Triple Alpha LLC : Triple Alpha Perpetual Portfolio

archived programs
Year-to-Date
N / A
Mar Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
11.08%
Sharpe (RFR=1%)
0.54
CAROR
6.55%
Assets
$ 0k
Worst DD
-15.81
S&P Correlation
0.37

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Triple Alpha Perpetual Portfolio 0.00 - - - - -2.29 18.44 58.37
S&P 500 6.60 - - - - 55.32 59.04 333.99
+/- S&P 500 -6.60 - - - - -57.61 -40.61 -275.61

Strategy Description

Summary

TAPP is a managed futures product inspired by the ideas of Harry Browne called the Permanent Portfolio strategy.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 0%
Average Commission $8.30
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 135 RT/YR/$M
Avg. Margin-to-Equity 17%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 100.00%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Precious Metals
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Other
25.00%
Composition Pie Chart

Summary

TAPP is a managed futures product inspired by the ideas of Harry Browne called the Permanent Portfolio strategy.

Investment Strategy

The TAPP strategy was developed and is run by Dr. Carl Peters. Dr. Peters was formerly Director of Research at Morgan Stanley and President of A. O. Management, a large institutional CTA. This strategy is used as part of the portfolio of the Peters Family Office. The TAPP strategy benefits from unanticipated future capital flows between asset classes. It holds a perpetual portfolio of futures and rolls them forward, rebalancing periodically.

Risk Management

TAPP has very low costs and uses relatively little leverage along with continuously active stops.

   

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
-15.81 9 19 9/1/2012 6/1/2013
-12.21 8 - 1/1/2015 9/1/2015
-8.48 2 6 1/1/0001 2/1/2009
-4.44 2 2 11/1/2009 1/1/2010
-4.13 1 1 8/1/2011 9/1/2011
-3.94 2 1 4/1/2011 6/1/2011
-3.78 1 3 12/1/2010 1/1/2011
-2.84 1 1 11/1/2011 12/1/2011
-1.97 4 2 1/1/2012 5/1/2012
-1.79 2 1 5/1/2010 7/1/2010
-0.52 1 1 9/1/2009 10/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
12.79 4 10/1/2014 1/1/2015
12.53 4 2/1/2010 5/1/2010
11.88 2 7/1/2011 8/1/2011
11.60 5 8/1/2010 12/1/2010
10.38 3 7/1/2009 9/1/2009
9.71 1 11/1/2009 11/1/2009
7.86 2 10/1/2011 11/1/2011
7.45 4 6/1/2012 9/1/2012
6.92 2 1/1/2014 2/1/2014
6.86 1 1/1/2012 1/1/2012
5.54 2 7/1/2013 8/1/2013
5.49 1 10/1/2015 10/1/2015
4.48 3 4/1/2014 6/1/2014
4.10 1 4/1/2011 4/1/2011
4.08 1 8/1/2014 8/1/2014
3.93 1 3/1/2009 3/1/2009
3.83 1 2/1/2011 2/1/2011
3.06 2 2/1/2013 3/1/2013
2.76 1 5/1/2009 5/1/2009
2.30 1 10/1/2013 10/1/2013
1.02 1 5/1/2015 5/1/2015
0.73 1 4/1/2012 4/1/2012
0.47 1 11/1/2012 11/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-14.39 3 4/1/2013 6/1/2013
-8.74 4 6/1/2015 9/1/2015
-8.48 2 1/1/2009 2/1/2009
-4.78 3 2/1/2015 4/1/2015
-4.67 2 11/1/2013 12/1/2013
-4.50 5 11/1/2015 3/1/2016
-4.44 2 12/1/2009 1/1/2010
-4.13 1 9/1/2011 9/1/2011
-3.94 2 5/1/2011 6/1/2011
-3.78 1 1/1/2011 1/1/2011
-2.91 1 10/1/2012 10/1/2012
-2.90 1 9/1/2014 9/1/2014
-2.84 1 12/1/2011 12/1/2011
-2.18 2 12/1/2012 1/1/2013
-2.10 1 6/1/2009 6/1/2009
-2.02 1 9/1/2013 9/1/2013
-1.79 2 6/1/2010 7/1/2010
-1.57 2 2/1/2012 3/1/2012
-1.46 1 7/1/2014 7/1/2014
-1.14 1 3/1/2014 3/1/2014
-1.13 1 5/1/2012 5/1/2012
-0.84 1 4/1/2009 4/1/2009
-0.52 1 10/1/2009 10/1/2009
-0.15 1 3/1/2011 3/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable51.7264.7171.9573.6872.8678.1386.5492.50100.00
Average Period Return0.581.904.088.7513.5817.5224.5631.8844.30
Average Gain3.054.667.6614.4720.6923.4128.9734.5744.30
Average Loss-2.22-3.26-5.08-7.26-5.51-3.52-3.76-1.28
Best Period9.7113.7317.9329.1541.9749.6075.9377.5568.65
Worst Period-8.85-14.39-11.77-12.94-10.26-8.54-7.54-1.8817.57
Standard Deviation3.204.846.9911.6615.0017.9125.2421.2417.09
Gain Standard Deviation2.023.114.117.2910.8115.7824.3019.7417.09
Loss Standard Deviation1.773.023.614.013.082.342.010.84
Sharpe Ratio (1%)0.160.340.510.670.810.870.851.312.29
Average Gain / Average Loss1.371.431.511.993.756.657.7127.07
Profit / Loss Ratio1.582.713.875.5810.0823.7449.55333.86
Downside Deviation (10%)2.113.154.436.667.197.038.828.213.78
Downside Deviation (5%)1.942.683.504.693.982.802.631.47
Downside Deviation (0%)1.892.573.284.233.271.961.540.40
Sortino Ratio (10%)0.080.210.360.560.831.031.001.264.41
Sortino Ratio (5%)0.260.621.031.653.045.548.1718.88
Sortino Ratio (0%)0.310.741.252.074.168.9615.9780.31

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.