The TMP Group LLC : DOW EOD CTA

archived programs
Year-to-Date
N / A
Nov Performance
4.53%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
39.84%
Sharpe (RFR=1%)
1.41
CAROR
-
Assets
$ 15k
Worst DD
-6.60
S&P Correlation
0.68

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
9/2009
DOW EOD CTA 4.53 - - - - - - 13.64
S&P 500 5.74 - - - - - - 239.07
+/- S&P 500 -1.21 - - - - - - -225.42

Strategy Description

Summary

The primary objective of TMPCTA’s Trading Program is capital appreciation through speculation in the exchange-listed DOW futures contracts. TMPCTA will attempt to meet the objective of capital appreciation by making trading decisions based upon our proprietary TMP DOW EOD™ trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 720 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD 6.60%
Worst Peak-to-Trough -12.26%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Summary

The primary objective of TMPCTA’s Trading Program is capital appreciation through speculation in the exchange-listed DOW futures contracts. TMPCTA will attempt to meet the objective of capital appreciation by making trading decisions based upon our proprietary TMP DOW EOD™ trading algorithm. There can be no assurance that TMPCTA and its client accounts will achieve this objective, or that the client accounts will not incur losses. Moreover, there can be no assurance that TMPCTA’s trading will yield the same results as it has in the past. TMPCTA’s EOD Trading Program is designed for sophisticated investors. An investment in an account to be traded by TMPCTA should only be considered by investors that can assume the significant risk of commodity futures trading, including losses in excess of their initial investment. In managing the accounts of customers, TMPCTA employs the trading concepts and strategies developed by Mr. Aretos, TMPCTA’s sole principal. Since the trading methods to be utilized by Mr. Aretos are proprietary and confidential, the discussion that follows is of a general nature and not intended to be exhaustive. TMPCTA’s trading models are designed to detect and exploit volatility changes occurring with trending markets, while also applying risk management and portfolio management principles. The algorithm employs a complex set of variables from realtime market data which produces a result that forecasts the direction of the market’s movement for roughly the last hour of trading in the market each day. There are 3 separate actions that can occur from the results of the algorithm, trading UP, trading DOWN, or NT (NO TRADE). This means that there are days when no trading will occur in the program. There is no way of determining how many NT days will be at any given time, as information is gathered, filtered, and computed in real time each day. Over the course of a price change, there are times when the risk of the market does not appear to be justified by the potential reward. In such circumstances, TMPCTA’s trading method may exit a winning position prior to the end of a market move. While there is some risk (in the form of opportunity cost) to this method (for example, being out of themarket during a significant portion of a price move), TMPCTA’s research indicates that this is well compensated for by the decreased volatility of performance that may result. While TMPCTA generally follows a disciplined systematic approach to trading, on occasion it may override the signal generated by the algorithm when, in TMPCTA’s opinion, market conditions dictate otherwise. While such action may be taken for any reason at any time at TMPCTA’s discretion, it will normally only be taken to reduce risk, and may or may not enhance the results that would otherwise be achieved. Moreover, although technical trading systems normally consist of a series of fixed rules applied manually or by computer, TMPCTA believes that such systems still require certain subjective judgments and decisions. The typical nature of trading will be to enter positions during market hours, and exit positions before the close of the market day, being FLAT for the session, and not having or holding any outstanding contracts. There may be times, however, when this action will be overridden for posterity of reducing risk. These types of decisions require consideration of, among other things, the volatility of a particular market, the pattern of price movements (both interday and intraday), open interest, trading volume, changes in spread lationships between various contract months and between various contracts, and overall portfolio balance and risk exposure. With respect to the timing and execution of trades, TMPCTA will open positions at any time during the day when conditions warrant such action. The exit of the positions acquired during the trading day will be exited, generally before the close of each day of trading. No assurance can be made that consideration will be given to any or all of the foregoing factors by Mr. Aretos with respect to every trade for an account managed by THE TMP GROUP DOW EOD CTA or that consideration of any such factors in a particular situation will lessen the account’s risk of loss. Clients should be aware that such decisions may involve a substantial element of judgment and Mr. Aretos’s unavailability to make such decisions could materially impair the operation of trading strategies. TMPCTA seeks to maintain a commitment to consistent portfolio construction and program integrity. TMPCTA generally has not been persuaded to change the fundamental elements of the portfolios by short-term performance, although adjustments may be, and have been, made over time. In addition, TMPCTA has not changed the basic methodologies that identify signals in the markets for each program. TMPCTA believes its long-term track record has benefited substantially from its adherence to its models during and after periods of negative returns; however, adherence to its strategy may lead to prolonged periods of market losses and high risk. The dynamic elements of the TMPCTA investment process involve periodic adaptation to changing market onditions and subjective discretionary decisions on such matters as portfolio weightings, leverage,position size, effective trade execution, capacity and entry into new markets- all of which depend on professional experience and market knowledge. These changes are made as warranted by TMPCTA’s research findings concerning its portfolios and their performance. From time to time, TMPCTA’s trading strategies and systems may be revised, refined or abandoned, and the implementation of its trading strategies may be changed as a result ofongoing research and development as TMPCTA seeks to devise new trading strategies and systems as well as test methods currently employed. The trading strategies and systems used by TMPCTA in the future may differ significantly from those presently used, due to the changes, which may result from this research in the ever changing marketplace. Clients will not be notified or be given an opportunity to approve of any changes, or a revision to TMPCTA’s trading strategies, or the implementation of its trading strategies.

Investment Strategy

THE TMP GROUP DOW EOD CTA trades ONLY DOW Futures Contracts. The size of the contract, the delivery month, expiration month, or series of contract may change or adjust as deemend necessary by Aretos. In addition, TMPCTA will effect transactions on exchanges solely located in the United States, which include but are not limited to those listed below. TMPCTA may decide to trade on other additional xchanges without the clients’ prior approval. • Chicago Board of Trade • Chicago Mercantile Exchange • New York Board of Trade • New York Mercantile Exchange • New York Commodities Exchange • Kansas City Board of Trade

Risk Management

THE TMP GROUP DOW EOD CTA applies risk management and portfolio management strategies to measure and manage overall portfolio risk. These strategies include, portfolio structure, risk balance, capital allocation and risk limitation. One objective of risk and portfolio management is to determine periods of relatively high and low portfolio risk, and when such points are reached TMPCTA may reduce or increase position size accordingly. Such reduction or increase in position size may not enhance the results achieved over time. TMPCTA maintains certain risk management procedures for determining the appropriate quantity of contracts to be traded for an account of a given size and for all accounts. TMPCTA may continually adjust its trading portfolios and the position size of an order immediately prior to placement, and/or after the initial position is established, based on such factors as past market volatility, prices of ommodities, amount of risk, potential return and margin requirements. The decision not to trade a certain market at certain times or to reduce the number of contracts traded in a particular market may result in missing significant profit opportunities that otherwise might have been captured if TMPCTA depended solely on the computer-based aspects of its trading strategy or on differing trading strategies altogether.THE TMP GROUP DOW EOD CTA may, at its discretion, adjust leverage in certain markets or entire portfolios. Adjustments to certain positions or entire portfolios for leverage may positively or negatively affect performance. Factors that may affect the decision to adjust leverage include research, portfolio diversification, current market volatility, risk exposure, subjective judgment, and evaluation of other general market conditions. No assurance is given to clients that such leverage adjustments will be to their financial benefit, and such leverage adjustments may actually result in lost opportunities or substantial losses. Since TMPCTA considers preservation of initial assets paramount to producing trading results, TMPCTA employs risk management techniques in an effort to reduce risk. These techniques include attempts to trade multiple uncorrelated markets in an effort to diversify as well as to limit the equity committed to each market and market sector. No assurance can be given to clients that such techniques will be to their inancial benefit, and such techniques may actually result in lost opportunities or substantial losses. Due to the importance of risk management based on the already established margin requirements of the DOW Futures contract(s) and incorporating historic parametors of trading strategies, TMPCTA suggests a minimum account size of $50,000 per 3 units traded. Accounts positioned with larger dollar amounts will reduce historical profit percentage gains, and reduce draw down percentages accordingly.

   

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
-6.60 1 - 9/1/2009 10/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
16.40 1 9/1/2009 9/1/2009
4.53 1 11/1/2009 11/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-6.60 1 10/1/2009 10/1/2009
Show More

Time Windows Analysis

 1 Month
Number of Periods3.00
Percent Profitable66.67
Average Period Return4.78
Average Gain10.47
Average Loss-6.60
Best Period16.40
Worst Period-6.60
Standard Deviation11.50
Gain Standard Deviation8.39
Loss Standard Deviation
Sharpe Ratio (1%)0.41
Average Gain / Average Loss1.59
Profit / Loss Ratio3.17
Downside Deviation (10%)4.05
Downside Deviation (5%)3.86
Downside Deviation (0%)3.81
Sortino Ratio (10%)1.08
Sortino Ratio (5%)1.22
Sortino Ratio (0%)1.25

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.