019 Discretionary Trader Index Month 6 2.39 7/2019 Option Strategy Index Month 1 2.39 7/2019 Option Strategy Index Month 3 1.82 6/2019 Discretionary Trader Index Month 6 1.82 6/2019 Option Strategy Index Month 2 2.36 5/2019 Option Strategy Index Month 1 2.71 4/2019 Discretionary Trader Index Month 6 2.71 4/2019 Option Strategy Index Month 9 0.93 1/2019 Option Strategy Index Month 4 0.37 12/2018 Option Strategy Index Month 3 1.27 10/2018 Discretionary Trader Index Month 6 2.33 9/2018 Diversified Trader Index Month 10 2.33 9/2018 Option Strategy Index Month 1 2.33 9/2018 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