Tulloss Capital Management, LLC : Tulloss Diversified Strategy

archived programs
Year-to-Date
N / A
Jun Performance
6.24%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.06%
Sharpe (RFR=1%)
0.53
CAROR
8.13%
Assets
$ 1.9M
Worst DD
-22.21
S&P Correlation
-0.12

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Tulloss Diversified Strategy 6.24 - - - - 1.15 - 31.46
S&P 500 0.33 - - - - 77.64 - 94.36
+/- S&P 500 5.91 - - - - -76.49 - -62.91

Strategy Description

Summary

The Tulloss Diversified Strategy ("TDS") is a systematic pattern recognition model derived from the price behavior of futures markets as opposed to mathematical modeling concepts. The strategy is a technical system by nature, though the central components and continued development... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 4.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough -9.56%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 2.00%
1-3 Months 10.00%
1-30 Days 86.00%
Intraday 2.00%

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Interest Rates
14.00%
Grains
13.00%
Stock Indices
13.00%
Currency Futures
12.00%
Precious Metals
12.00%
Energy
12.00%
Softs
12.00%
Industrial Metals
6.00%
Livestock
6.00%
Composition Pie Chart

Summary

The Tulloss Diversified Strategy ("TDS") is a systematic pattern recognition model derived from the price behavior of futures markets as opposed to mathematical modeling concepts. The strategy is a technical system by nature, though the central components and continued development reflect how the overall fundamental nature of markets and market sectors influence price action. In addition to the strategy’s core pattern recognition methodology, integral components include elements of volatility measurements, momentum, support and resistance and time-price analysis. The portfolio consists of a truly diversified set of global markets chosen based upon their respective correlations to each other. Further differentiating the strategy from other CTAs and contributing to the low correlation with other strategies is a targeted 65% allocation to raw agricultural and industrial commodities with the remaining 35% allocated to global interest rates, stock indices and currencies.

   

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:
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Risk
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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:
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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
-22.21 10 - 7/1/2016 5/1/2017
-8.76 1 2 11/1/2015 12/1/2015
-7.73 3 4 2/1/2014 5/1/2014
-5.28 3 2 4/1/2015 7/1/2015
-3.27 1 2 4/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
33.11 8 9/1/2014 4/1/2015
18.80 4 8/1/2015 11/1/2015
13.53 4 1/1/2016 4/1/2016
6.24 1 6/1/2017 6/1/2017
5.57 2 6/1/2014 7/1/2014
5.17 3 10/1/2016 12/1/2016
4.94 2 1/1/2014 2/1/2014
4.61 2 6/1/2016 7/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.28 5 1/1/2017 5/1/2017
-9.49 2 8/1/2016 9/1/2016
-8.76 1 12/1/2015 12/1/2015
-7.73 3 3/1/2014 5/1/2014
-5.28 3 5/1/2015 7/1/2015
-3.27 1 5/1/2016 5/1/2016
-0.88 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable61.9052.5064.8680.6584.0089.47
Average Period Return0.751.965.2514.5923.7032.36
Average Gain3.338.3812.1121.3130.1236.82
Average Loss-3.45-5.13-7.43-13.41-10.01-5.58
Best Period10.1417.4929.2836.1356.7358.11
Worst Period-8.85-13.90-15.64-20.79-18.46-7.68
Standard Deviation4.358.1911.8816.8920.6222.77
Gain Standard Deviation2.655.148.2110.2615.2219.53
Loss Standard Deviation3.093.845.106.197.342.97
Sharpe Ratio (1%)0.160.220.420.831.111.38
Average Gain / Average Loss0.961.631.631.593.016.60
Profit / Loss Ratio1.571.803.016.6215.8056.11
Downside Deviation (10%)3.025.086.578.557.495.71
Downside Deviation (5%)2.844.455.406.615.002.24
Downside Deviation (0%)2.824.385.276.404.741.93
Sortino Ratio (10%)0.110.140.421.122.153.87
Sortino Ratio (5%)0.250.410.932.134.5913.99
Sortino Ratio (0%)0.260.450.992.285.0016.73

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.