Tamarkin Managed Futures LLC : Investment Program

archived programs
Year-to-Date
N / A
Aug Performance
10.34%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
23.99%
Sharpe (RFR=0.50%)
0.52
CAROR
10.87%
Assets
$ 17k
Worst DD
-23.08
S&P Correlation
-0.06

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2004
Investment Program 10.34 16.08 - 22.57 29.42 60.75 - 144.56
S&P 500 1.98 7.35 - 15.38 37.79 -4.59 - 21.92
+/- S&P 500 8.36 8.73 - 7.19 -8.38 65.34 - 122.64

Strategy Description

Summary

Maurry Tamarkin is a principal and chief trader of Tamarkin Managed Futures LLC. He was formally introduced to futures in 1966 when he joined the firm of Kohlmeyer & Co. as a Commodities Account Executive. He... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Counter-trend
5.00%
Trend-following
95.00%
Strategy Pie Chart

Composition

Grains
50.00%
Softs
20.00%
Precious Metals
10.00%
Energy
10.00%
Livestock
10.00%
Composition Pie Chart

Summary

Maurry Tamarkin is a principal and chief trader of Tamarkin Managed Futures LLC. He was formally introduced to futures in 1966 when he joined the firm of Kohlmeyer & Co. as a Commodities Account Executive. He held that position until 1974 when he returned to school. While at Kohlmeyer, he wrote a market letter for the firm using technical analysis. He holds A.B. and Ph. D. degrees from Washington University in St. Louis. His doctorate is in Finance. He taught Finance at the University of Connecticut from 1978 to 1981, at which time he took a professor position at Clark University. He currently is a Professor of Finance at Clark University, Worcester, MA, where, in addition to other Finance courses, he teaches Investments, Speculative Markets, and Technical Analysis to MBA and MSF students. His research appears in the Journal of Futures Markets, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Management Science, and Journal of Risk and Uncertainty among other academic journals. Maurry Tamarkin became listed as a Principal with the NFA on August 22, 2006.

   

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=0.50%)
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=0.50%)
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
-23.08 23 28 2/1/2008 1/1/2010
-18.81 10 4 3/1/2004 1/1/2005
-15.88 6 5 7/1/2006 1/1/2007
-13.30 4 4 5/1/2005 9/1/2005
-12.61 3 1 1/1/2006 4/1/2006
-10.59 1 2 6/1/2007 7/1/2007
-7.54 1 3 9/1/2007 10/1/2007
-7.06 1 1 1/1/0001 1/1/2004
-1.49 1 1 6/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
33.23 4 11/1/2007 2/1/2008
29.52 3 5/1/2006 7/1/2006
24.62 2 5/1/2007 6/1/2007
22.61 2 2/1/2004 3/1/2004
22.44 1 2/1/2010 2/1/2010
20.06 4 10/1/2005 1/1/2006
18.48 1 6/1/2008 6/1/2008
18.18 1 5/1/2005 5/1/2005
17.00 2 8/1/2007 9/1/2007
14.47 2 5/1/2012 6/1/2012
14.10 2 2/1/2005 3/1/2005
10.34 1 8/1/2012 8/1/2012
10.17 1 12/1/2008 12/1/2008
10.00 2 2/1/2007 3/1/2007
6.68 6 5/1/2011 10/1/2011
6.35 2 3/1/2009 4/1/2009
5.32 1 8/1/2005 8/1/2005
4.17 1 3/1/2006 3/1/2006
4.06 2 6/1/2009 7/1/2009
4.02 1 10/1/2009 10/1/2009
3.68 2 11/1/2010 12/1/2010
3.30 2 10/1/2004 11/1/2004
3.16 1 8/1/2008 8/1/2008
0.99 2 2/1/2011 3/1/2011
0.93 1 10/1/2006 10/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.38 3 3/1/2008 5/1/2008
-16.90 3 11/1/2009 1/1/2010
-13.81 3 9/1/2008 11/1/2008
-13.15 3 11/1/2006 1/1/2007
-12.52 6 4/1/2004 9/1/2004
-10.68 1 4/1/2006 4/1/2006
-10.59 1 7/1/2007 7/1/2007
-10.23 2 6/1/2005 7/1/2005
-10.16 2 12/1/2004 1/1/2005
-8.30 1 9/1/2005 9/1/2005
-7.54 1 10/1/2007 10/1/2007
-7.06 1 1/1/2004 1/1/2004
-6.08 1 2/1/2006 2/1/2006
-5.24 2 1/1/2009 2/1/2009
-4.86 1 1/1/2011 1/1/2011
-4.79 1 4/1/2007 4/1/2007
-4.35 2 8/1/2009 9/1/2009
-4.04 2 8/1/2006 9/1/2006
-3.22 6 11/1/2011 4/1/2012
-1.78 1 4/1/2005 4/1/2005
-1.72 1 7/1/2008 7/1/2008
-1.49 1 7/1/2012 7/1/2012
-1.07 1 5/1/2009 5/1/2009
-0.48 8 3/1/2010 10/1/2010
-0.17 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods104.00102.0099.0093.0087.0081.0069.0057.0045.00
Percent Profitable47.1256.8664.6577.4291.9596.3097.1098.25100.00
Average Period Return1.092.884.9710.2816.1822.2834.9650.7264.97
Average Gain6.118.8510.6814.5318.1923.3536.1151.6764.97
Average Loss-4.14-5.78-5.79-4.32-6.78-5.53-3.58-2.43
Best Period25.9131.2334.2557.3356.0470.49116.5096.73103.89
Worst Period-10.68-21.38-17.32-16.08-15.98-10.51-7.00-2.4333.60
Standard Deviation6.939.6610.7113.2715.4416.7123.9024.8016.88
Gain Standard Deviation6.447.878.5911.8514.3716.0723.2823.9616.88
Loss Standard Deviation3.285.014.474.765.655.124.83
Sharpe Ratio (1%)0.150.270.420.700.951.211.341.883.55
Average Gain / Average Loss1.481.531.853.372.684.2210.0821.30
Profit / Loss Ratio1.612.343.5811.5430.64109.69337.711192.82
Downside Deviation (10%)3.685.255.435.054.744.434.874.41
Downside Deviation (5%)3.504.764.433.362.781.671.290.87
Downside Deviation (0%)3.464.644.203.012.431.330.840.32
Sortino Ratio (10%)0.190.310.461.041.812.713.956.61
Sortino Ratio (5%)0.290.551.012.765.2712.1324.7653.69
Sortino Ratio (0%)0.310.621.183.416.6616.6941.49157.86

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.