Tanyard Creek Capital : Livestock Program

Year-to-Date: 1.87%
Sep Performance: -2.07%

Min Investment: $ 200k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 21.43%
Sharpe (RFR=1%): 0.76
CAROR: 16.63%

Assets: $ 694.0M
Worst DD: -14.17
S&P Correlation: -0.08

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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	Sep	Qtr	2019	1yr	3yr	5yr	10yr	Since 6/2008
Livestock Program	-2.07	2.13	1.87	2.24	9.78	23.89	122.89	471.82
S&P 500	1.72	1.19	18.74	2.15	35.89	49.39	178.69	134.86
+/- S&P 500	-3.79	0.94	-16.87	0.10	-26.11	-25.50	-55.80	336.96

Strategy Description

Summary

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
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%

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.

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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:

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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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
-5.17	11	2	7/1/2018	6/1/2019
-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
-3.74	5	3	9/1/2017	2/1/2018
-2.37	1	2	7/1/2010	8/1/2010
-2.07	1	-	8/1/2019	9/1/2019
-0.61	1	1	1/1/0001	6/1/2008
-0.02	1	1	6/1/2009	7/1/2009

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
9.28	5	5/1/2017	9/1/2017
8.76	2	6/1/2010	7/1/2010
7.43	2	5/1/2009	6/1/2009
7.43	4	7/1/2016	10/1/2016
7.34	2	7/1/2019	8/1/2019
7.04	1	8/1/2009	8/1/2009
7.03	3	5/1/2018	7/1/2018
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
2.57	1	3/1/2018	3/1/2018
2.30	1	11/1/2017	11/1/2017
1.89	2	12/1/2018	1/1/2019
1.75	1	4/1/2019	4/1/2019
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
0.76	1	10/1/2018	10/1/2018
0.63	1	1/1/2017	1/1/2017
0.16	1	1/1/2012	1/1/2012

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
-3.36	1	10/1/2017	10/1/2017
-3.25	2	8/1/2018	9/1/2018
-3.06	3	2/1/2017	4/1/2017
-2.78	2	5/1/2019	6/1/2019
-2.67	2	2/1/2019	3/1/2019
-2.63	3	12/1/2017	2/1/2018
-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
-2.07	1	9/1/2019	9/1/2019
-1.82	3	1/1/2016	3/1/2016
-1.51	1	4/1/2009	4/1/2009
-0.85	1	11/1/2018	11/1/2018
-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
-0.09	1	4/1/2018	4/1/2018
-0.02	1	7/1/2009	7/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	136.00	134.00	131.00	125.00	119.00	113.00	101.00	89.00	77.00
Percent Profitable	57.35	67.16	70.23	88.80	94.96	97.35	100.00	100.00	100.00
Average Period Return	1.45	4.38	7.14	11.77	16.31	21.77	32.87	43.16	55.29
Average Gain	3.93	8.11	11.51	13.71	17.39	22.46	32.87	43.16	55.29
Average Loss	-1.88	-3.24	-3.19	-3.59	-4.18	-3.29
Best Period	54.80	120.37	166.10	178.01	161.82	201.31	271.47	307.76	282.50
Worst Period	-12.34	-14.17	-10.61	-8.66	-8.26	-6.26	5.33	11.46	14.61
Standard Deviation	6.19	14.93	20.44	23.15	22.55	27.10	37.85	43.66	42.03
Gain Standard Deviation	7.03	16.93	22.98	23.87	22.62	27.15	37.85	43.66	42.03
Loss Standard Deviation	2.04	2.87	2.95	2.43	2.94	2.97
Sharpe Ratio (1%)	0.22	0.28	0.32	0.47	0.66	0.73	0.79	0.90	1.19
Average Gain / Average Loss	2.09	2.50	3.61	3.82	4.16	6.82
Profit / Loss Ratio	2.80	5.12	8.52	30.27	78.40	249.99
Downside Deviation (10%)	2.00	3.04	3.50	3.31	3.60	3.26	2.08	2.15	2.09
Downside Deviation (5%)	1.84	2.58	2.56	1.73	1.42	0.95
Downside Deviation (0%)	1.81	2.47	2.35	1.43	1.12	0.67
Sortino Ratio (10%)	0.52	1.04	1.33	2.04	2.42	3.54	8.24	10.05	13.24
Sortino Ratio (5%)	0.74	1.60	2.59	6.24	10.45	20.74
Sortino Ratio (0%)	0.80	1.77	3.03	8.21	14.62	32.68

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.

^#4

Top Performer

AGRICULTURAL TRADER INDEX

JULY
2015

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Tanyard Creek Capital : Livestock 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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