Thalheim Capital : LTS

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 1,250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.98%
Sharpe (RFR=1%)
0.59
CAROR
7.08%
Assets
$ 0k
Worst DD
-13.46
S&P Correlation
0.00

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
8/2003
LTS 0.00 - - - - - 0.00 63.30
S&P 500 -0.23 - - - - - -10.22 255.57
+/- S&P 500 0.23 - - - - - 10.22 -192.27

Strategy Description

Summary

-Thalheim Capital-LTS engages in a systematic "macro" strategy of trading future and forward contracts and seeks to exploit the opportunities afforded by the expanded universe of securities available for investment. Trading signals are generated by quantitative-based mathematical models.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
35.00%
Seasonal/cyclical
20.00%
Trend-following
45.00%
Strategy Pie Chart

Composition

Summary

-Thalheim Capital-LTS engages in a systematic "macro" strategy of trading future and forward contracts and seeks to exploit the opportunities afforded by the expanded universe of securities available for investment. Trading signals are generated by quantitative-based mathematical models. A number of trading strategies are applied to a diverse range of global futures markets providing significant portfolio diversification. The robust trading approach which, attempts to capture returns from trending markets, is overlaid with a risk management strategy to provide substantial returns on a risk adjusted basis. Returns are targeted between 18%-20% net of fees with a monthly volatility targeted at 3.5%. Thalheim Capital-LTS correlation to other asset classes is low to negative making the investment strategy beneficial both on a stand alone basis and when combined with other investment methodologies. The Thalheim Capital-LTS trading system applies multiple trading models that synergize to capture both long term and short term trends in the global futures market. The system trades in over 80 global markets providing significant diversification of sector returns limiting exposure to any one particular sector or market. The risk management overlay is unique and rigorous. It dynamically scales position size based on volatilities, trend parameters and other risk management filters. Risk exposure is constantly managed and minimized with the mandate of providing substantial risk adjusted returns. The Thalheim Capital-LTS trading program has a targeted annualized Sharpe ratio of 1.60 compared to the industry's .70.

   

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
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Sharpe Ratio: (RF=1%)
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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
-13.46 2 13 6/1/2008 8/1/2008
-10.32 5 3 3/1/2004 8/1/2004
-10.00 7 9 11/1/2004 6/1/2005
-9.72 5 9 4/1/2006 9/1/2006
-7.56 5 - 9/1/2009 2/1/2010
-7.19 2 2 6/1/2007 8/1/2007
-6.70 2 2 2/1/2008 4/1/2008
-0.17 1 1 8/1/2003 9/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
30.52 6 9/1/2007 2/1/2008
26.84 6 10/1/2003 3/1/2004
14.68 3 9/1/2004 11/1/2004
11.44 3 9/1/2008 11/1/2008
10.61 3 4/1/2007 6/1/2007
8.51 2 5/1/2008 6/1/2008
7.60 2 3/1/2006 4/1/2006
5.55 3 10/1/2006 12/1/2006
4.26 1 11/1/2005 11/1/2005
4.04 2 2/1/2009 3/1/2009
3.70 2 8/1/2009 9/1/2009
3.43 1 1/1/2006 1/1/2006
3.27 3 7/1/2005 9/1/2005
2.40 1 3/1/2010 3/1/2010
2.06 1 7/1/2004 7/1/2004
1.12 1 5/1/2009 5/1/2009
0.86 1 8/1/2003 8/1/2003
0.18 1 5/1/2005 5/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.46 2 7/1/2008 8/1/2008
-9.75 5 12/1/2004 4/1/2005
-9.72 5 5/1/2006 9/1/2006
-7.87 3 4/1/2004 6/1/2004
-7.56 5 10/1/2009 2/1/2010
-7.19 2 7/1/2007 8/1/2007
-6.70 2 3/1/2008 4/1/2008
-4.62 1 8/1/2004 8/1/2004
-3.93 2 12/1/2008 1/1/2009
-3.68 3 1/1/2007 3/1/2007
-0.85 1 2/1/2006 2/1/2006
-0.82 1 10/1/2005 10/1/2005
-0.81 1 12/1/2005 12/1/2005
-0.47 1 4/1/2009 4/1/2009
-0.46 1 6/1/2005 6/1/2005
-0.33 2 6/1/2009 7/1/2009
-0.17 1 9/1/2003 9/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable48.8461.6369.8871.4385.9290.7794.3495.1293.10
Average Period Return0.672.454.146.218.7112.3720.9628.9335.35
Average Gain3.207.559.0511.1611.6714.9323.2031.4639.72
Average Loss-2.13-7.01-8.24-6.15-9.32-12.81-16.25-20.46-23.62
Best Period14.1963.3063.3063.3034.0232.3345.5246.2058.30
Worst Period-10.98-42.03-40.08-39.72-41.87-31.56-24.05-20.79-23.87
Standard Deviation3.4612.5413.6812.9512.3012.3112.5513.2218.22
Gain Standard Deviation2.7011.4711.9310.208.588.748.357.008.38
Loss Standard Deviation2.1610.1710.7110.7216.3214.6413.470.460.35
Sharpe Ratio (1%)0.170.180.270.400.590.841.431.881.66
Average Gain / Average Loss1.501.081.101.811.251.171.431.541.68
Profit / Loss Ratio1.752.112.904.547.6311.4623.7929.9822.70
Downside Deviation (10%)2.157.267.748.288.978.838.289.3013.46
Downside Deviation (5%)1.996.927.026.787.096.075.285.427.54
Downside Deviation (0%)1.956.836.866.496.785.624.674.526.20
Sortino Ratio (10%)0.120.170.220.150.120.240.630.790.57
Sortino Ratio (5%)0.300.320.520.771.021.713.404.594.01
Sortino Ratio (0%)0.340.360.600.961.282.204.496.405.70

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.