Taaffeite Capital Management LLC : TCM Global Index Fund (Flagship)

archived programs
Year-to-Date
N / A
May Performance
-2.40%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
22.74%
Sharpe (RFR=1%)
0.75
CAROR
16.74%
Assets
$ 12.5M
Worst DD
-23.37
S&P Correlation
0.23

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
7/2013
TCM Global Index Fund (Flagship) -2.40 -3.36 - 4.02 96.14 - - 114.05
S&P 500 2.16 -0.32 - 11.04 27.07 - - 58.86
+/- S&P 500 -4.56 -3.04 - -7.02 69.07 - - 55.19

Strategy Description

Investment Strategy

TCM proprietary algorithms trade the daily price movement of highly liquid global indices using advanced artificial intelligence techniques. Professor Desmond Lun has a PhD from MIT and has been an academic/professor at MIT/Harvard/Rutgers for 15 years. He is one of the... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
25.00%
Counter-trend
25.00%
Pattern Recognition
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
40.00%
Composition Pie Chart

Investment Strategy

TCM proprietary algorithms trade the daily price movement of highly liquid global indices using advanced artificial intelligence techniques. Professor Desmond Lun has a PhD from MIT and has been an academic/professor at MIT/Harvard/Rutgers for 15 years. He is one of the leading authorities in mathematical models that predict the behaviour of biological systems. His scientific accomplishments includes several patents (US Patent Nos. 7414978, 8126235, and (pending) PCT/US2014/59503, PCT/US2012/27219), the book Network Coding, over 30 academic papers, and over 4,000 academic citations. For the last 10 years, he has designed and traded systematic strategies to profit from his theories in data science.

Predicting the daily movement of global indices using quantitative techniques derived from modelling biological systems is unique and challenging. To manage risk, long and short positions are negatively correlated, and a diversified suite of highly liquid global indices are traded. The TCM strategy is differentiated from traditional quantitative strategies by its learning capabilities, which allow it to continually evolve.

   

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
-23.37 11 5 6/1/2014 5/1/2015
-13.81 3 2 1/1/2016 4/1/2016
-7.33 1 1 12/1/2013 1/1/2014
-5.87 1 1 12/1/2017 1/1/2018
-5.62 2 - 3/1/2018 5/1/2018
-5.13 3 1 9/1/2016 12/1/2016
-5.03 2 2 8/1/2017 10/1/2017
-3.37 3 1 2/1/2017 5/1/2017
-1.99 1 1 7/1/2013 8/1/2013
-1.49 1 1 6/1/2017 7/1/2017
-0.63 1 1 10/1/2015 11/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
48.79 5 5/1/2016 9/1/2016
29.01 2 6/1/2015 7/1/2015
26.25 5 2/1/2014 6/1/2014
21.16 4 9/1/2013 12/1/2013
15.27 2 9/1/2015 10/1/2015
10.54 2 2/1/2018 3/1/2018
9.21 2 1/1/2017 2/1/2017
7.43 2 12/1/2015 1/1/2016
7.13 2 11/1/2017 12/1/2017
7.11 2 10/1/2014 11/1/2014
4.04 1 6/1/2017 6/1/2017
2.68 1 4/1/2015 4/1/2015
2.50 1 7/1/2013 7/1/2013
2.08 1 8/1/2014 8/1/2014
1.57 1 8/1/2017 8/1/2017
0.95 1 11/1/2016 11/1/2016
0.88 1 4/1/2017 4/1/2017
0.29 1 2/1/2015 2/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-18.70 1 9/1/2014 9/1/2014
-13.81 3 2/1/2016 4/1/2016
-7.48 1 8/1/2015 8/1/2015
-7.33 1 1/1/2014 1/1/2014
-6.15 1 5/1/2015 5/1/2015
-5.87 1 1/1/2018 1/1/2018
-5.62 2 4/1/2018 5/1/2018
-5.03 2 9/1/2017 10/1/2017
-4.93 1 7/1/2014 7/1/2014
-4.72 2 12/1/2014 1/1/2015
-3.61 1 10/1/2016 10/1/2016
-2.60 1 3/1/2017 3/1/2017
-2.50 1 12/1/2016 12/1/2016
-1.99 1 8/1/2013 8/1/2013
-1.66 1 5/1/2017 5/1/2017
-1.53 1 3/1/2015 3/1/2015
-1.49 1 7/1/2017 7/1/2017
-0.63 1 11/1/2015 11/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods59.0057.0054.0048.0042.0036.0024.00
Percent Profitable61.0270.1877.7879.1792.86100.00100.00
Average Period Return1.514.749.0917.9929.5546.7674.71
Average Gain5.149.7514.4224.9932.1846.7674.71
Average Loss-4.18-7.06-9.57-8.62-4.66
Best Period24.1033.7145.9853.8083.2788.57100.27
Worst Period-18.70-21.10-16.79-22.47-10.254.3546.19
Standard Deviation6.5710.9115.3020.3424.6524.8815.54
Gain Standard Deviation5.058.4112.6916.4523.5524.8815.54
Loss Standard Deviation4.215.756.217.314.90
Sharpe Ratio (1%)0.220.410.560.841.141.804.61
Average Gain / Average Loss1.231.381.512.906.91
Profit / Loss Ratio1.923.255.2711.0189.80
Downside Deviation (10%)3.855.466.357.023.681.37
Downside Deviation (5%)3.705.025.515.421.96
Downside Deviation (0%)3.664.915.315.051.64
Sortino Ratio (10%)0.290.641.041.855.9726.66
Sortino Ratio (5%)0.380.891.563.1414.28
Sortino Ratio (0%)0.410.961.713.5618.01

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 2.40 3/2018
Systematic Trader Index Month 8 7.95 2/2018
Diversified Trader Index Month 2 7.95 2/2018
IASG CTA Index Month 5 7.95 2/2018
IASG CTA Index 3 Year Rolling 6 82.72 2014 - 2017
Diversified Trader Index Month 9 3.63 12/2017
IASG CTA Index Month 7 3.38 11/2017
Systematic Trader Index Month 7 3.38 11/2017
Diversified Trader Index Month 4 3.38 11/2017
IASG CTA Index Month 9 4.04 6/2017
Systematic Trader Index Month 4 4.04 6/2017
Diversified Trader Index Month 1 4.04 6/2017
Diversified Trader Index Month 2 6.90 1/2017
IASG CTA Index Month 3 6.90 1/2017
Systematic Trader Index Month 1 6.90 1/2017
IASG CTA Index Year Rolling 5 21.96 2015 - 2016

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