Tiber Capital LLP : TIBER DIVERSIFIED program

Year-to-Date
5.02%
Aug Performance
1.38%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
6.18%
Sharpe (RFR=1%)
0.33
CAROR
2.88%
Assets
$ 243.0M
Worst DD
-12.33
S&P Correlation
-0.29

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
1/2007
TIBER DIVERSIFIED program 1.38 -0.35 -5.02 -9.21 5.55 16.75 14.63 43.31
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 101.37
+/- S&P 500 3.19 -6.69 -21.75 -10.06 -27.88 -27.84 -169.14 -58.07

Strategy Description

Summary

Figures reported are net of Management and Performance fees, 1.5% and 15% respectively. 2007–2009 figures refer to selective performance achieved by AG Global Fund. 2010 figures refer to AG Capital Fund Spc. 2011 to Apr 2016 pertains to the performance of the TIBER Diversified Program... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
5.00
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-12.33%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
50.00%
Intraday
50.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
15.00%
Momentum
25.00%
Pattern Recognition
15.00%
Trend-following
45.00%
Strategy Pie Chart

Composition

Stock Indices
55.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Currency Futures
5.00%
Precious Metals
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Figures reported are net of Management and Performance fees, 1.5% and 15% respectively. 2007–2009 figures refer to selective performance achieved by AG Global Fund. 2010 figures refer to AG Capital Fund Spc. 2011 to Apr 2016 pertains to the performance of the TIBER Diversified Program as per the managed accounts track-record, which is not the UCITS regulated Fund. As of May 2016 we report the UCITS Fund performance figures (also net of Management and Performance fees). These performance figures refer to past performance and are not a guarantee of future performance or a reliable guide to future performance.

Investment Strategy

Tiber Capital LLP (''Tiber'') is a London-based Asset and Investment Manager, regulated by the Financial Conduct Authority (FCA). The firm is specialized on short-term systematic trading, allowing for uncorrelated returns when comparing to equity benchmarks and other managers. The firm commenced trading in 2011, with a focus on capital preservation and asset diversification, these notions being at the core of Tiber’s investment rational. Tiber is currently offering two investment solutions, via managed accounts and through a UCITS fund (Undertakings for Collective Investment in Transferable Securities).

Tiber’s systematic program consists of more than 25 exchanged-based futures markets, employing 19 different algorithms. The strategies vary from intraday to medium term holding periods. The average holding period of the program is 4.5 days. The fund invests in five types of systematic strategies: (i) Momentum, (ii) Volatility breakout, (iii) Pattern recognition, (iv) Mean reversal and (v) Tactical trend. The Program shows low to negative correlation with other investment products, traditional asset classes as well as other managed futures funds. Tiber’s commitment to alpha generation, led the research team to carry out extensive work in the field of what we define today as ‘’Filtering Techniques’’. Filtering techniques aim to provide at the beginning of each trading day a probability mapping of specific market dynamics as defined by the individual functions. These functions are hard coded in each trading system and function independently of each other: (i) Time of the day, (ii) Type of day and (iii) Volatility cycle. Their main objective is to make our trading somewhat more selective, to facilitate smoother entries and exits, as well as to avoid trades with adverse risk/reward characteristics under different market regimes. This approach is applied to both the intraday and short term strategies.

Risk Management

Tiber has a strict risk management procedure which limits the unlikely event of a daily (3%) or a monthly (5%) drawdown by arresting the program for a limited time.

   

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
-12.33 36 19 12/1/2010 12/1/2013
-10.53 12 - 7/1/2018 7/1/2019
-6.44 2 6 1/1/2008 3/1/2008
-5.89 9 6 3/1/2009 12/1/2009
-5.86 7 1 7/1/2016 2/1/2017
-3.60 3 4 9/1/2015 12/1/2015
-2.41 3 1 7/1/2007 10/1/2007
-1.98 1 4 8/1/2017 9/1/2017
-1.59 1 1 8/1/2010 9/1/2010
-1.03 1 2 2/1/2007 3/1/2007
-0.82 1 1 4/1/2017 5/1/2017
-0.79 1 1 1/1/0001 1/1/2007
-0.67 1 1 3/1/2018 4/1/2018
-0.61 1 3 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
9.20 3 11/1/2007 1/1/2008
8.77 3 9/1/2008 11/1/2008
8.43 2 3/1/2017 4/1/2017
7.49 6 10/1/2017 3/1/2018
6.24 4 4/1/2008 7/1/2008
6.19 4 4/1/2007 7/1/2007
6.04 4 1/1/2014 4/1/2014
5.50 7 3/1/2015 9/1/2015
5.36 1 2/1/2007 2/1/2007
4.99 3 8/1/2011 10/1/2011
4.84 3 2/1/2012 4/1/2012
4.80 4 5/1/2010 8/1/2010
4.68 2 12/1/2014 1/1/2015
4.50 3 1/1/2010 3/1/2010
4.17 3 6/1/2017 8/1/2017
3.82 2 6/1/2012 7/1/2012
3.77 3 5/1/2018 7/1/2018
3.39 3 10/1/2010 12/1/2010
2.99 1 4/1/2013 4/1/2013
2.91 4 4/1/2016 7/1/2016
2.34 1 10/1/2014 10/1/2014
2.16 2 1/1/2016 2/1/2016
1.95 1 12/1/2018 12/1/2018
1.75 3 1/1/2009 3/1/2009
1.38 1 8/1/2019 8/1/2019
1.18 1 2/1/2011 2/1/2011
1.18 1 10/1/2009 10/1/2009
1.05 2 10/1/2016 11/1/2016
0.98 1 6/1/2013 6/1/2013
0.91 1 6/1/2014 6/1/2014
0.73 1 5/1/2019 5/1/2019
0.57 1 4/1/2011 4/1/2011
0.34 1 11/1/2012 11/1/2012
0.29 1 6/1/2009 6/1/2009
0.07 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.68 6 7/1/2013 12/1/2013
-6.44 2 2/1/2008 3/1/2008
-6.32 4 8/1/2018 11/1/2018
-6.06 3 11/1/2011 1/1/2012
-5.38 4 1/1/2019 4/1/2019
-4.11 1 3/1/2011 3/1/2011
-3.77 2 11/1/2009 12/1/2009
-3.60 3 10/1/2015 12/1/2015
-3.58 2 8/1/2016 9/1/2016
-3.38 3 12/1/2016 2/1/2017
-3.33 3 8/1/2012 10/1/2012
-3.18 1 1/1/2011 1/1/2011
-2.91 1 3/1/2013 3/1/2013
-2.41 3 8/1/2007 10/1/2007
-2.14 3 5/1/2011 7/1/2011
-2.05 1 5/1/2013 5/1/2013
-1.98 1 9/1/2017 9/1/2017
-1.92 2 4/1/2009 5/1/2009
-1.74 3 7/1/2009 9/1/2009
-1.71 2 6/1/2019 7/1/2019
-1.59 1 9/1/2010 9/1/2010
-1.48 3 7/1/2014 9/1/2014
-1.19 2 12/1/2012 1/1/2013
-1.03 1 3/1/2007 3/1/2007
-0.92 1 2/1/2015 2/1/2015
-0.85 1 11/1/2014 11/1/2014
-0.82 1 5/1/2017 5/1/2017
-0.79 1 1/1/2007 1/1/2007
-0.67 1 4/1/2018 4/1/2018
-0.61 1 12/1/2008 12/1/2008
-0.54 1 8/1/2008 8/1/2008
-0.34 1 5/1/2014 5/1/2014
-0.32 1 4/1/2010 4/1/2010
-0.22 1 5/1/2012 5/1/2012
-0.01 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable55.2657.3359.1868.0974.8172.0981.2079.0586.02
Average Period Return0.250.731.463.014.665.887.609.3110.78
Average Gain1.472.904.436.267.479.2710.4412.6813.04
Average Loss-1.25-2.19-2.86-3.94-3.69-2.87-4.66-3.41-3.10
Best Period7.659.2012.7318.0121.5526.2524.6333.0832.48
Worst Period-4.11-6.24-7.51-10.53-10.22-9.20-12.33-6.16-7.21
Standard Deviation1.783.104.435.986.887.478.429.949.63
Gain Standard Deviation1.301.952.853.885.435.866.428.358.38
Loss Standard Deviation0.971.582.152.982.572.163.681.662.47
Sharpe Ratio (1%)0.100.150.220.340.460.520.540.530.59
Average Gain / Average Loss1.181.321.551.592.023.232.243.724.21
Profit / Loss Ratio1.451.782.253.396.018.349.6914.0325.88
Downside Deviation (10%)1.282.473.715.516.548.0111.5815.6219.37
Downside Deviation (5%)1.101.892.543.252.912.843.713.573.39
Downside Deviation (0%)1.051.762.282.782.241.892.551.731.46
Sortino Ratio (10%)-0.12-0.20-0.27-0.36-0.45-0.55-0.70-0.78-0.87
Sortino Ratio (5%)0.150.250.380.621.081.361.231.471.67
Sortino Ratio (0%)0.240.410.641.082.073.112.985.387.39

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.