TMA Capital Management : Program C (Prop & Client)

Year-to-Date
7.99%
Sep Performance
0.00%
Min Investment
$ 10k
Mgmt. Fee
0%
Perf. Fee
15.00%
Annualized Vol
21.12%
Sharpe (RFR=1%)
0.62
CAROR
12.65%
Assets
$ 12k
Worst DD
-20.73
S&P Correlation
-0.11

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
Program C (Prop & Client) 0.00 -9.45 -7.99 -18.81 - - - 38.77
S&P 500 1.72 1.19 18.74 2.15 - - - 29.29
+/- S&P 500 -1.72 -10.64 -26.72 -20.95 - - - 9.48

Strategy Description

Summary

The objective of TMA is to achieve marked capital appreciation and mitigation of risk leading to enviable Modified Sharpe & Sortino ratios. While employing solid risk and trade management techniques, TMA currently engages in a program of buying and selling future contracts for short... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
15.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
15.00%
Worst Peak-to-Trough
14.15%
Sector Focus
Stock Index 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
30.00%
Systematic
70.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The objective of TMA is to achieve marked capital appreciation and mitigation of risk leading to enviable Modified Sharpe & Sortino ratios. While employing solid risk and trade management techniques, TMA currently engages in a program of buying and selling future contracts for short and intermediate-term profits. Although TMA has been a registered CTA since 2007, some of the methods used in TMA strategies began development in 2002.

Investment Strategy

Program C is a product of years of development honing the most ideal product for all market environments with acceleration of profits during increased volatility. The portfolio seeks to trade the best opportunities in an effort to return double-digit Alpha and enviable mod-Sharpe and Sortino Ratios.

Risk Management

Risk Management is key to the success of any portfolio and is taken very seriously at TMA Capital. This staunch focus on limiting downside risk has led to a max drawdown of just over -13% against an average return of just under +20%. The risk of Program C is less than that of the S&P 500 for 20017-2018 yet the return is more than twice that of the market.

   

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
-20.73 10 - 10/1/2018 8/1/2019
-10.98 2 3 11/1/2017 1/1/2018
-6.13 2 1 3/1/2017 5/1/2017
-5.32 2 1 8/1/2017 10/1/2017
-1.96 1 1 6/1/2017 7/1/2017
-0.78 1 1 4/1/2018 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
32.49 3 1/1/2017 3/1/2017
16.46 3 2/1/2018 4/1/2018
14.08 1 6/1/2017 6/1/2017
10.91 1 8/1/2017 8/1/2017
9.06 5 6/1/2018 10/1/2018
6.84 1 11/1/2017 11/1/2017
4.71 2 3/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.16 4 11/1/2018 2/1/2019
-11.81 5 5/1/2019 9/1/2019
-10.98 2 12/1/2017 1/1/2018
-6.13 2 4/1/2017 5/1/2017
-5.32 2 9/1/2017 10/1/2017
-1.96 1 7/1/2017 7/1/2017
-0.78 1 5/1/2018 5/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable48.4864.5260.7168.1881.25
Average Period Return1.173.456.389.8118.03
Average Gain5.689.1915.1318.3123.29
Average Loss-4.02-6.99-7.14-8.40-4.76
Best Period18.2832.4941.8751.4766.22
Worst Period-9.54-13.85-11.13-18.81-9.39
Standard Deviation6.1010.5914.9317.1523.54
Gain Standard Deviation5.078.2912.5513.1823.02
Loss Standard Deviation3.194.494.287.494.01
Sharpe Ratio (1%)0.180.300.390.510.70
Average Gain / Average Loss1.411.322.122.184.89
Profit / Loss Ratio1.742.393.284.6721.19
Downside Deviation (10%)3.385.526.568.586.21
Downside Deviation (5%)3.225.015.436.593.07
Downside Deviation (0%)3.174.885.156.152.50
Sortino Ratio (10%)0.230.400.600.561.68
Sortino Ratio (5%)0.340.641.081.345.39
Sortino Ratio (0%)0.370.711.241.607.20

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.