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/ Tactical Investment Management / Tactical Institutional Commodity Fund

Tactical Investment Management : Tactical Institutional Commodity Fund

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Year-to-Date
53.74%
Dec Performance
11.77%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.36%
Sharpe (RFR=1%)
0.65
CAROR
14.55%
Assets
$ 76.2M
Worst DD
-38.84
S&P Correlation
-0.05
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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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since
5/2005
Tactical Institutional Commodity Fund 11.77 22.92 53.74 53.74 61.75 78.37 77.32 739.76
S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 211.98
+/- S&P 500 8.06 11.23 37.48 37.48 21.28 -3.53 -118.25 527.78

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 1250 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough 41.58%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 50.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
25.00%
Interest Rates
25.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Softs
10.00%
Composition Pie Chart
   

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
-38.84 31 14 4/1/2011 11/1/2013
-22.43 10 7 5/1/2006 3/1/2007
-15.95 5 10 1/1/2015 6/1/2015
-14.59 3 1 6/1/2008 9/1/2008
-11.86 3 1 1/1/2009 4/1/2009
-11.71 3 4 8/1/2019 11/1/2019
-10.40 11 11 8/1/2017 7/1/2018
-9.16 10 3 7/1/2016 5/1/2017
-8.62 1 1 12/1/2010 1/1/2011
-7.85 1 1 2/1/2011 3/1/2011
-7.25 1 2 10/1/2007 11/1/2007
-7.07 1 3 2/1/2008 3/1/2008
-6.73 3 2 11/1/2009 2/1/2010
-5.88 1 1 1/1/2006 2/1/2006
-5.45 1 2 8/1/2020 9/1/2020
-4.40 2 1 5/1/2005 7/1/2005
-4.17 2 1 6/1/2010 8/1/2010
-3.80 1 1 9/1/2005 10/1/2005
-3.42 1 1 5/1/2009 6/1/2009
-3.39 2 2 3/1/2020 5/1/2020
-3.37 2 1 8/1/2009 10/1/2009
-2.44 1 1 4/1/2010 5/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
71.50 4 9/1/2010 12/1/2010
39.72 4 6/1/2014 9/1/2014
33.64 3 12/1/2007 2/1/2008
33.30 3 11/1/2005 1/1/2006
31.43 4 10/1/2008 1/1/2009
30.70 2 9/1/2007 10/1/2007
30.13 3 11/1/2014 1/1/2015
25.10 3 3/1/2006 5/1/2006
22.92 3 10/1/2020 12/1/2020
22.61 2 7/1/2012 8/1/2012
19.35 4 12/1/2019 3/1/2020
16.14 3 6/1/2020 8/1/2020
16.13 2 7/1/2009 8/1/2009
15.76 5 4/1/2019 8/1/2019
15.55 1 5/1/2009 5/1/2009
14.25 3 7/1/2015 9/1/2015
14.03 1 4/1/2011 4/1/2011
12.35 3 6/1/2017 8/1/2017
10.79 3 4/1/2016 6/1/2016
10.54 1 11/1/2009 11/1/2009
10.10 1 2/1/2011 2/1/2011
9.00 3 4/1/2008 6/1/2008
8.67 1 4/1/2007 4/1/2007
8.45 3 2/1/2014 4/1/2014
8.32 1 11/1/2006 11/1/2006
7.33 2 3/1/2010 4/1/2010
7.18 2 8/1/2005 9/1/2005
7.03 2 1/1/2016 2/1/2016
6.82 1 6/1/2007 6/1/2007
5.74 3 7/1/2011 9/1/2011
4.79 2 12/1/2017 1/1/2018
4.49 2 8/1/2018 9/1/2018
4.43 1 8/1/2006 8/1/2006
4.27 1 5/1/2005 5/1/2005
3.75 1 2/1/2019 2/1/2019
3.55 1 11/1/2018 11/1/2018
3.32 1 11/1/2016 11/1/2016
3.20 1 6/1/2010 6/1/2010
2.83 2 4/1/2018 5/1/2018
2.36 1 11/1/2015 11/1/2015
2.30 1 7/1/2013 7/1/2013
1.97 1 1/1/2017 1/1/2017
1.89 1 10/1/2017 10/1/2017
1.61 1 12/1/2013 12/1/2013
1.45 1 1/1/2013 1/1/2013
0.97 1 4/1/2012 4/1/2012
0.58 1 3/1/2015 3/1/2015
0.46 1 5/1/2013 5/1/2013
0.36 1 2/1/2012 2/1/2012
0.30 1 3/1/2017 3/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.60 2 5/1/2011 6/1/2011
-19.26 4 10/1/2011 1/1/2012
-17.69 4 12/1/2006 3/1/2007
-14.59 3 7/1/2008 9/1/2008
-12.90 2 6/1/2006 7/1/2006
-12.75 3 4/1/2015 6/1/2015
-12.35 1 10/1/2014 10/1/2014
-11.86 3 2/1/2009 4/1/2009
-11.84 2 7/1/2007 8/1/2007
-11.71 3 9/1/2019 11/1/2019
-10.96 4 9/1/2012 12/1/2012
-8.62 1 1/1/2011 1/1/2011
-8.38 4 7/1/2016 10/1/2016
-7.87 3 2/1/2013 4/1/2013
-7.85 1 3/1/2011 3/1/2011
-7.56 4 8/1/2013 11/1/2013
-7.25 1 11/1/2007 11/1/2007
-7.22 2 2/1/2018 3/1/2018
-7.07 1 3/1/2008 3/1/2008
-6.73 3 12/1/2009 2/1/2010
-5.88 1 2/1/2006 2/1/2006
-5.45 1 9/1/2020 9/1/2020
-5.41 1 9/1/2017 9/1/2017
-5.30 1 3/1/2012 3/1/2012
-4.57 1 10/1/2015 10/1/2015
-4.40 2 6/1/2005 7/1/2005
-4.34 2 9/1/2006 10/1/2006
-4.22 1 2/1/2015 2/1/2015
-4.17 2 7/1/2010 8/1/2010
-3.96 2 6/1/2018 7/1/2018
-3.80 1 10/1/2005 10/1/2005
-3.42 1 6/1/2009 6/1/2009
-3.39 2 4/1/2020 5/1/2020
-3.37 2 9/1/2009 10/1/2009
-3.24 2 4/1/2017 5/1/2017
-3.19 1 5/1/2014 5/1/2014
-3.18 1 11/1/2017 11/1/2017
-2.44 1 5/1/2010 5/1/2010
-2.39 1 3/1/2016 3/1/2016
-2.34 1 3/1/2019 3/1/2019
-2.27 1 10/1/2018 10/1/2018
-2.24 1 12/1/2015 12/1/2015
-2.09 1 2/1/2017 2/1/2017
-1.39 1 1/1/2014 1/1/2014
-1.32 2 5/1/2012 6/1/2012
-1.11 2 12/1/2018 1/1/2019
-0.97 1 12/1/2016 12/1/2016
-0.69 1 5/1/2007 5/1/2007
-0.46 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods188.00186.00183.00177.00171.00165.00153.00141.00129.00
Percent Profitable52.6661.2963.3976.2778.3685.4592.1697.8799.22
Average Period Return1.353.897.8015.0521.4929.2646.7164.6082.61
Average Gain5.8410.0416.3323.1130.1836.6652.5866.0683.26
Average Loss-3.68-5.84-6.96-10.83-10.00-14.19-22.22-2.26-0.59
Best Period26.4555.0072.5578.69105.49142.44201.00268.17300.65
Worst Period-15.34-20.75-26.06-35.76-32.98-35.32-34.30-5.02-0.59
Standard Deviation6.7411.4716.6622.9126.4331.7444.3858.8864.01
Gain Standard Deviation5.8610.1714.8519.7222.8328.0041.0758.6763.83
Loss Standard Deviation3.234.645.679.048.6310.1611.232.42
Sharpe Ratio (1%)0.190.320.440.610.760.860.981.031.21
Average Gain / Average Loss1.591.722.352.133.022.582.3729.19141.36
Profit / Loss Ratio1.792.724.066.8610.9315.1827.801342.5518094.06
Downside Deviation (10%)3.565.256.658.959.3010.4111.685.865.08
Downside Deviation (5%)3.384.755.657.226.667.257.691.030.51
Downside Deviation (0%)3.344.635.426.846.116.616.910.440.05
Sortino Ratio (10%)0.270.510.801.121.491.832.657.3410.83
Sortino Ratio (5%)0.380.771.291.953.003.765.6858.77150.65
Sortino Ratio (0%)0.410.841.442.203.524.436.76147.461593.00

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.

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