T4T s.r.l. : Borromeo Program

archived programs
Year-to-Date
N / A
May Performance
4.15%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
40.49%
Sharpe (RFR=1%)
1.84
CAROR
94.03%
Assets
$ 7.0M
Worst DD
-28.68
S&P Correlation
-0.22

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2004
Borromeo Program 4.15 - - - - - - 3,524.53
S&P 500 5.31 - - - - - - 206.25
+/- S&P 500 -1.16 - - - - - - 3,318.28

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

   

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
-28.68 3 7 6/1/2006 9/1/2006
-19.08 1 2 11/1/2007 12/1/2007
-14.88 7 2 4/1/2004 11/1/2004
-10.27 1 2 1/1/2009 2/1/2009
-7.64 2 1 6/1/2008 8/1/2008
-7.32 1 1 2/1/2006 3/1/2006
-5.48 1 1 9/1/2007 10/1/2007
-3.79 1 1 7/1/2007 8/1/2007
-2.42 1 1 4/1/2007 5/1/2007
-1.46 1 1 3/1/2008 4/1/2008
-0.59 1 1 2/1/2005 3/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
351.25 11 4/1/2005 2/1/2006
91.95 5 9/1/2008 1/1/2009
68.09 3 4/1/2006 6/1/2006
43.79 3 12/1/2004 2/1/2005
41.29 3 1/1/2008 3/1/2008
38.10 1 11/1/2007 11/1/2007
36.12 2 3/1/2007 4/1/2007
27.11 2 10/1/2006 11/1/2006
25.46 2 5/1/2008 6/1/2008
17.83 3 3/1/2009 5/1/2009
15.19 2 6/1/2007 7/1/2007
7.22 1 9/1/2007 9/1/2007
5.01 2 3/1/2004 4/1/2004
0.11 1 9/1/2004 9/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.68 3 7/1/2006 9/1/2006
-19.08 1 12/1/2007 12/1/2007
-18.45 3 12/1/2006 2/1/2007
-10.27 1 2/1/2009 2/1/2009
-8.27 2 10/1/2004 11/1/2004
-7.64 2 7/1/2008 8/1/2008
-7.32 1 3/1/2006 3/1/2006
-7.31 4 5/1/2004 8/1/2004
-5.48 1 10/1/2007 10/1/2007
-3.79 1 8/1/2007 8/1/2007
-2.42 1 5/1/2007 5/1/2007
-1.46 1 4/1/2008 4/1/2008
-0.59 1 3/1/2005 3/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable63.0877.7885.00100.00100.00100.00100.00100.00
Average Period Return6.3020.8048.73131.60244.25365.32735.601979.93
Average Gain13.0528.9958.76131.60244.25365.32735.601979.93
Average Loss-5.70-7.88-8.11
Best Period38.1082.57197.11425.92765.22821.831430.473133.38
Worst Period-19.08-28.68-17.733.8123.25114.81381.921006.95
Standard Deviation11.6925.0248.22114.67177.80200.99252.21634.12
Gain Standard Deviation8.8522.0045.32114.67177.80200.99252.21634.12
Loss Standard Deviation4.857.665.93
Sharpe Ratio (1%)0.530.821.001.141.371.812.903.12
Average Gain / Average Loss2.293.687.24
Profit / Loss Ratio4.2712.8741.04
Downside Deviation (10%)4.505.534.640.16
Downside Deviation (5%)4.355.183.98
Downside Deviation (0%)4.315.093.82
Sortino Ratio (10%)1.313.549.98780.41
Sortino Ratio (5%)1.433.9712.13
Sortino Ratio (0%)1.464.0912.77

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.