Tiverton Trading Inc : Discretionary Strategy

archived programs
Year-to-Date
N / A
Dec Performance
-0.89%
Min Investment
$ 25,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.37%
Sharpe (RFR=1%)
1.51
CAROR
12.52%
Assets
$ 257.1M
Worst DD
-4.75
S&P Correlation
-0.38

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
4/2006
Discretionary Strategy -0.89 - - - - - 1.61 97.01
S&P 500 0.85 - - - - - 9.52 164.31
+/- S&P 500 -1.74 - - - - - -7.91 -67.30

Strategy Description

Investment Strategy

The Tiverton Trading Discretionary Trading Methodology is a long term discretionary global macro commodity strategy. Sectors traded include pre- cious metals, base metals, grains and soy complex, meats, softs, energy, currencies, fixed income, domestic and international... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Investment Strategy

The Tiverton Trading Discretionary Trading Methodology is a long term discretionary global macro commodity strategy. Sectors traded include pre- cious metals, base metals, grains and soy complex, meats, softs, energy, currencies, fixed income, domestic and international stock indices. The object of the strategy is to achieve capital growth while attempting to control risk with discipline and money management. The manager relies on a combina- tion of fundamental and technical analysis in making trading decisions, with the objective of participating in major price moves in markets traded.

   

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
-4.75 7 9 1/1/2009 8/1/2009
-3.47 3 2 4/1/2011 7/1/2011
-2.96 4 2 5/1/2006 9/1/2006
-2.70 3 - 9/1/2011 12/1/2011
-1.16 2 1 1/1/2011 3/1/2011
-1.14 2 1 11/1/2006 1/1/2007
-0.97 2 1 5/1/2010 7/1/2010
-0.84 1 1 6/1/2008 7/1/2008
-0.48 1 1 9/1/2007 10/1/2007
-0.37 1 1 6/1/2007 7/1/2007
-0.04 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
25.36 8 11/1/2007 6/1/2008
20.54 6 8/1/2008 1/1/2009
8.52 2 4/1/2006 5/1/2006
8.35 5 2/1/2007 6/1/2007
7.32 2 8/1/2007 9/1/2007
6.74 2 10/1/2006 11/1/2006
5.61 2 8/1/2011 9/1/2011
3.41 3 9/1/2009 11/1/2009
2.75 3 8/1/2010 10/1/2010
2.11 1 5/1/2009 5/1/2009
1.72 1 5/1/2010 5/1/2010
1.70 2 1/1/2010 2/1/2010
1.30 1 4/1/2011 4/1/2011
1.00 2 12/1/2010 1/1/2011
0.02 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.50 3 6/1/2009 8/1/2009
-3.47 3 5/1/2011 7/1/2011
-2.96 4 6/1/2006 9/1/2006
-2.32 3 2/1/2009 4/1/2009
-1.85 1 10/1/2011 10/1/2011
-1.16 2 2/1/2011 3/1/2011
-1.14 2 12/1/2006 1/1/2007
-0.97 2 6/1/2010 7/1/2010
-0.89 1 12/1/2011 12/1/2011
-0.84 1 7/1/2008 7/1/2008
-0.75 2 3/1/2010 4/1/2010
-0.56 1 12/1/2009 12/1/2009
-0.48 1 10/1/2007 10/1/2007
-0.37 1 7/1/2007 7/1/2007
-0.04 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable59.4279.1084.3893.1098.08100.00100.00100.00
Average Period Return1.013.006.2513.9023.0732.6650.7570.87
Average Gain2.254.327.8614.9823.5332.6650.7570.87
Average Loss-0.80-2.01-2.45-0.67-0.41
Best Period7.0815.7723.9640.5260.0372.7688.9190.31
Worst Period-3.39-4.50-4.35-1.21-0.411.543.5045.43
Standard Deviation2.134.317.1312.9819.0623.4323.6711.98
Gain Standard Deviation1.873.836.5812.8018.9523.4323.6711.98
Loss Standard Deviation0.711.181.320.38
Sharpe Ratio (1%)0.440.640.810.991.131.312.025.58
Average Gain / Average Loss2.802.153.2122.4857.78
Profit / Loss Ratio4.118.1317.32303.522946.84
Downside Deviation (10%)0.891.592.092.302.753.062.44
Downside Deviation (5%)0.721.161.270.480.300.07
Downside Deviation (0%)0.681.061.090.200.06
Sortino Ratio (10%)0.681.111.813.875.627.3314.36
Sortino Ratio (5%)1.292.384.5326.7870.82444.05
Sortino Ratio (0%)1.492.845.7471.08408.51

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.