Turk Capital LLC : Long Short Oil

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
15.50%
Min Investment
$ 125k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
27.83%
Sharpe (RFR=1%)
-1.14
CAROR
-
Assets
$ 75k
Worst DD
-53.22
S&P Correlation
0.23

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2018
Long Short Oil 15.50 - - - - - - -45.97
S&P 500 1.31 - - - - - - 36.76
+/- S&P 500 14.19 - - - - - - -82.72

Strategy Description

Summary

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Account & Fees

Type Managed Account
Minimum Investment $ 125k
Trading Level Incremental Increase $ 75k
CTA Max Funding Factor 2.50
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $6.00
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 600 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 25.00%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Investment Strategy

The Turk Capital U.S. Oil Long Short Strategy (the “Strategy”) is a managed futures program. The Strategy adjusts its allocations in WTI Oil futures (CL Commodity) based on a proprietary machine learning algorithm and quantitative analysis. The model is based on tracking the demand of oil inventory and the amount of capital invested into oil funds. Employing information derived from the model, the Strategy seeks to enhance returns by shifting an allocation of assets in a client’s account among positions between 100% allocated to a short position in WTI Oil Futures contracts to 100% allocated to a long position in WTI Oil Futures contracts.

   

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
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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
-53.22 -1 - 1/1/0001 6/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.50 1 7/1/2019 7/1/2019
5.45 2 8/1/2018 9/1/2018
5.28 1 4/1/2019 4/1/2019
5.26 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.59 3 10/1/2018 12/1/2018
-28.70 4 4/1/2018 7/1/2018
-9.09 2 5/1/2019 6/1/2019
-7.01 2 2/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0014.0011.00
Percent Profitable33.3328.5718.18
Average Period Return-2.56-9.41-19.94
Average Gain6.2810.1819.44
Average Loss-6.98-17.24-28.69
Best Period15.5033.0036.08
Worst Period-16.48-51.12-53.22
Standard Deviation8.0319.3522.99
Gain Standard Deviation5.3415.3323.53
Loss Standard Deviation4.7514.9610.84
Sharpe Ratio (1%)-0.33-0.50-0.89
Average Gain / Average Loss0.900.590.68
Profit / Loss Ratio0.450.240.15
Downside Deviation (10%)7.0619.6929.66
Downside Deviation (5%)6.8419.0427.97
Downside Deviation (0%)6.7818.8827.55
Sortino Ratio (10%)-0.42-0.54-0.76
Sortino Ratio (5%)-0.39-0.51-0.73
Sortino Ratio (0%)-0.38-0.50-0.72

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.