Tanyard Creek Capital : Livestock Program

Closed to new investments
Year-to-Date
5.53%
Aug Performance
3.01%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.39%
Sharpe (RFR=1%)
0.84
CAROR
19.95%
Assets
$ 64.0M
Worst DD
-14.17
S&P Correlation
-0.07

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
6/2008
Livestock Program 3.01 8.05 5.53 6.10 15.70 30.40 - 437.91
S&P 500 0.05 2.32 10.23 13.68 23.19 75.45 - 92.66
+/- S&P 500 2.96 5.73 -4.70 -7.58 -7.49 -45.06 - 345.24

Strategy Description

Summary

The trading strategy attempts to identify optimal trading opportunities. The approach is primarily guided by observation of spreads within a particular market. It is the assumption of TCC that, by studying and investing in the spreads between contract months, commodities, and various... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Livestock
100.00%
Composition Pie Chart

Summary

The trading strategy attempts to identify optimal trading opportunities. The approach is primarily guided by observation of spreads within a particular market. It is the assumption of TCC that, by studying and investing in the spreads between contract months, commodities, and various commodity classes, an investor can earn substantial profits with acceptable risks. TCC believes that the spread markets provide numerous trading opportunities as speculators, hedgers, and commercial interests move commodity positions from one contract month, commodity, or commodity class to another. TCC may refine or change its trading approach (including enhancements or changes to the trading system or deletion of commodity interests traded) at any time without prior notice. The Program’s portfolio is structured to include various outright positions and spread positions. The Program’s return objectives are 25-35% with potential annual drawdowns contained under 15-20%. The average margin-to-equity ratio is approximately 10% - 30%.This Program may trade futures and option contracts in any agricultural market traded on a U.S. Futures exchange. To effectively capture trends over all markets, the Program requires no less than $50,000 for each account and anticipates approximately 2,500 round turns per $1,000,000.

   

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
-14.17 3 5 8/1/2009 11/1/2009
-11.60 8 11 7/1/2012 3/1/2013
-9.52 6 4 8/1/2011 2/1/2012
-7.51 1 1 10/1/2008 11/1/2008
-5.94 2 4 7/1/2014 9/1/2014
-5.25 1 1 4/1/2010 5/1/2010
-4.91 4 8 7/1/2015 11/1/2015
-4.73 1 4 10/1/2010 11/1/2010
-4.54 6 3 10/1/2016 4/1/2017
-4.43 1 4 1/1/2009 2/1/2009
-4.32 1 4 2/1/2015 3/1/2015
-2.37 1 2 7/1/2010 8/1/2010
-0.61 1 1 1/1/0001 6/1/2008
-0.02 1 1 6/1/2009 7/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
159.13 4 7/1/2008 10/1/2008
26.32 9 12/1/2010 8/1/2011
25.92 9 11/1/2013 7/1/2014
17.27 5 12/1/2009 4/1/2010
11.54 2 9/1/2010 10/1/2010
11.27 3 5/1/2012 7/1/2012
11.21 2 12/1/2008 1/1/2009
8.76 2 6/1/2010 7/1/2010
8.18 4 5/1/2017 8/1/2017
7.43 2 5/1/2009 6/1/2009
7.43 4 7/1/2016 10/1/2016
7.04 1 8/1/2009 8/1/2009
6.87 2 1/1/2015 2/1/2015
5.42 4 4/1/2013 7/1/2013
4.20 2 6/1/2015 7/1/2015
4.20 2 10/1/2014 11/1/2014
3.15 1 3/1/2009 3/1/2009
3.02 1 12/1/2015 12/1/2015
2.95 1 3/1/2012 3/1/2012
1.47 1 4/1/2016 4/1/2016
1.42 1 4/1/2015 4/1/2015
1.03 1 9/1/2013 9/1/2013
0.81 1 10/1/2015 10/1/2015
0.63 1 1/1/2017 1/1/2017
0.16 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.17 3 9/1/2009 11/1/2009
-11.60 8 8/1/2012 3/1/2013
-8.92 4 9/1/2011 12/1/2011
-7.51 1 11/1/2008 11/1/2008
-5.94 2 8/1/2014 9/1/2014
-5.25 1 5/1/2010 5/1/2010
-4.89 2 8/1/2015 9/1/2015
-4.73 1 11/1/2010 11/1/2010
-4.43 1 2/1/2009 2/1/2009
-4.32 1 3/1/2015 3/1/2015
-3.06 3 2/1/2017 4/1/2017
-2.37 1 8/1/2010 8/1/2010
-2.14 2 11/1/2016 12/1/2016
-2.13 1 8/1/2013 8/1/2013
-1.82 3 1/1/2016 3/1/2016
-1.51 1 4/1/2009 4/1/2009
-0.84 1 4/1/2012 4/1/2012
-0.83 1 11/1/2015 11/1/2015
-0.82 1 2/1/2012 2/1/2012
-0.68 1 5/1/2015 5/1/2015
-0.61 1 6/1/2008 6/1/2008
-0.59 1 10/1/2013 10/1/2013
-0.51 1 12/1/2014 12/1/2014
-0.37 2 5/1/2016 6/1/2016
-0.02 1 7/1/2009 7/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods111.00109.00106.00100.0094.0088.0076.0064.0052.00
Percent Profitable59.4668.8170.7588.0093.6296.59100.00100.00100.00
Average Period Return1.715.148.2613.6218.6525.0939.0051.1463.98
Average Gain4.279.1813.1715.9720.2126.0939.0051.1463.98
Average Loss-2.03-3.79-3.61-3.61-4.18-3.29
Best Period54.80120.37166.10178.01161.82201.31271.47307.76282.50
Worst Period-12.34-14.17-10.61-8.66-8.26-6.267.6419.6326.14
Standard Deviation6.7516.4222.5325.5224.8029.8941.8849.0348.43
Gain Standard Deviation7.5818.3425.1526.3424.8729.9241.8849.0348.43
Loss Standard Deviation2.233.013.152.602.942.97
Sharpe Ratio (1%)0.240.300.340.490.690.770.860.961.22
Average Gain / Average Loss2.102.423.654.424.847.92
Profit / Loss Ratio3.085.348.8332.4170.93224.44
Downside Deviation (10%)2.093.263.703.423.803.561.530.290.32
Downside Deviation (5%)1.942.802.781.821.591.08
Downside Deviation (0%)1.912.692.571.521.250.76
Sortino Ratio (10%)0.621.201.562.522.914.1715.15100.39115.29
Sortino Ratio (5%)0.841.742.796.9410.7621.37
Sortino Ratio (0%)0.901.913.218.9614.8633.23

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 4 4.11 7/2015
Agricultural Trader Index Month 7 1.42 4/2015
Discretionary Trader Index Month 10 2.98 10/2014
Agricultural Trader Index Month 3 2.98 10/2014
Agricultural Trader Index Month 10 2.63 6/2014
Discretionary Trader Index Month 7 5.92 5/2014
Agricultural Trader Index Month 3 5.92 5/2014
Agricultural Trader Index Month 2 3.93 4/2014
Discretionary Trader Index Month 5 3.93 4/2014
Agricultural Trader Index Month 7 1.29 3/2014
Agricultural Trader Index Month 4 3.61 2/2014
Agricultural Trader Index Month 4 2.86 12/2013
Agricultural Trader Index Month 5 2.52 11/2013
Agricultural Trader Index Month 6 2.17 6/2013
Agricultural Trader Index Month 1 1.84 5/2013
Agricultural Trader Index Month 9 7.13 6/2012
Agricultural Trader Index Month 6 1.90 5/2012
Agricultural Trader Index Month 7 2.95 3/2012
Discretionary Trader Index Month 10 5.76 8/2011
Agricultural Trader Index Month 4 5.76 8/2011
Agricultural Trader Index Month 8 2.94 7/2011
Discretionary Trader Index Month 7 5.50 6/2011
Agricultural Trader Index Month 1 5.50 6/2011
Agricultural Trader Index Month 4 2.46 5/2011
Agricultural Trader Index Month 9 9.63 10/2010
Agricultural Trader Index Month 6 2.42 7/2010
Discretionary Trader Index Month 10 6.19 6/2010
Agricultural Trader Index Month 4 6.19 6/2010
Discretionary Trader Index Month 5 6.48 4/2010
Agricultural Trader Index Month 3 6.48 4/2010
Agricultural Trader Index Month 6 2.23 3/2010
Agricultural Trader Index Month 5 0.50 2/2010
Agricultural Trader Index Month 6 4.55 1/2010
Agricultural Trader Index Month 3 2.53 12/2009
Agricultural Trader Index Month 4 7.04 8/2009
Discretionary Trader Index Month 9 7.04 8/2009
Agricultural Trader Index Month 7 -0.02 7/2009
Discretionary Trader Index Month 6 7.09 6/2009
Agricultural Trader Index Month 3 7.09 6/2009
Agricultural Trader Index Month 2 3.15 3/2009
Agricultural Trader Index Month 3 11.03 12/2008
Discretionary Trader Index Month 4 11.03 12/2008
IASG CTA Index Month 10 11.03 12/2008
Agricultural Trader Index Month 1 17.59 10/2008
Discretionary Trader Index Month 1 17.59 10/2008
Discretionary Trader Index Month 1 14.25 9/2008
Agricultural Trader Index Month 1 14.25 9/2008
IASG CTA Index Month 6 14.25 9/2008
IASG CTA Index Month 4 24.60 8/2008
Discretionary Trader Index Month 2 24.60 8/2008
Agricultural Trader Index Month 2 24.60 8/2008
Agricultural Trader Index Month 1 54.80 7/2008
IASG CTA Index Month 1 54.80 7/2008
Discretionary Trader Index Month 1 54.80 7/2008

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