Tucson Asset Management : Macro Program

archived programs
Year-to-Date
N / A
Oct Performance
2.62%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.51%
Sharpe (RFR=1%)
0.39
CAROR
6.96%
Assets
$ 8.0M
Worst DD
-25.71
S&P Correlation
-0.28

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2000
Macro Program 2.62 - - - - - -16.43 141.20
S&P 500 4.46 - - - - - 67.15 132.84
+/- S&P 500 -1.84 - - - - - -83.58 8.36

Strategy Description

Summary

TAMI's Macro trading program seeks to benefit from long-term moves in a broad basket of worldwide futures and forwards markets. A single, fully systematic model is uniformly applied to all markets traded; however, TAMI's principals on occasion may elect to modify positions in order... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -25.00%
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 0%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Composition

Summary

TAMI's Macro trading program seeks to benefit from long-term moves in a broad basket of worldwide futures and forwards markets. A single, fully systematic model is uniformly applied to all markets traded; however, TAMI's principals on occasion may elect to modify positions in order to manage program risk.

Though the portfolio may change over time, it is anticipated that the program will continually trade in 30-40 markets. The program will always have a position in each market within the portfolio with no long or short bias. The long-term nature of this program results in a low correlation to TAMI's other trading programs.

Position size in the markets traded is derived from TAMI's return and drawdown targets. The Macro program targets an average annual return of 15-25% with annual expected drawdowns of 10-15% and an occasional drawdown of 20-25%.

   

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
-25.71 27 - 4/1/2011 7/1/2013
-24.55 7 1 2/1/2008 9/1/2008
-24.26 7 25 2/1/2003 9/1/2003
-18.16 6 5 10/1/2001 4/1/2002
-12.06 2 15 11/1/2009 1/1/2010
-10.43 2 3 9/1/2002 11/1/2002
-10.43 2 5 5/1/2006 7/1/2006
-7.39 1 1 12/1/2007 1/1/2008
-7.29 1 1 9/1/2009 10/1/2009
-7.28 2 1 2/1/2009 4/1/2009
-5.66 3 2 11/1/2005 2/1/2006
-5.27 2 1 6/1/2007 8/1/2007
-4.31 1 1 3/1/2001 4/1/2001
-3.48 1 3 5/1/2009 6/1/2009
-2.65 1 1 6/1/2001 7/1/2001
-0.66 2 1 1/1/2007 3/1/2007
-0.12 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
56.37 5 10/1/2008 2/1/2009
27.38 5 5/1/2002 9/1/2002
22.22 2 9/1/2007 10/1/2007
21.21 5 8/1/2004 12/1/2004
20.20 3 12/1/2002 2/1/2003
20.12 7 5/1/2005 11/1/2005
19.00 6 10/1/2000 3/1/2001
17.01 6 8/1/2006 1/1/2007
15.90 3 8/1/2001 10/1/2001
14.77 2 4/1/2012 5/1/2012
13.91 1 2/1/2008 2/1/2008
11.21 3 4/1/2007 6/1/2007
9.31 1 10/1/2003 10/1/2003
8.42 3 3/1/2006 5/1/2006
8.41 3 7/1/2012 9/1/2012
8.29 1 11/1/2009 11/1/2009
8.28 1 5/1/2009 5/1/2009
8.08 2 2/1/2010 3/1/2010
8.01 3 7/1/2009 9/1/2009
7.58 2 5/1/2001 6/1/2001
7.20 3 7/1/2011 9/1/2011
7.00 1 4/1/2011 4/1/2011
6.50 1 4/1/2013 4/1/2013
6.41 3 8/1/2013 10/1/2013
5.65 1 6/1/2008 6/1/2008
5.63 1 12/1/2010 12/1/2010
5.25 1 12/1/2003 12/1/2003
5.09 1 8/1/2003 8/1/2003
4.87 1 2/1/2004 2/1/2004
3.43 1 8/1/2010 8/1/2010
3.09 1 3/1/2005 3/1/2005
2.62 1 10/1/2010 10/1/2010
2.28 1 1/1/2002 1/1/2002
2.12 1 1/1/2013 1/1/2013
2.10 1 12/1/2007 12/1/2007
1.60 1 5/1/2003 5/1/2003
1.43 1 6/1/2010 6/1/2010
1.02 1 2/1/2012 2/1/2012
0.02 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.37 3 3/1/2008 5/1/2008
-15.98 2 10/1/2011 11/1/2011
-14.73 5 3/1/2004 7/1/2004
-13.82 1 9/1/2003 9/1/2003
-12.54 3 2/1/2002 4/1/2002
-12.06 2 12/1/2009 1/1/2010
-10.76 2 6/1/2003 7/1/2003
-10.43 2 10/1/2002 11/1/2002
-10.43 2 6/1/2006 7/1/2006
-10.32 3 7/1/2008 9/1/2008
-10.22 3 10/1/2012 12/1/2012
-9.97 3 5/1/2013 7/1/2013
-9.19 2 5/1/2011 6/1/2011
-8.51 2 11/1/2001 12/1/2001
-7.76 2 3/1/2003 4/1/2003
-7.39 1 1/1/2008 1/1/2008
-7.29 1 10/1/2009 10/1/2009
-7.28 2 3/1/2009 4/1/2009
-6.99 1 3/1/2012 3/1/2012
-6.45 2 2/1/2013 3/1/2013
-5.66 3 12/1/2005 2/1/2006
-5.27 2 7/1/2007 8/1/2007
-4.96 2 1/1/2005 2/1/2005
-4.62 1 11/1/2010 11/1/2010
-4.43 3 1/1/2011 3/1/2011
-4.31 1 4/1/2001 4/1/2001
-3.94 1 4/1/2005 4/1/2005
-3.57 1 6/1/2012 6/1/2012
-3.48 1 6/1/2009 6/1/2009
-2.65 1 7/1/2001 7/1/2001
-2.51 1 7/1/2010 7/1/2010
-2.03 1 1/1/2012 1/1/2012
-0.77 2 4/1/2010 5/1/2010
-0.75 1 9/1/2010 9/1/2010
-0.66 2 2/1/2007 3/1/2007
-0.38 1 1/1/2004 1/1/2004
-0.12 1 11/1/2007 11/1/2007
-0.10 1 11/1/2003 11/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable55.4154.8461.8466.4472.8670.1578.6989.0997.96
Average Period Return0.712.053.827.3311.2115.8827.1842.3760.09
Average Gain4.388.5711.1014.9018.8826.9437.7249.2761.36
Average Loss-3.84-5.86-7.98-7.67-9.37-10.13-11.71-13.98-1.11
Best Period32.6853.0853.9163.6659.1367.7290.85109.81132.70
Worst Period-13.82-20.37-23.34-24.29-22.00-21.64-20.21-21.73-1.29
Standard Deviation5.639.9212.8715.4217.6622.4029.5633.9334.44
Gain Standard Deviation4.508.3910.4013.0014.0516.8824.0529.1533.63
Loss Standard Deviation2.914.255.785.845.956.645.594.880.26
Sharpe Ratio (1%)0.110.180.260.410.550.620.821.131.60
Average Gain / Average Loss1.141.461.391.942.022.663.223.5255.50
Profit / Loss Ratio1.421.772.253.855.416.2511.8928.782664.20
Downside Deviation (10%)3.435.557.388.169.4811.8413.3812.636.30
Downside Deviation (5%)3.254.996.326.046.447.547.276.160.89
Downside Deviation (0%)3.214.866.075.575.766.595.974.870.16
Sortino Ratio (10%)0.090.150.180.290.380.480.851.655.15
Sortino Ratio (5%)0.190.360.521.051.511.843.326.2161.90
Sortino Ratio (0%)0.220.420.631.321.952.414.558.70375.37

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.