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/ JTM Capital Management LLC / JTM Absolute Return Strategy

JTM Capital Management LLC : JTM Absolute Return Strategy

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Year-to-Date
5.30%
Oct Performance
0.40%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
8.57%
Sharpe (RFR=1%)
0.20
CAROR
2.40%
Assets
$ 2.6M
Worst DD
-12.31
S&P Correlation
0.03
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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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2016
JTM Absolute Return Strategy 0.40 -0.94 5.30 5.42 7.77 - - 7.59
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 41.41
+/- S&P 500 -1.64 -2.86 -15.86 -6.58 -33.65 - - -33.82

Strategy Description

Summary

JTM 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%
Strategy Pie Chart

Composition

Grains
97.00%
Other
3.00%
Composition Pie Chart

Summary

JTM 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 Strategy

The 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 Management

Monitoring 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-1.34 2 - 7/1/2019 9/1/2019
-0.50 2 1 1/1/0001 11/1/2016
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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
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.24 1 6/1/2018 6/1/2018
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable62.1660.0062.5053.8550.0085.71
Average Period Return0.230.721.281.132.172.32
Average Gain1.673.234.676.577.803.59
Average Loss-2.13-3.05-4.39-5.21-3.45-5.27
Best Period4.798.548.5713.7414.3012.53
Worst Period-8.24-6.59-10.91-9.76-6.47-5.38
Standard Deviation2.473.935.266.886.824.64
Gain Standard Deviation1.082.652.393.774.893.64
Loss Standard Deviation2.312.053.473.051.950.15
Sharpe Ratio (1%)0.060.120.150.020.100.07
Average Gain / Average Loss0.781.061.061.262.260.68
Profit / Loss Ratio1.281.591.771.472.264.09
Downside Deviation (10%)2.082.984.707.318.299.08
Downside Deviation (5%)1.932.433.624.663.762.83
Downside Deviation (0%)1.902.293.374.062.771.99
Sortino Ratio (10%)-0.09-0.17-0.25-0.53-0.65-0.87
Sortino Ratio (5%)0.080.190.210.030.180.11
Sortino Ratio (0%)0.120.310.380.280.781.17

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 -0.78 9/2019
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
Discretionary Trader Index Month 5 2.71 4/2019
Option Strategy Index Month 1 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
Option Strategy Index Month 1 2.33 9/2018
Diversified Trader Index Month 10 2.33 9/2018
Discretionary Trader Index Month 6 2.33 9/2018
Diversified Trader Index Month 9 2.33 9/2018
Discretionary Trader Index Month 6 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.

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