TRYCON G.C.M. AG : TRYCON CI Global Futures Fund HAIG, Class BI

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
2.30%
Min Investment
$ 75k
Mgmt. Fee
1.80%
Perf. Fee
20.00%
Annualized Vol
15.16%
Sharpe (RFR=1%)
-0.04
CAROR
-0.77%
Assets
$ 0k
Worst DD
-28.27
S&P Correlation
-0.02

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
TRYCON CI Global Futures Fund HAIG, Class BI 2.30 4.74 - 9.99 -5.63 -7.81 - -5.71
S&P 500 -0.42 4.39 - 11.39 63.72 84.61 - 36.93
+/- S&P 500 2.72 0.35 - -1.40 -69.35 -92.42 - -42.64

Strategy Description

Summary

The fund's objective is to provide absolute returns with low correlation to equity markets and other investments. The fund seeks to achieve its objective through the implementation of a portfolio of systematic trading models. The multi asset strategy trades more than 60 global equity,... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 75k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.80%
Performance Fee
20.00%
Average Commission
$4.50
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
21.10%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

The fund's objective is to provide absolute returns with low correlation to equity markets and other investments. The fund seeks to achieve its objective through the implementation of a portfolio of systematic trading models. The multi asset strategy trades more than 60 global equity, bond, interest rate, currency, energy, metals and agricultural markets, using regulated, liquid and exchange traded financial instruments. Both long and short positions can be held seeking to profit from identified short, medium and long term price trends. Trend following as well as trend independent models are applied. The strategy and its strict risk management are based on a clearly defined set of rules, adjusting the portfolio dynamically to changing market conditions.

   

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
-28.27 56 - 12/1/2008 8/1/2013
-14.17 3 2 1/1/0001 8/1/2007
-13.24 2 2 6/1/2008 8/1/2008
-7.32 1 3 10/1/2007 11/1/2007
-3.25 2 2 2/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
22.07 4 9/1/2008 12/1/2008
16.73 2 9/1/2007 10/1/2007
14.97 3 12/1/2007 2/1/2008
13.48 3 8/1/2010 10/1/2010
9.44 1 4/1/2011 4/1/2011
7.74 2 11/1/2014 12/1/2014
7.12 2 8/1/2009 9/1/2009
7.04 4 11/1/2011 2/1/2012
6.80 1 1/1/2013 1/1/2013
6.39 2 3/1/2010 4/1/2010
6.16 1 12/1/2010 12/1/2010
5.39 2 7/1/2011 8/1/2011
4.96 4 9/1/2013 12/1/2013
4.49 3 2/1/2014 4/1/2014
4.45 1 3/1/2013 3/1/2013
4.11 2 5/1/2008 6/1/2008
4.10 1 11/1/2012 11/1/2012
3.37 2 6/1/2014 7/1/2014
2.39 1 7/1/2013 7/1/2013
2.09 1 6/1/2010 6/1/2010
1.63 1 2/1/2011 2/1/2011
1.54 1 9/1/2012 9/1/2012
0.89 1 11/1/2009 11/1/2009
0.49 2 5/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.17 3 6/1/2007 8/1/2007
-13.34 7 1/1/2009 7/1/2009
-13.24 2 7/1/2008 8/1/2008
-12.78 3 4/1/2013 6/1/2013
-10.29 3 12/1/2009 2/1/2010
-9.63 2 5/1/2011 6/1/2011
-8.01 2 9/1/2011 10/1/2011
-7.32 1 11/1/2007 11/1/2007
-6.69 2 7/1/2012 8/1/2012
-6.69 1 10/1/2012 10/1/2012
-6.20 1 2/1/2013 2/1/2013
-5.38 1 5/1/2010 5/1/2010
-4.90 1 3/1/2011 3/1/2011
-4.59 1 8/1/2013 8/1/2013
-3.91 1 11/1/2010 11/1/2010
-3.71 3 8/1/2014 10/1/2014
-3.40 1 10/1/2009 10/1/2009
-3.29 2 3/1/2012 4/1/2012
-3.25 2 3/1/2008 4/1/2008
-2.92 1 7/1/2010 7/1/2010
-2.10 1 12/1/2012 12/1/2012
-1.48 1 1/1/2014 1/1/2014
-1.17 1 1/1/2011 1/1/2011
-0.37 1 5/1/2014 5/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods91.0089.0086.0080.0074.0068.0056.0044.0032.00
Percent Profitable51.6550.5647.6742.5037.8432.3525.0020.4521.88
Average Period Return0.030.00-0.03-1.00-2.54-4.45-5.90-6.89-11.09
Average Gain3.295.046.708.357.936.546.297.483.66
Average Loss-3.45-5.16-6.16-7.92-8.91-9.70-9.96-10.59-15.21
Best Period14.0319.6824.3820.2330.6221.8113.9323.8210.55
Worst Period-8.30-14.17-14.24-17.78-21.94-23.14-20.91-22.22-25.00
Standard Deviation4.386.507.949.3310.469.409.079.929.69
Gain Standard Deviation3.124.505.155.227.024.744.387.154.05
Loss Standard Deviation2.383.444.144.226.195.816.056.616.01
Sharpe Ratio (1%)-0.01-0.04-0.07-0.21-0.39-0.69-0.98-1.10-1.67
Average Gain / Average Loss0.950.981.091.060.890.670.630.710.24
Profit / Loss Ratio1.021.000.990.780.540.320.210.180.07
Downside Deviation (10%)3.145.096.9210.3414.0617.3523.4530.0939.87
Downside Deviation (5%)2.954.495.657.479.5310.7312.4014.3118.75
Downside Deviation (0%)2.914.355.356.798.529.2810.0611.0914.42
Sortino Ratio (10%)-0.12-0.24-0.36-0.58-0.72-0.85-0.92-0.95-0.97
Sortino Ratio (5%)-0.02-0.06-0.09-0.27-0.42-0.60-0.72-0.77-0.86
Sortino Ratio (0%)0.010.000.00-0.15-0.30-0.48-0.59-0.62-0.77

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.