Tulloss Capital Management, LLC : Tulloss Diversified Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2014 Tulloss Diversified Strategy 6.24 - - - - -16.37 - 31.46 S&P 500 0.33 - - - - 77.64 - 139.70 +/- S&P 500 5.91 - - - - -94.01 - -108.25 Strategy Description SummaryThe 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% 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% SummaryThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel