TrueAlpha Technology Asset Management : PMC Managed Futures SP

archived programs
Year-to-Date
N / A
May Performance
-1.90%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.51%
Sharpe (RFR=1%)
1.14
CAROR
13.18%
Assets
$ 50.0M
Worst DD
-12.13
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/2013
PMC Managed Futures SP -1.90 - - - 5.77 22.28 - 91.57
S&P 500 2.16 - - - 27.07 64.22 - 120.80
+/- S&P 500 -4.06 - - - -21.30 -41.94 - -29.22

Strategy Description

Summary

Miran Managed Futures Segregated Portfolio offers a 100% intraday trend following and counter-trend strategies across global index futures markets with a focus on Asia markets, particularly greater china. ... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 9000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -12.00%
Worst Peak-to-Trough 4.85%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

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

Composition

Stock Indices
75.00%
Energy
15.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

Miran Managed Futures Segregated Portfolio offers a 100% intraday trend following and counter-trend strategies across global index futures markets with a focus on Asia markets, particularly greater china.

Investment Strategy

100% intraday strategy focused on intraday trend-following and intraday mean reversion. System is 100% automated with signals generated by technical information that includes price, volume, open interest and order book information.

Risk Management

1) Each signal generated always come with a stoploss predetermined.
2) Daily PNL stoploss Limit
3) Each market has a maxium gross exposure limit. And an aggregate max exposure limit.

   

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
-12.13 2 5 6/1/2014 8/1/2014
-6.11 2 2 8/1/2013 10/1/2013
-3.65 5 3 10/1/2015 3/1/2016
-3.13 3 6 7/1/2016 10/1/2016
-2.78 1 2 5/1/2015 6/1/2015
-2.77 1 2 2/1/2014 3/1/2014
-1.90 1 - 4/1/2018 5/1/2018
-0.86 1 1 1/1/2015 2/1/2015
-0.53 1 1 6/1/2017 7/1/2017
-0.50 1 1 5/1/2013 6/1/2013
-0.45 2 1 11/1/2017 1/1/2018
-0.15 1 1 1/1/0001 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
22.03 3 3/1/2015 5/1/2015
20.09 4 11/1/2013 2/1/2014
12.58 4 7/1/2015 10/1/2015
12.31 3 9/1/2014 11/1/2014
8.17 3 4/1/2014 6/1/2014
7.40 4 3/1/2017 6/1/2017
6.79 4 8/1/2017 11/1/2017
5.50 4 4/1/2016 7/1/2016
4.23 2 7/1/2013 8/1/2013
4.09 3 2/1/2018 4/1/2018
3.28 1 1/1/2015 1/1/2015
1.79 1 11/1/2016 11/1/2016
1.35 1 9/1/2016 9/1/2016
0.85 2 4/1/2013 5/1/2013
0.67 1 1/1/2017 1/1/2017
0.27 1 1/1/2016 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.13 2 7/1/2014 8/1/2014
-6.11 2 9/1/2013 10/1/2013
-2.78 1 6/1/2015 6/1/2015
-2.77 1 3/1/2014 3/1/2014
-2.32 1 10/1/2016 10/1/2016
-2.15 1 8/1/2016 8/1/2016
-2.04 2 11/1/2015 12/1/2015
-1.91 2 2/1/2016 3/1/2016
-1.90 1 5/1/2018 5/1/2018
-0.98 1 12/1/2016 12/1/2016
-0.96 1 12/1/2014 12/1/2014
-0.86 1 2/1/2015 2/1/2015
-0.53 1 7/1/2017 7/1/2017
-0.50 1 6/1/2013 6/1/2013
-0.45 2 12/1/2017 1/1/2018
-0.15 1 3/1/2013 3/1/2013
-0.14 1 2/1/2017 2/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable65.0875.4182.7698.08100.00100.00100.00100.00
Average Period Return1.083.447.1015.3723.0933.5053.5872.44
Average Gain2.615.389.0515.7023.0933.5053.5872.44
Average Loss-1.77-2.50-2.27-1.53
Best Period8.1822.0326.4043.9648.4268.8569.3089.55
Worst Period-10.35-8.21-7.57-1.530.3212.1926.6561.10
Standard Deviation3.035.567.6910.7513.4515.5610.578.79
Gain Standard Deviation2.144.886.9510.5913.4515.5610.578.79
Loss Standard Deviation2.312.442.05
Sharpe Ratio (1%)0.330.570.861.341.602.024.787.78
Average Gain / Average Loss1.482.153.9910.26
Profit / Loss Ratio2.756.6119.17523.49
Downside Deviation (10%)1.852.192.191.381.30
Downside Deviation (5%)1.721.791.400.350.18
Downside Deviation (0%)1.691.701.240.21
Sortino Ratio (10%)0.361.012.127.5111.90
Sortino Ratio (5%)0.581.784.7040.96123.20
Sortino Ratio (0%)0.642.025.7272.46

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.