Tyche Capital Advisors LLC : Institutional Spreads

archived programs
Year-to-Date
N / A
Jul Performance
0.43%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
3.87%
Sharpe (RFR=1%)
-0.60
CAROR
-1.39%
Assets
$ 750k
Worst DD
-15.05
S&P Correlation
-0.10

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
3/2014
Institutional Spreads 0.43 0.00 - -5.21 -9.98 - - -6.00
S&P 500 3.60 6.35 - 13.03 32.51 - - 43.37
+/- S&P 500 -3.17 -6.35 - -18.23 -42.49 - - -49.37

Strategy Description

Summary

TCA Institutional Spreads Program is a low-vol, niche program that employs trading in longer duration calendar spreads in the Crude oil and Brent markets throughout the structure of the forward curve of several calendar spread markets. The model is primarily a discretionary model,... 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
$4.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
0%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
85.00%
Intraday
5.00%

Decision-Making

Discretionary
90.00%
Systematic
10.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

TCA Institutional Spreads Program is a low-vol, niche program that employs trading in longer duration calendar spreads in the Crude oil and Brent markets throughout the structure of the forward curve of several calendar spread markets. The model is primarily a discretionary model, where analysis are consistently performed on several factors; including geo political headlines, supply outages, inventory levels in Cushing, OK and weather events. Fundamental analysis are used to anticipate trends that lead to profitable trading opportunities. TCA also uses a custom proprietary statistical and analytical software that provides position entry and exit signals based upon custom technical algorithms, indicators and formulas derived from price action, volume and market statistics. TCA combines these fundamental and technical methods with a disciplined risk control methodology.

Investment Strategy

TCA Institutional Spreads Program is a low-vol, niche program that employs trading in longer duration calendar spreads in the Crude oil and Brent markets throughout the structure of the forward curve of several calendar spread markets. The model is primarily a discretionary model, where analysis are consistently performed on several factors; including geo political headlines, supply outages, inventory levels in Cushing, OK and weather events. Fundamental analysis are used to anticipate trends that lead to profitable trading opportunities. TCA also uses a custom proprietary statistical and analytical software that provides position entry and exit signals based upon custom technical algorithms, indicators and formulas derived from price action, volume and market statistics. TCA combines these fundamental and technical methods with a disciplined risk control methodology.

   

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
-15.05 39 - 3/1/2015 6/1/2018
-1.09 2 3 3/1/2014 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
11.09 10 6/1/2014 3/1/2015
2.28 3 5/1/2016 7/1/2016
2.22 2 6/1/2015 7/1/2015
2.14 3 11/1/2015 1/1/2016
0.85 2 10/1/2016 11/1/2016
0.84 1 6/1/2017 6/1/2017
0.43 1 7/1/2018 7/1/2018
0.28 1 4/1/2017 4/1/2017
0.27 1 3/1/2014 3/1/2014
0.08 1 8/1/2017 8/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.75 10 9/1/2017 6/1/2018
-5.27 2 4/1/2015 5/1/2015
-3.15 3 2/1/2016 4/1/2016
-2.41 4 12/1/2016 3/1/2017
-2.13 3 8/1/2015 10/1/2015
-1.77 1 7/1/2017 7/1/2017
-1.09 2 4/1/2014 5/1/2014
-1.08 1 5/1/2017 5/1/2017
-0.77 2 8/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable47.1737.2533.3328.5727.7826.6738.89
Average Period Return-0.11-0.33-0.51-1.52-2.44-3.05-4.86
Average Gain0.802.213.854.434.464.512.67
Average Loss-0.92-1.84-2.70-3.89-5.09-5.80-9.65
Best Period2.756.6310.409.967.116.543.66
Worst Period-2.71-5.08-4.95-9.31-10.78-11.02-12.59
Standard Deviation1.122.523.914.765.115.326.54
Gain Standard Deviation0.712.043.733.702.471.641.15
Loss Standard Deviation0.711.231.322.532.842.922.62
Sharpe Ratio (1%)-0.17-0.23-0.26-0.53-0.77-0.95-1.21
Average Gain / Average Loss0.871.201.431.140.880.780.28
Profit / Loss Ratio0.770.710.710.460.340.280.18
Downside Deviation (10%)1.102.634.417.9511.2314.3021.58
Downside Deviation (5%)0.891.912.824.646.097.1210.13
Downside Deviation (0%)0.841.752.443.904.935.547.79
Sortino Ratio (10%)-0.47-0.59-0.68-0.82-0.89-0.93-0.96
Sortino Ratio (5%)-0.22-0.30-0.36-0.54-0.65-0.71-0.78
Sortino Ratio (0%)-0.13-0.19-0.21-0.39-0.49-0.55-0.62

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.