Tlaloc Capital LLC : Grains Program

Year-to-Date: N / A
Nov Performance: -4.92%

Min Investment: $ 1,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 9.51%
Sharpe (RFR=1%): 0.42
CAROR: 4.63%

Assets: $ 3.7M
Worst DD: -14.78
S&P Correlation: -0.10

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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	Nov	Qtr	YTD	1yr	3yr	5yr	10yr	Since 4/2010
Grains Program	-4.92	-	-	-9.53	-8.17	-4.95	16.93	61.99
S&P 500	10.75	-	-	15.30	40.10	72.31	203.60	242.08
+/- S&P 500	-15.67	-	-	-24.83	-48.27	-77.27	-186.67	-180.09

Strategy Description

Investment Strategy

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	-14.81%
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%

Composition

Grains: 100.00%

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.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss 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
-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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
15.80	3	5/1/2019	7/1/2019
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
4.54	1	8/1/2020	8/1/2020
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
2.18	2	5/1/2020	6/1/2020
2.06	2	9/1/2019	10/1/2019
1.60	1	7/1/2016	7/1/2016
1.41	2	7/1/2015	8/1/2015
1.35	2	12/1/2019	1/1/2020
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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.81	1	6/1/2016	6/1/2016
-9.78	3	9/1/2020	11/1/2020
-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
-5.04	3	2/1/2020	4/1/2020
-4.08	3	2/1/2014	4/1/2014
-3.47	1	9/1/2011	9/1/2011
-3.44	1	7/1/2020	7/1/2020
-2.47	1	8/1/2019	8/1/2019
-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
-0.69	1	11/1/2019	11/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	128.00	126.00	123.00	117.00	111.00	105.00	93.00	81.00	69.00
Percent Profitable	66.41	64.29	60.98	60.68	71.17	68.57	66.67	72.84	75.36
Average Period Return	0.41	1.28	2.41	4.31	5.86	6.98	9.31	10.42	11.21
Average Gain	1.64	3.61	5.91	9.42	9.90	11.99	15.98	15.64	16.13
Average Loss	-2.01	-2.92	-3.06	-3.57	-4.10	-3.95	-4.01	-3.57	-3.85
Best Period	13.67	15.80	25.22	38.53	47.96	54.13	64.02	71.67	76.76
Worst Period	-9.81	-9.78	-7.67	-11.78	-9.81	-12.43	-8.37	-11.78	-7.58
Standard Deviation	2.75	4.55	6.24	9.12	10.57	12.33	16.24	17.50	18.14
Gain Standard Deviation	2.08	3.60	5.41	8.11	9.82	11.72	16.07	17.78	18.35
Loss Standard Deviation	2.25	2.68	2.26	2.73	3.13	3.12	2.93	3.36	2.21
Sharpe Ratio (1%)	0.12	0.23	0.31	0.36	0.41	0.40	0.39	0.36	0.34
Average Gain / Average Loss	0.82	1.24	1.93	2.64	2.41	3.04	3.99	4.38	4.20
Profit / Loss Ratio	1.61	2.22	3.01	4.07	5.96	6.62	7.98	11.74	12.83
Downside Deviation (10%)	1.91	2.95	3.76	5.71	7.16	8.99	13.32	17.48	22.11
Downside Deviation (5%)	1.77	2.47	2.63	3.33	3.45	3.77	4.43	4.47	4.65
Downside Deviation (0%)	1.74	2.35	2.37	2.81	2.75	2.80	2.85	2.53	2.19
Sortino Ratio (10%)	0.00	0.02	-0.02	-0.12	-0.24	-0.36	-0.48	-0.64	-0.74
Sortino Ratio (5%)	0.19	0.42	0.73	0.99	1.26	1.32	1.42	1.42	1.31
Sortino Ratio (0%)	0.24	0.54	1.02	1.54	2.13	2.49	3.27	4.12	5.13

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Agricultural Trader Index	Month	3	4.54	8/2020
Discretionary Trader Index	Month	8	4.54	8/2020
Agricultural Trader Index	Month	7	1.38	6/2020
Discretionary Trader Index	Month	7	1.38	6/2020
Agricultural Trader Index	Month	8	0.79	5/2020
Agricultural Trader Index	Month	8	0.49	1/2020
Agricultural Trader Index	Month	8	0.86	12/2019
Agricultural Trader Index	Month	8	0.81	10/2019
Agricultural Trader Index	Month	9	1.24	9/2019
Agricultural Trader Index	Month	8	0.04	7/2019
Discretionary Trader Index	Month	5	1.83	6/2019
Agricultural Trader Index	Month	4	1.83	6/2019
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	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
Discretionary Trader Index	Month	9	2.92	5/2016
Agricultural Trader Index	Month	6	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	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	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	2010
Agricultural Trader Index	Month	2	1.84	11/2010
Agricultural Trader Index	Month	10	7.30	10/2010
Agricultural Trader Index	Month	6	6.35	8/2010
Discretionary Trader Index	Month	9	6.35	8/2010
IASG CTA Index	Month	9	8.37	6/2010
Discretionary Trader Index	Month	2	8.37	6/2010
Agricultural Trader Index	Month	1	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.

^#3

Top Performer

AGRICULTURAL TRADER INDEX

AUGUST
2020

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Tlaloc Capital LLC : Grains Program

Growth of 1,000 - VAMI

Monthly Performance

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Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

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Consecutive Gains

Consecutive Losses

Time Windows Analysis

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Tlaloc Capital LLC : Grains Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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