Noor Capital LLC : TIR (Client)

archived programs
Year-to-Date
N / A
Mar Performance
4.90%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.79%
Sharpe (RFR=1%)
-1.35
CAROR
-
Assets
$ 1.0M
Worst DD
-19.87
S&P Correlation
0.60

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2015
TIR (Client) 4.90 - - - - 1.53 - -15.94
S&P 500 6.60 - - - - 55.32 - 64.68
+/- S&P 500 -1.70 - - - - -53.79 - -80.63

Strategy Description

Summary

The Tir Program is based on quantitative and fundamental analysis of physical, economic, relative price information, and firm level information. The core trading strategy is continually updated to identify optimal capital placement in single or multiple commodities. The strategy deploys... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD 25.00%
Worst Peak-to-Trough -7.89%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 30.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Tir Program is based on quantitative and fundamental analysis of physical, economic, relative price information, and firm level information. The core trading strategy is continually updated to identify optimal capital placement in single or multiple commodities. The strategy deploys capital in CL, NG, and RBOB. Tir Strategies tend to be monthly to seasonal in duration.

Investment Strategy

Fundamental based strategy designed to produce attractive absolute and risk-adjusted return while maintaining low correlation to traditional asset classes.

Risk Management

The program trades to a 25% drawdown limit, there is a max 25% M/E ratio. Options are purchased along with underlying long or short to protect max drawdown.

   

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
-19.87 -1 - 1/1/0001 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
4.90 1 3/1/2016 3/1/2016
3.27 3 9/1/2015 11/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.21 2 7/1/2015 8/1/2015
-6.28 3 12/1/2015 2/1/2016
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable44.4428.57
Average Period Return-1.80-4.41
Average Gain2.042.28
Average Loss-4.87-7.09
Best Period4.903.27
Worst Period-11.11-15.90
Standard Deviation4.856.53
Gain Standard Deviation1.961.40
Loss Standard Deviation4.195.66
Sharpe Ratio (1%)-0.39-0.71
Average Gain / Average Loss0.420.32
Profit / Loss Ratio0.330.13
Downside Deviation (10%)4.838.23
Downside Deviation (5%)4.637.53
Downside Deviation (0%)4.587.36
Sortino Ratio (10%)-0.46-0.69
Sortino Ratio (5%)-0.41-0.62
Sortino Ratio (0%)-0.39-0.60

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.