Taaffeite Capital Management LLC : TCM Global Index Fund (Growth) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance -4.20% Min Investment $ 250k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 35.27% Sharpe (RFR=1%) 1.07 CAROR 38.55% Assets $ 17.0M Worst DD -21.51 S&P Correlation -0.10 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 May Qtr YTD 1yr 3yr 5yr 10yr Since8/2015 TCM Global Index Fund (Growth) -4.20 - - - -4.20 86.43 - 151.88 S&P 500 2.16 - - - 27.07 64.22 - 116.66 +/- S&P 500 -6.36 - - - -31.27 22.21 - 35.22 Strategy Description Investment StrategyTCM 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 $ 250k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 1.00 Management Fee 1.00% Performance Fee 25.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 7-14 Days Redemption Frequency 7-14 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 7000 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD -15.00% Worst Peak-to-Trough 30.00% Sector Focus Stock Index 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% Composition Stock Indices 60.00% Interest Rates 40.00% Investment StrategyTCM 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. 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 -21.51 3 2 1/1/2016 4/1/2016 -13.78 2 - 3/1/2018 5/1/2018 -9.02 1 1 12/1/2017 1/1/2018 -7.64 3 1 9/1/2016 12/1/2016 -5.44 3 1 2/1/2017 5/1/2017 -3.01 2 1 8/1/2017 10/1/2017 -2.60 1 1 10/1/2015 11/1/2015 -2.28 1 1 6/1/2017 7/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 81.94 5 5/1/2016 9/1/2016 59.60 3 8/1/2015 10/1/2015 17.76 2 2/1/2018 3/1/2018 15.22 2 1/1/2017 2/1/2017 10.73 2 12/1/2015 1/1/2016 6.86 1 6/1/2017 6/1/2017 6.18 2 11/1/2017 12/1/2017 2.50 1 8/1/2017 8/1/2017 1.92 1 11/1/2016 11/1/2016 0.87 1 4/1/2017 4/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -21.51 3 2/1/2016 4/1/2016 -13.78 2 4/1/2018 5/1/2018 -9.02 1 1/1/2018 1/1/2018 -4.82 1 12/1/2016 12/1/2016 -4.79 1 10/1/2016 10/1/2016 -3.97 1 3/1/2017 3/1/2017 -3.01 2 9/1/2017 10/1/2017 -2.60 1 11/1/2015 11/1/2015 -2.38 1 5/1/2017 5/1/2017 -2.28 1 7/1/2017 7/1/2017 Show More Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 6 4.40 3/2018 Stock Index Trader Index Month 6 4.40 3/2018 Stock Index Trader Index Month 2 12.80 2/2018 Systematic Trader Index Month 4 12.80 2/2018 Stock Index Trader Index Month 9 1.46 12/2017 Systematic Trader Index Month 1 4.65 11/2017 Stock Index Trader Index Month 1 4.65 11/2017 Stock Index Trader Index Month 4 2.50 8/2017 Stock Index Trader Index Month 1 6.86 6/2017 Systematic Trader Index Month 1 6.86 6/2017 Past performance is not necessarily indicative of future results. 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