Tamarkin Managed Futures LLC : Investment Program

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=1%): 0.50
CAROR: 10.87%

Assets: $ 17k
Worst DD: -23.08
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	Aug	Qtr	2020	1yr	3yr	5yr	10yr	Since 1/2004
Investment Program	10.34	-	-	-	-	-	23.22	144.56
S&P 500	1.98	-	-	-	-	-	53.52	228.63
+/- S&P 500	8.36	-	-	-	-	-	-30.30	-84.07

Strategy Description

Summary

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
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%

Composition

Grains: 50.00%
Softs: 20.00%
Precious Metals: 10.00%
Energy: 10.00%
Livestock: 10.00%

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.

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Index: Chart Type:

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:

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	104.00	102.00	99.00	93.00	87.00	81.00	69.00	57.00	45.00
Percent Profitable	47.12	56.86	64.65	77.42	91.95	96.30	97.10	98.25	100.00
Average Period Return	1.09	2.88	4.97	10.28	16.18	22.28	34.96	50.72	64.97
Average Gain	6.11	8.85	10.68	14.53	18.19	23.35	36.11	51.67	64.97
Average Loss	-4.14	-5.78	-5.79	-4.32	-6.78	-5.53	-3.58	-2.43
Best Period	25.91	31.23	34.25	57.33	56.04	70.49	116.50	96.73	103.89
Worst Period	-10.68	-21.38	-17.32	-16.08	-15.98	-10.51	-7.00	-2.43	33.60
Standard Deviation	6.93	9.66	10.71	13.27	15.44	16.71	23.90	24.80	16.88
Gain Standard Deviation	6.44	7.87	8.59	11.85	14.37	16.07	23.28	23.96	16.88
Loss Standard Deviation	3.28	5.01	4.47	4.76	5.65	5.12	4.83
Sharpe Ratio (1%)	0.15	0.27	0.42	0.70	0.95	1.21	1.34	1.88	3.55
Average Gain / Average Loss	1.48	1.53	1.85	3.37	2.68	4.22	10.08	21.30
Profit / Loss Ratio	1.61	2.34	3.58	11.54	30.64	109.69	337.71	1192.82
Downside Deviation (10%)	3.68	5.25	5.43	5.05	4.74	4.43	4.87	4.41
Downside Deviation (5%)	3.50	4.76	4.43	3.36	2.78	1.67	1.29	0.87
Downside Deviation (0%)	3.46	4.64	4.20	3.01	2.43	1.33	0.84	0.32
Sortino Ratio (10%)	0.19	0.31	0.46	1.04	1.81	2.71	3.95	6.61
Sortino Ratio (5%)	0.29	0.55	1.01	2.76	5.27	12.13	24.76	53.69
Sortino Ratio (0%)	0.31	0.62	1.18	3.41	6.66	16.69	41.49	157.86

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.

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Tamarkin Managed Futures LLC : Investment Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Tamarkin Managed Futures LLC : Investment Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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