Third Coast Asset Management LLC : Diversified Spread Program - (Proprietary)

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
1.64%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
28.00%
Annualized Vol
18.69%
Sharpe (RFR=1%)
1.59
CAROR
-
Assets
$ 500k
Worst DD
-5.78
S&P Correlation
0.48

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
2/2012
Diversified Spread Program - (Proprietary) 1.64 - - - - - - 30.39
S&P 500 0.71 - - - - - - 153.70
+/- S&P 500 0.93 - - - - - - -123.31

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
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 Accredited Investors
Lock-up Period 0

Trading

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

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

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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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-5.78 1 2 3/1/2012 4/1/2012
-0.82 1 1 9/1/2012 10/1/2012
-0.40 1 1 7/1/2012 8/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
20.64 3 5/1/2012 7/1/2012
5.69 2 11/1/2012 12/1/2012
5.11 2 2/1/2012 3/1/2012
4.53 1 9/1/2012 9/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.78 1 4/1/2012 4/1/2012
-0.82 1 10/1/2012 10/1/2012
-0.40 1 8/1/2012 8/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable72.7377.78
Average Period Return2.577.76
Average Gain4.4010.48
Average Loss-2.33-1.76
Best Period16.3920.64
Worst Period-5.78-2.57
Standard Deviation5.408.04
Gain Standard Deviation4.996.87
Loss Standard Deviation2.991.14
Sharpe Ratio (1%)0.460.93
Average Gain / Average Loss1.895.94
Profit / Loss Ratio5.0320.79
Downside Deviation (10%)1.921.46
Downside Deviation (5%)1.791.02
Downside Deviation (0%)1.760.91
Sortino Ratio (10%)1.134.47
Sortino Ratio (5%)1.387.35
Sortino Ratio (0%)1.458.49

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.