TrueAlpha Technology Asset Management : PMC Managed Futures SP

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

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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	May	Qtr	2020	1yr	3yr	5yr	10yr	Since 3/2013
PMC Managed Futures SP	-1.90	-	-	-	1.88	18.13	-	91.57
S&P 500	2.16	-	-	-	27.07	64.22	-	136.93
+/- S&P 500	-4.06	-	-	-	-25.20	-46.09	-	-45.36

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%

Composition

Stock Indices: 75.00%
Energy: 15.00%
Precious Metals: 10.00%

Summary

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.

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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:
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Average Gain:
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Risk
Standard Deviation:
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Loss Frequency:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	63.00	61.00	58.00	52.00	46.00	40.00	28.00	16.00
Percent Profitable	65.08	75.41	82.76	98.08	100.00	100.00	100.00	100.00
Average Period Return	1.08	3.44	7.10	15.37	23.09	33.50	53.58	72.44
Average Gain	2.61	5.38	9.05	15.70	23.09	33.50	53.58	72.44
Average Loss	-1.77	-2.50	-2.27	-1.53
Best Period	8.18	22.03	26.40	43.96	48.42	68.85	69.30	89.55
Worst Period	-10.35	-8.21	-7.57	-1.53	0.32	12.19	26.65	61.10
Standard Deviation	3.03	5.56	7.69	10.75	13.45	15.56	10.57	8.79
Gain Standard Deviation	2.14	4.88	6.95	10.59	13.45	15.56	10.57	8.79
Loss Standard Deviation	2.31	2.44	2.05
Sharpe Ratio (1%)	0.33	0.57	0.86	1.34	1.60	2.02	4.78	7.78
Average Gain / Average Loss	1.48	2.15	3.99	10.26
Profit / Loss Ratio	2.75	6.61	19.17	523.49
Downside Deviation (10%)	1.85	2.19	2.19	1.38	1.30
Downside Deviation (5%)	1.72	1.79	1.40	0.35	0.18
Downside Deviation (0%)	1.69	1.70	1.24	0.21
Sortino Ratio (10%)	0.36	1.01	2.12	7.51	11.90
Sortino Ratio (5%)	0.58	1.78	4.70	40.96	123.20
Sortino Ratio (0%)	0.64	2.02	5.72	72.46

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.

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TrueAlpha Technology Asset Management : PMC Managed Futures SP

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

TrueAlpha Technology Asset Management : PMC Managed Futures SP

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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