Third Coast Asset Management LLC : Diversified Spread Program (Client)

archived programs
Year-to-Date
N / A
Aug Performance
-19.24%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
28.00%
Annualized Vol
32.01%
Sharpe (RFR=1%)
-1.21
CAROR
-
Assets
$ 400k
Worst DD
-20.78
S&P Correlation
0.54

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
4/2013
Diversified Spread Program (Client) -19.24 - - - - - - -16.45
S&P 500 -3.13 - - - - - - 116.87
+/- S&P 500 -16.11 - - - - - - -133.32

Strategy Description

Summary

In the Diversified Spread Program the Advisor utilizes both mathematical models and fundamental analysis to find opportunities in spread markets across different asset classes. By using historical patterns to generate trade ideas while using fundamental and technical analysis to manage... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 28.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 75.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Grains
30.00%
Stock Indices
30.00%
Energy
10.00%
Livestock
10.00%
Softs
10.00%
Currency Futures
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

In the Diversified Spread Program the Advisor utilizes both mathematical models and fundamental analysis to find opportunities in spread markets across different asset classes. By using historical patterns to generate trade ideas while using fundamental and technical analysis to manage risk, the program attempts to generate solid returns with moderate risk. The strategy works towards the concept of market neutrality by avoiding directional risk when possible. The program will trade any asset class but the focus will be on agriculture, energy, and equity futures. Both futures and options on futures on domestic and foreign exchanges will be traded, this includes: agriculture, energy, interest rate, equity index, and foreign exchange contracts. The lack of directional risk often provides low correlation to other investment vehicles in most market regimes. The program can perform well in bull, bear, range bound and volatile market environments providing numerous opportunities in each regime, although, of course, no guarantee can be made that losses will not occur.

   

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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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
-20.78 2 - 6/1/2013 8/1/2013
-0.43 1 1 4/1/2013 5/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
3.17 1 6/1/2013 6/1/2013
2.67 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.78 2 7/1/2013 8/1/2013
-0.43 1 5/1/2013 5/1/2013
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable40.00
Average Period Return-3.15
Average Gain2.92
Average Loss-7.19
Best Period3.17
Worst Period-19.24
Standard Deviation9.24
Gain Standard Deviation0.35
Loss Standard Deviation10.46
Sharpe Ratio (1%)-0.35
Average Gain / Average Loss0.41
Profit / Loss Ratio0.27
Downside Deviation (10%)8.86
Downside Deviation (5%)8.69
Downside Deviation (0%)8.65
Sortino Ratio (10%)-0.40
Sortino Ratio (5%)-0.37
Sortino Ratio (0%)-0.36

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.