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/ Tlaloc Capital LLC / Grains Program

Tlaloc Capital LLC : Grains Program

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Year-to-Date
7.31%
Jun Performance
1.83%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.61%
Sharpe (RFR=1%)
0.62
CAROR
6.74%
Assets
$ 4.2M
Worst DD
-14.78
S&P Correlation
-0.12
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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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2010
Grains Program 1.83 14.60 7.31 10.16 15.31 5.78 - 82.90
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 145.33
+/- S&P 500 -5.06 10.82 -10.03 1.95 -23.42 -42.76 - -62.43

Strategy Description

Investment Strategy

The Advisor’s objective is to achieve capital appreciation for its clients through speculative trading of futures and options in grains. The trading system is fundamentals based discretionary long and short trading of agricultural commodity instruments. The program... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
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
1531 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
Worst Peak-to-Trough
-14.46%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
40.00%
Intraday
60.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Investment Strategy

The Advisor’s objective is to achieve capital appreciation for its clients through speculative trading of futures and options in grains. The trading system is fundamentals based discretionary long and short trading of agricultural commodity instruments. The program only involves buying and selling futures or options on United States regulated exchanges. The Advisor utilizes agricultural and energy industry knowledge, current and projected weather models, crop reports, and proprietary econometric models and analysis to make trading decisions.

   

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

Monthly Annual
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
-14.78 55 - 9/1/2014 4/1/2019
-4.08 3 4 1/1/2014 4/1/2014
-3.47 1 6 8/1/2011 9/1/2011
-1.83 1 6 8/1/2012 9/1/2012
-0.72 1 1 4/1/2012 5/1/2012
-0.59 1 1 5/1/2011 6/1/2011
-0.55 1 1 8/1/2010 9/1/2010
-0.17 1 1 7/1/2013 8/1/2013
-0.14 1 1 2/1/2011 3/1/2011
-0.03 1 1 4/1/2010 5/1/2010
-0.02 1 1 6/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
15.75 2 5/1/2019 6/1/2019
14.52 5 10/1/2010 2/1/2011
9.37 11 9/1/2016 7/1/2017
8.45 5 5/1/2014 9/1/2014
8.37 1 6/1/2010 6/1/2010
8.00 7 1/1/2013 7/1/2013
6.35 1 8/1/2010 8/1/2010
6.26 5 1/1/2018 5/1/2018
5.96 3 6/1/2012 8/1/2012
5.74 1 4/1/2010 4/1/2010
5.54 2 4/1/2011 5/1/2011
5.46 2 7/1/2011 8/1/2011
4.87 7 10/1/2011 4/1/2012
4.83 1 7/1/2018 7/1/2018
4.68 2 10/1/2018 11/1/2018
3.69 3 3/1/2015 5/1/2015
3.19 2 4/1/2016 5/1/2016
2.87 5 9/1/2013 1/1/2014
2.30 1 1/1/2015 1/1/2015
1.60 1 7/1/2016 7/1/2016
1.41 2 7/1/2015 8/1/2015
0.81 1 1/1/2019 1/1/2019
0.71 2 10/1/2012 11/1/2012
0.41 2 12/1/2015 1/1/2016
0.29 1 10/1/2015 10/1/2015
0.26 1 9/1/2017 9/1/2017
0.19 1 11/1/2017 11/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.81 1 6/1/2016 6/1/2016
-8.81 1 6/1/2018 6/1/2018
-8.04 3 2/1/2019 4/1/2019
-6.89 3 10/1/2014 12/1/2014
-6.01 2 8/1/2018 9/1/2018
-5.12 1 6/1/2015 6/1/2015
-4.08 3 2/1/2014 4/1/2014
-3.47 1 9/1/2011 9/1/2011
-2.01 1 2/1/2015 2/1/2015
-1.83 1 9/1/2012 9/1/2012
-1.69 1 11/1/2015 11/1/2015
-1.47 1 8/1/2016 8/1/2016
-0.99 1 8/1/2017 8/1/2017
-0.72 1 5/1/2012 5/1/2012
-0.59 1 6/1/2011 6/1/2011
-0.56 1 12/1/2017 12/1/2017
-0.55 1 9/1/2010 9/1/2010
-0.47 1 12/1/2018 12/1/2018
-0.41 1 12/1/2012 12/1/2012
-0.27 2 2/1/2016 3/1/2016
-0.23 1 10/1/2017 10/1/2017
-0.17 1 8/1/2013 8/1/2013
-0.14 1 3/1/2011 3/1/2011
-0.03 1 9/1/2015 9/1/2015
-0.03 1 5/1/2010 5/1/2010
-0.02 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods111.00109.00106.00100.0094.0088.0076.0064.0052.00
Percent Profitable69.3768.8164.1560.0069.1567.0563.1668.7580.77
Average Period Return0.581.512.644.536.177.7310.0711.6814.40
Average Gain1.683.615.849.7910.7813.5218.3718.7419.03
Average Loss-1.91-3.10-3.09-3.35-4.16-4.04-4.15-3.85-5.08
Best Period13.6715.2325.2238.5347.9654.1364.0271.6776.76
Worst Period-9.81-9.71-7.26-11.78-8.76-12.43-8.37-11.78-7.58
Standard Deviation2.774.456.239.4611.2713.2317.7119.4319.83
Gain Standard Deviation2.143.405.388.6810.5312.4117.4619.6219.33
Loss Standard Deviation2.432.642.242.612.943.282.953.401.77
Sharpe Ratio (1%)0.180.280.340.370.410.430.400.390.47
Average Gain / Average Loss0.881.161.892.922.593.354.434.873.74
Profit / Loss Ratio2.002.573.394.385.806.817.5910.7115.73
Downside Deviation (10%)1.842.833.615.617.379.1313.7417.7920.53
Downside Deviation (5%)1.722.372.523.203.553.944.754.954.58
Downside Deviation (0%)1.692.262.272.682.822.973.072.842.35
Sortino Ratio (10%)0.100.100.05-0.08-0.19-0.28-0.41-0.56-0.64
Sortino Ratio (5%)0.290.530.851.101.311.451.481.542.03
Sortino Ratio (0%)0.340.671.161.692.192.613.284.116.13

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 13.67 5/2019
Discretionary Trader Index Month 1 13.67 5/2019
Agricultural Trader Index Month 1 13.67 5/2019
Agricultural Trader Index Month 10 0.00 3/2019
Agricultural Trader Index Month 4 0.81 1/2019
Agricultural Trader Index Month 2 1.14 11/2018
Agricultural Trader Index Month 1 3.50 10/2018
Discretionary Trader Index Month 8 3.50 10/2018
Agricultural Trader Index Month 3 4.83 7/2018
Discretionary Trader Index Month 4 4.83 7/2018
IASG CTA Index Month 6 4.83 7/2018
Agricultural Trader Index Month 4 1.66 5/2018
Agricultural Trader Index Month 3 1.53 4/2018
Agricultural Trader Index Month 3 1.53 4/2018
Agricultural Trader Index Month 9 0.77 3/2018
Agricultural Trader Index Month 7 1.02 2/2018
Agricultural Trader Index Month 9 1.13 1/2018
Agricultural Trader Index Month 10 0.26 9/2017
Agricultural Trader Index Month 8 1.21 5/2017
Agricultural Trader Index Month 6 0.76 4/2017
Agricultural Trader Index Month 7 0.57 2/2017
Agricultural Trader Index Month 8 0.53 1/2017
Agricultural Trader Index Month 5 0.85 12/2016
Agricultural Trader Index Month 7 0.84 10/2016
Agricultural Trader Index Month 3 2.26 9/2016
Discretionary Trader Index Month 10 2.26 9/2016
Agricultural Trader Index Month 7 1.60 7/2016
Agricultural Trader Index Month 6 2.92 5/2016
Discretionary Trader Index Month 9 2.92 5/2016
Agricultural Trader Index Month 10 0.26 4/2016
Agricultural Trader Index Month 7 0.29 10/2015
Agricultural Trader Index Month 10 0.37 8/2015
Agricultural Trader Index Month 8 0.93 5/2015
Agricultural Trader Index Month 4 2.13 3/2015
Agricultural Trader Index Month 6 2.29 1/2015
Agricultural Trader Index Month 6 2.57 8/2014
IASG CTA Index Sharpe 8 1.92 2012 - 2013
Agricultural Trader Index Month 10 0.29 11/2013
Agricultural Trader Index Month 7 2.10 9/2013
Agricultural Trader Index Month 7 1.80 6/2013
Agricultural Trader Index Month 2 1.69 5/2013
Agricultural Trader Index Month 10 1.45 4/2013
Agricultural Trader Index Month 2 0.99 3/2013
Agricultural Trader Index Month 8 0.90 1/2013
IASG CTA Index Sharpe 10 1.90 2011 - 2012
Agricultural Trader Index Month 7 0.18 11/2012
Agricultural Trader Index Month 9 0.53 10/2012
Agricultural Trader Index Month 10 0.68 4/2012
Agricultural Trader Index Month 9 0.70 12/2011
Agricultural Trader Index Month 7 3.61 7/2011
Agricultural Trader Index Month 6 -0.59 6/2011
Agricultural Trader Index Month 6 1.75 5/2011
Agricultural Trader Index Month 7 3.72 4/2011
Agricultural Trader Index Month 8 2.53 1/2011
IASG CTA Index Sharpe 6 3.31 2009 - 2010
Agricultural Trader Index Month 2 1.84 11/2010
Agricultural Trader Index Month 10 7.30 10/2010
Discretionary Trader Index Month 9 6.35 8/2010
Agricultural Trader Index Month 6 6.35 8/2010
Discretionary Trader Index Month 2 8.37 6/2010
Agricultural Trader Index Month 1 8.37 6/2010
IASG CTA Index Month 9 8.37 6/2010
Agricultural Trader Index Month 10 0.00 4/2010

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

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