Turk Capital LLC : US Market Hedge Strategy

Year-to-Date
7.86%
May Performance
0.69%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.77%
Sharpe (RFR=0%)
-0.07
CAROR
0.12%
Assets
$ 2.7M
Worst DD
-10.20
S&P Correlation
0.80

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
11/2015
US Market Hedge Strategy 0.69 -3.56 -7.86 -0.52 7.84 - - 0.55
S&P 500 4.53 3.05 -5.77 10.62 24.94 - - 44.84
+/- S&P 500 -3.84 -6.61 -2.09 -11.14 -17.11 - - -44.30

Strategy Description

Summary

The Turk Capital U.S. Market Hedge Strategy (the “Strategy”) is a managed futures program. Investors will benefit from one of four potential S&P 500 Future positions: 100% short, flat, 100% long or 100% long. The Strategy does not employ any other positions or use any other instru... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
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 500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 24.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months
4-12 Months 25.00%
1-3 Months 35.00%
1-30 Days 40.00%
Intraday

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Turk Capital U.S. Market Hedge Strategy (the “Strategy”) is a managed futures program. Investors will benefit from one of four potential S&P 500 Future positions: 100% short, flat, 100% long or 100% long. The Strategy does not employ any other positions or use any other instruments.

   

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
-10.20 3 - 12/1/2019 3/1/2020
-8.39 13 13 11/1/2015 12/1/2016
-5.81 3 3 9/1/2018 12/1/2018
-4.58 1 1 4/1/2019 5/1/2019
-3.11 2 4 1/1/2018 3/1/2018
-1.46 1 2 7/1/2019 8/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
8.15 4 1/1/2019 4/1/2019
6.65 5 9/1/2017 1/1/2018
6.39 6 4/1/2018 9/1/2018
5.32 2 3/1/2016 4/1/2016
5.31 2 6/1/2019 7/1/2019
4.04 4 9/1/2019 12/1/2019
2.92 4 4/1/2017 7/1/2017
2.61 2 4/1/2020 5/1/2020
1.07 1 9/1/2016 9/1/2016
0.55 1 11/1/2018 11/1/2018
0.53 2 1/1/2017 2/1/2017
0.24 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.20 3 1/1/2020 3/1/2020
-6.62 4 11/1/2015 2/1/2016
-4.58 1 5/1/2019 5/1/2019
-4.53 3 10/1/2016 12/1/2016
-3.96 1 10/1/2018 10/1/2018
-3.11 2 2/1/2018 3/1/2018
-2.74 2 7/1/2016 8/1/2016
-2.46 1 12/1/2018 12/1/2018
-1.46 1 8/1/2019 8/1/2019
-0.98 1 5/1/2016 5/1/2016
-0.18 1 3/1/2017 3/1/2017
-0.04 1 8/1/2017 8/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable61.8258.4964.0063.6481.5884.3890.00
Average Period Return0.030.040.792.304.316.629.02
Average Gain1.272.593.135.716.258.0910.14
Average Loss-2.06-3.56-3.38-3.68-4.29-1.30-1.09
Best Period4.866.468.2111.4113.1114.4919.11
Worst Period-6.55-10.20-7.72-8.38-7.48-2.88-2.05
Standard Deviation2.243.693.875.445.475.075.76
Gain Standard Deviation1.231.632.253.063.734.024.86
Loss Standard Deviation2.082.582.292.843.041.041.35
Sharpe Ratio (1%)-0.02-0.060.070.240.510.911.04
Average Gain / Average Loss0.620.730.931.551.466.229.28
Profit / Loss Ratio1.051.031.652.726.4533.6183.48
Downside Deviation (10%)1.933.503.835.686.136.048.71
Downside Deviation (5%)1.782.942.683.272.781.401.46
Downside Deviation (0%)1.742.812.432.772.200.630.46
Sortino Ratio (10%)-0.19-0.34-0.44-0.48-0.54-0.60-0.77
Sortino Ratio (5%)-0.03-0.070.110.401.013.304.10
Sortino Ratio (0%)0.020.010.320.831.9610.4919.64

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 10 1.11 11/2019
Stock Index Trader Index Month 10 1.24 9/2019
Stock Index Trader Index Month 4 4.86 6/2019
Stock Index Trader Index Month 10 1.59 4/2019
Stock Index Trader Index Month 7 1.59 4/2019
Stock Index Trader Index Month 10 0.79 3/2019
Stock Index Trader Index Month 10 1.52 2/2019
Stock Index Trader Index Month 10 1.52 2/2019
Stock Index Trader Index Month 10 1.52 2/2019
Stock Index Trader Index Month 8 1.52 2/2019
Stock Index Trader Index Month 6 4.04 1/2019
Stock Index Trader Index Month 8 2.58 7/2018
Stock Index Trader Index Month 7 1.58 5/2018
Stock Index Trader Index Month 9 2.17 1/2018
Stock Index Trader Index Month 9 1.45 10/2017
Stock Index Trader Index Month 7 1.22 9/2017
Stock Index Trader Index Month 10 1.23 7/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.