Tyche Capital Advisors LLC : TCA Institutional Spreads (Proprietary)

archived programs
Year-to-Date
N / A
Mar Performance
1.87%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.84%
Sharpe (RFR=1%)
0.07
CAROR
-
Assets
$ 100k
Worst DD
-3.88
S&P Correlation
0.00

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2012
TCA Institutional Spreads (Proprietary) 1.87 - - - - - - 1.87
S&P 500 0.69 - - - - - - 145.35
+/- S&P 500 1.18 - - - - - - -143.48

Strategy Description

Summary

The TCA Institutional Spreads Program uses the same model to generate signals as the TCA Energy Spreads Program. TCA will be employing trading in longer duration calendar spreads in the structure of the forward curve of several energy calendar spread markets. TCA will utilize the same... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 2.00%
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 7%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.00%
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 30.00%
Systematic 70.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The TCA Institutional Spreads Program uses the same model to generate signals as the TCA Energy Spreads Program. TCA will be employing trading in longer duration calendar spreads in the structure of the forward curve of several energy calendar spread markets. TCA will utilize the same models along with a discretionary overlay.

Investment Strategy

The program is comprised of several core modules that handle various aspects of the trading and management of assets allocated to the strategy including: 1) a trading signal module which triggers position entries and exits, 2) a position management module that handles position stops and trails that systematically manages profit/loss targets and thresholds, 3) a margin to equity ratio module which maintain appropriate account equity exposure and position leverage scenarios, and 4) a risk management module that incorporates several multilevel equity risk algorithms designed to control portfolio risk while maximizing profitable trades. These modules continually work in conjunction with one another to form a systematic end-to-end asset management platform. Trades signals are generated daily, however trade executions typically only occur a few times a week, it is not uncommon for an entry and exit in the same position to occur intraday depending upon market volatility. With that said, there are times when trade signal signals may not be executed for several days or weeks also due to market movements and volatility.

Risk Management

Tyche Capital Advisors uses a pro-active management style of monitoring and managing investments in relation to risk, return, capital requirements, and market directions. Policies are in place to adjust positions as needed. TCA uses conservative money management exposure guidelines. The TCA Energy Spreads Program places a huge emphasis on effective portfolio risk management to reduce exposure through effective management of leverage via appropriate margin to equity ratios. While the futures market incorporates highly leveraged products, the model only uses a small percentage of this leverage, typically 3-10%. This allows for positions to still capture profits while monitoring drawdowns and manage overall portfolio risk. Portfolios are managed with a proprietary margin to equity ratio methodology which provides a structural framework to manage portfolio exposure through continued position monitoring and scaling. In addition, portfolio risk exposure is mitigated at various times through position diversification, vertical spreading strategies, and inter and intra commodity positions as those opportunities present themselves. Multilevel Portfolio risk management algorithms constantly monitor position draw downs on a position by position basis. We find this controlled and conscious approach

   

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
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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
-3.88 8 - 12/1/2012 8/1/2013
-0.91 1 1 10/1/2012 11/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
3.62 4 9/1/2013 12/1/2013
2.19 1 2/1/2013 2/1/2013
1.90 1 12/1/2012 12/1/2012
1.87 1 3/1/2014 3/1/2014
1.14 1 10/1/2012 10/1/2012
0.38 1 4/1/2013 4/1/2013
0.27 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.58 1 1/1/2013 1/1/2013
-2.13 1 3/1/2013 3/1/2013
-1.68 2 1/1/2014 2/1/2014
-1.02 2 5/1/2013 6/1/2013
-0.98 1 8/1/2013 8/1/2013
-0.91 1 11/1/2012 11/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable55.5650.0046.1542.86
Average Period Return0.110.070.160.26
Average Gain1.131.531.911.49
Average Loss-1.16-1.39-1.34-0.67
Best Period2.193.302.882.38
Worst Period-2.58-2.57-3.45-1.64
Standard Deviation1.401.742.001.33
Gain Standard Deviation0.761.090.660.78
Loss Standard Deviation0.810.691.400.68
Sharpe Ratio (1%)0.02-0.10-0.17-0.56
Average Gain / Average Loss0.971.101.422.23
Profit / Loss Ratio1.221.101.221.67
Downside Deviation (10%)1.161.943.004.90
Downside Deviation (5%)0.971.241.651.34
Downside Deviation (0%)0.931.081.370.67
Sortino Ratio (10%)-0.25-0.60-0.77-0.97
Sortino Ratio (5%)0.03-0.14-0.21-0.55
Sortino Ratio (0%)0.120.070.120.38

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.