Tianyou Asset Management, LLC : Tianyou Fund LP

Year-to-Date
4.94%
Apr Performance
1.06%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.32%
Sharpe (RFR=1%)
1.47
CAROR
23.07%
Assets
$ 110.4M
Worst DD
-25.46
S&P Correlation
0.09

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
10/2012
Tianyou Fund LP 1.06 3.37 4.94 27.76 29.60 114.48 - 292.26
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 98.69
+/- S&P 500 -2.87 -5.57 -12.57 16.51 -11.60 59.70 - 193.57

Strategy Description

Investment Strategy

The Partnership’s objective is to achieve capital growth by obtaining consistent monthly returns which have a low correlation with the monthly returns of major US equity indexes. The manager is currently targeting about 20% return annually. The manager primarily writes... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.82
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
35%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Option-writing
95.00%
Spreading/hedging
5.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Partnership’s objective is to achieve capital growth by obtaining consistent monthly returns which have a low correlation with the monthly returns of major US equity indexes. The manager is currently targeting about 20% return annually. The manager primarily writes short-term options on index future contracts which are believed to expire worthless with an over 90% probability based on technical and fundamental analysis. The portfolio is sometimes hedged with future positions and with long-option positions. The strategy is designed to complement a trend following strategy and is suitable for the investors who seek alternative investment and diversification. The manager uses proprietary methodologies of fundamental and technical analysis to predict the likely range and the likely trend direction of index future contract prices during the period from option position initiation to option expiration. Technical analysis forecasts the direction of prices when the traded options are expired through the study of historical statistical data. Fundamental analysis predicts the price movement trend at the options’ maturity based on the overall state of the economy, interest rates, production, earnings in the period of the option cycle. The manager also takes consideration of other factors such as volatility index movements, market sentiments, seasonal cycles, and inter-market conditions. The proprietary quantitative models generated from market analyses aim to predict the direction of index price trend, the continuance of the trend, and the strength of the trend. This prediction is used to identify potential trading opportunities and generate trading signals. Although the index option writing strategies are mainly used, the Partnership may trade index future contracts or long options for hedging or speculative purposes in some market conditions.

   

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
-25.46 1 - 1/1/2018 2/1/2018
-16.66 1 4 4/1/2013 5/1/2013
-0.82 1 1 11/1/2016 12/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
190.25 42 6/1/2013 11/1/2016
35.23 7 10/1/2012 4/1/2013
33.45 14 3/1/2018 4/1/2019
21.54 13 1/1/2017 1/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.46 1 2/1/2018 2/1/2018
-16.66 1 5/1/2013 5/1/2013
-0.82 1 12/1/2016 12/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable96.2092.2191.8982.3588.7198.21100.00100.00
Average Period Return1.845.5811.1722.8335.8851.5084.97123.31
Average Gain2.487.2713.8329.6340.9152.4784.97123.31
Average Loss-14.31-14.43-19.02-8.87-3.66-1.62
Best Period7.6419.6239.5465.3491.07123.62174.30217.09
Worst Period-25.46-23.34-20.26-11.77-7.17-1.6222.1058.24
Standard Deviation4.137.5211.5619.0127.5436.0051.8559.22
Gain Standard Deviation1.664.277.5313.1425.0535.5951.8559.22
Loss Standard Deviation12.499.070.782.712.23
Sharpe Ratio (1%)0.430.710.921.151.251.371.582.01
Average Gain / Average Loss0.170.500.733.3411.1732.37
Profit / Loss Ratio4.395.968.2415.5987.771780.31
Downside Deviation (10%)3.494.956.125.934.183.18
Downside Deviation (5%)3.444.715.564.291.880.54
Downside Deviation (0%)3.424.655.423.881.410.22
Sortino Ratio (10%)0.410.881.423.016.7712.97
Sortino Ratio (5%)0.511.131.925.0918.3390.91
Sortino Ratio (0%)0.541.202.065.8825.40237.77

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 3 1.26 3/2019
Stock Index Trader Index Month 6 1.26 3/2019
Discretionary Trader Index Month 9 1.26 3/2019
Discretionary Trader Index Month 9 1.01 2/2019
Option Strategy Index Month 2 1.01 2/2019
Option Strategy Index Month 6 1.52 1/2019
IASG CTA Index 5 Year Rolling 4 126.40 2013 - 2018
Discretionary Trader Index Month 4 4.20 12/2018
Option Strategy Index Month 1 4.20 12/2018
Stock Index Trader Index Month 1 4.20 12/2018
IASG CTA Index Sharpe 8 1.46 2017 - 2018
Discretionary Trader Index Month 8 2.49 11/2018
Option Strategy Index Month 1 2.49 11/2018
Stock Index Trader Index Month 5 2.49 11/2018
Stock Index Trader Index Month 5 3.55 10/2018
Discretionary Trader Index Month 7 3.55 10/2018
Option Strategy Index Month 1 3.55 10/2018
Stock Index Trader Index Month 3 2.06 9/2018
Option Strategy Index Month 3 2.06 9/2018
Discretionary Trader Index Month 9 2.06 9/2018
Discretionary Trader Index Month 9 2.06 9/2018
Option Strategy Index Month 3 2.06 9/2018
Stock Index Trader Index Month 3 2.06 9/2018
Option Strategy Index Month 2 2.47 8/2018
Stock Index Trader Index Month 3 2.47 8/2018
Discretionary Trader Index Month 4 2.47 8/2018
Option Strategy Index Month 4 1.74 7/2018
Option Strategy Index Month 4 2.02 6/2018
Stock Index Trader Index Month 7 2.02 6/2018
Discretionary Trader Index Month 10 2.02 6/2018
Stock Index Trader Index Month 9 1.42 5/2018
Option Strategy Index Month 2 1.42 5/2018
Option Strategy Index Month 5 1.65 4/2018
Stock Index Trader Index Month 9 1.65 4/2018
Stock Index Trader Index Month 8 1.65 4/2018
Option Strategy Index Month 5 1.65 4/2018
Option Strategy Index Month 4 2.76 3/2018
Discretionary Trader Index Month 7 2.76 3/2018
Stock Index Trader Index Month 9 2.76 3/2018
Option Strategy Index Month 2 1.24 1/2018
IASG CTA Index 5 Year Rolling 1 244.07 2012 - 2017
Option Strategy Index Month 1 1.58 12/2017
Stock Index Trader Index Month 6 1.58 12/2017
IASG CTA Index Sharpe 4 2.46 2016 - 2017
Discretionary Trader Index Month 10 1.58 12/2017
IASG CTA Index 3 Year Rolling 8 70.77 2014 - 2017
Option Strategy Index Month 6 0.84 11/2017
Option Strategy Index Month 4 1.56 10/2017
Stock Index Trader Index Month 8 1.56 10/2017
Systematic Trader Index Month 7 1.57 9/2017
Stock Index Trader Index Month 5 1.57 9/2017
Option Strategy Index Month 2 1.57 9/2017
Option Strategy Index Month 2 2.39 8/2017
Stock Index Trader Index Month 5 2.39 8/2017
Option Strategy Index Month 4 1.15 7/2017
Stock Index Trader Index Month 6 1.70 6/2017
Option Strategy Index Month 1 1.70 6/2017
Option Strategy Index Month 2 2.34 5/2017
Stock Index Trader Index Month 3 2.34 5/2017
Option Strategy Index Month 7 1.47 4/2017
Stock Index Trader Index Month 8 1.01 2/2017
Option Strategy Index Month 8 1.01 2/2017
Stock Index Trader Index Month 10 1.66 1/2017
Option Strategy Index Month 5 1.66 1/2017
IASG CTA Index 3 Year Rolling 6 96.50 2013 - 2016
IASG CTA Index Sharpe 2 2.40 2015 - 2016
Option Strategy Index Month 4 2.03 11/2016
Stock Index Trader Index Month 10 2.03 11/2016
Stock Index Trader Index Month 10 1.11 10/2016
Option Strategy Index Month 8 1.11 10/2016
Stock Index Trader Index Month 7 2.31 6/2016
Option Strategy Index Month 3 2.31 6/2016
Option Strategy Index Month 7 0.59 4/2016
Stock Index Trader Index Month 7 0.59 4/2016
Option Strategy Index Month 9 0.71 3/2016
Stock Index Trader Index Month 3 1.65 1/2016
Option Strategy Index Month 1 1.65 1/2016
IASG CTA Index Sharpe 1 2.62 2014 - 2015
IASG CTA Index 3 Year Rolling 1 157.94 2012 - 2015
Option Strategy Index Month 2 2.23 12/2015
Discretionary Trader Index Month 7 2.23 12/2015
Stock Index Trader Index Month 6 2.23 12/2015
IASG CTA Index Year Rolling 4 28.03 2014 - 2015
Option Strategy Index Month 3 2.23 11/2015
Stock Index Trader Index Month 8 2.23 11/2015
Discretionary Trader Index Month 9 1.86 10/2015
Stock Index Trader Index Month 8 1.86 10/2015
Option Strategy Index Month 1 1.86 10/2015
Option Strategy Index Month 1 1.03 8/2015
Stock Index Trader Index Month 8 1.03 8/2015
Option Strategy Index Month 9 2.37 7/2015
Discretionary Trader Index Month 9 2.60 6/2015
Option Strategy Index Month 4 2.60 6/2015
Stock Index Trader Index Month 7 2.60 6/2015
Option Strategy Index Month 8 1.67 5/2015
Option Strategy Index Month 8 1.62 4/2015
Stock Index Trader Index Month 6 3.16 1/2015
Option Strategy Index Month 4 3.16 1/2015
Option Strategy Index Month 1 5.92 12/2014
Discretionary Trader Index Month 3 5.92 12/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.