Transworld Capital Management : High Liquidity

archived programs
Year-to-Date
N / A
Jun Performance
-2.55%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.68%
Sharpe (RFR=1%)
0.18
CAROR
2.58%
Assets
$ 775k
Worst DD
-27.96
S&P Correlation
-0.21

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
12/2008
High Liquidity -2.55 - - - - - -20.23 9.56
S&P 500 3.96 - - - - - 37.59 283.52
+/- S&P 500 -6.51 - - - - - -57.83 -273.96

Strategy Description

Summary

The “High Liquidity” program is managed by Transworld Capital Management Limited. Tim Rea of Auto Trading Systems is the founding principle of this firm. This program utilizes a number of proprietary models to trade the E-mini S&P 500 futures as well as various Treasury Note Futur... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $20.00
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 10000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

The “High Liquidity” program is managed by Transworld Capital Management Limited. Tim Rea of Auto Trading Systems is the founding principle of this firm. This program utilizes a number of proprietary models to trade the E-mini S&P 500 futures as well as various Treasury Note Futures.

Investment Strategy

This program is trading contracts that are generally very liquid, such as the E-mini S&P 500 futures and Treasury Notes Futures, and can be traded in significant numbers. There are a number of systematic proprietary models used to determine these trades and as such there is not one way to described the underlying methodology but will include trading both with, and counter to the trend at times. Trades are generally shorter term in nature with the majority of trades occurring within a one to three day time frame. To December 2009 results were calculated on a pro forma basis in the same manner from a proprietary account. From January 2010 customer accounts have been traded and the composite monthly calculations and invoicing done by Futures Accounting and Compliance LLC.

Risk Management

Risks are spread across a number trading models and contracts used and all utilize stop losses. In addition some methods used will exit before the end of the US day leaving a smaller number of potential positions that can be carried overnight.

   

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
-27.96 24 - 6/1/2010 6/1/2012
-5.10 1 2 6/1/2009 7/1/2009
-1.06 1 1 3/1/2010 4/1/2010
-0.23 1 1 4/1/2009 5/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
26.34 8 8/1/2009 3/1/2010
13.89 5 12/1/2008 4/1/2009
9.42 3 5/1/2011 7/1/2011
8.31 2 5/1/2010 6/1/2010
8.26 2 9/1/2010 10/1/2010
5.74 1 2/1/2012 2/1/2012
5.19 1 12/1/2010 12/1/2010
4.17 1 6/1/2009 6/1/2009
3.80 1 12/1/2011 12/1/2011
2.49 1 9/1/2011 9/1/2011
0.64 1 3/1/2011 3/1/2011
0.47 2 4/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.84 2 10/1/2011 11/1/2011
-10.32 1 8/1/2011 8/1/2011
-9.69 2 7/1/2010 8/1/2010
-8.77 1 11/1/2010 11/1/2010
-6.35 1 4/1/2011 4/1/2011
-5.95 1 1/1/2012 1/1/2012
-5.27 1 3/1/2012 3/1/2012
-5.11 2 1/1/2011 2/1/2011
-5.10 1 7/1/2009 7/1/2009
-2.55 1 6/1/2012 6/1/2012
-1.06 1 4/1/2010 4/1/2010
-0.23 1 5/1/2009 5/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable65.1251.2247.3750.0053.8555.00
Average Period Return0.310.831.303.324.163.80
Average Gain3.046.3710.8319.5522.1021.24
Average Loss-4.78-4.98-7.27-12.91-16.76-17.52
Best Period7.8516.0122.7431.6448.8839.70
Worst Period-10.32-13.91-19.99-21.46-24.45-27.96
Standard Deviation4.536.8310.6718.5623.0821.88
Gain Standard Deviation2.134.026.0010.8815.2111.57
Loss Standard Deviation3.173.425.115.627.056.36
Sharpe Ratio (1%)0.050.090.080.130.120.08
Average Gain / Average Loss0.641.281.491.521.321.21
Profit / Loss Ratio1.191.341.341.521.541.48
Downside Deviation (10%)3.564.927.9413.2617.3019.10
Downside Deviation (5%)3.394.336.7010.5613.2313.70
Downside Deviation (0%)3.354.196.409.9012.2812.42
Sortino Ratio (10%)-0.03-0.08-0.15-0.13-0.20-0.34
Sortino Ratio (5%)0.070.140.120.220.200.13
Sortino Ratio (0%)0.090.200.200.340.340.31

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.