TYL Trading : Blend Diversified

archived programs
Year-to-Date
N / A
Apr Performance
-1.05%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.61%
Sharpe (RFR=1%)
0.64
CAROR
8.59%
Assets
$ 11.0M
Worst DD
-11.58
S&P Correlation
0.02

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/2005
Blend Diversified -1.05 - - - - - 10.16 89.42
S&P 500 1.81 - - - - - 74.20 193.71
+/- S&P 500 -2.86 - - - - - -64.04 -104.29

Strategy Description

Summary

TYL’s Blend Diversified Program (BDP) trades an adaptive model which constantly analyzes and adjusts to current market volatility, correlation and price patterns. The BDP utilizes a multi strategy approach which incorporates techniques for trending and non-trending markets. This... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $9.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Composition

Summary

TYL’s Blend Diversified Program (BDP) trades an adaptive model which constantly analyzes and adjusts to current market volatility, correlation and price patterns. The BDP utilizes a multi strategy approach which incorporates techniques for trending and non-trending markets. This model diversifies across markets, market sectors, trading signals and time frames. Ideally, the BDP aims at maintaining a diversified portfolio of physical commodities and financial futures. TYL uses a technical and quantitative analysis approach to the markets. The BDP was formulated from the results of extensive historical futures market testing. TYL’s focus is on the medium to short term trades with filters to reduce the amount of time involved in trendless market activity. This keeps the BDP’s current average margin unusually low at 4% to 6%. TYL employs a number of strict disciplines concerning risk management for its Blend Diversified Program. The system employs a systemization of trading rules, money management principles and volatility adjusted features for individual trades as well as the overall portfolio.

Risk Management

The BDP model consists of multiple entry and exit signals with the risk allotment of each signal based upon the probability of its success and correlation to the overall portfolio. Ongoing research continuously monitors the trading model while testing for new and more efficient signals.

   

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
-11.58 7 6 4/1/2011 11/1/2011
-8.04 7 1 2/1/2008 9/1/2008
-7.36 4 1 4/1/2010 8/1/2010
-6.66 7 - 9/1/2012 4/1/2013
-4.68 9 6 6/1/2006 3/1/2007
-3.81 2 2 1/1/2009 3/1/2009
-3.70 5 1 5/1/2009 10/1/2009
-3.63 1 1 12/1/2010 1/1/2011
-3.44 1 1 10/1/2010 11/1/2010
-3.35 2 2 11/1/2009 1/1/2010
-2.88 1 2 1/1/2006 2/1/2006
-2.03 2 2 8/1/2005 10/1/2005
-1.50 1 2 5/1/2012 6/1/2012
-1.01 1 1 2/1/2011 3/1/2011
-0.30 1 1 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
36.75 7 8/1/2007 2/1/2008
14.44 6 12/1/2011 5/1/2012
13.55 2 4/1/2009 5/1/2009
12.16 2 10/1/2008 11/1/2008
11.74 2 9/1/2010 10/1/2010
7.35 1 8/1/2005 8/1/2005
7.04 1 4/1/2011 4/1/2011
6.89 4 3/1/2006 6/1/2006
6.73 1 12/1/2010 12/1/2010
5.23 3 11/1/2005 1/1/2006
4.64 3 7/1/2012 9/1/2012
4.42 3 2/1/2010 4/1/2010
4.15 1 11/1/2009 11/1/2009
3.84 1 2/1/2011 2/1/2011
3.41 2 10/1/2006 11/1/2006
2.80 1 6/1/2008 6/1/2008
2.58 2 7/1/2011 8/1/2011
1.85 1 2/1/2007 2/1/2007
1.77 2 12/1/2012 1/1/2013
1.01 1 4/1/2007 4/1/2007
0.94 1 1/1/2009 1/1/2009
0.46 1 8/1/2008 8/1/2008
0.29 1 8/1/2006 8/1/2006
0.27 1 4/1/2008 4/1/2008
0.01 1 7/1/2010 7/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.51 2 5/1/2011 6/1/2011
-6.80 3 9/1/2011 11/1/2011
-5.25 3 2/1/2013 4/1/2013
-5.24 2 5/1/2010 6/1/2010
-3.81 2 2/1/2009 3/1/2009
-3.70 5 6/1/2009 10/1/2009
-3.63 1 1/1/2011 1/1/2011
-3.53 1 7/1/2008 7/1/2008
-3.45 2 12/1/2006 1/1/2007
-3.44 1 11/1/2010 11/1/2010
-3.35 2 12/1/2009 1/1/2010
-3.19 2 10/1/2012 11/1/2012
-3.08 1 5/1/2008 5/1/2008
-2.98 1 3/1/2008 3/1/2008
-2.88 1 2/1/2006 2/1/2006
-2.79 1 3/1/2007 3/1/2007
-2.24 1 8/1/2010 8/1/2010
-2.24 1 9/1/2006 9/1/2006
-2.10 1 9/1/2008 9/1/2008
-2.03 2 9/1/2005 10/1/2005
-1.64 1 7/1/2006 7/1/2006
-1.50 1 6/1/2012 6/1/2012
-1.01 1 3/1/2011 3/1/2011
-0.91 3 5/1/2007 7/1/2007
-0.30 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable54.8458.2465.9182.9398.6898.57100.00100.00100.00
Average Period Return0.752.194.539.4814.4820.8733.5247.4261.42
Average Gain2.925.638.2211.9914.6921.2233.5247.4261.42
Average Loss-1.88-2.61-2.61-2.72-0.95-2.66
Best Period17.9322.2436.5133.0641.9654.0256.0275.9182.35
Worst Period-5.78-6.80-11.27-4.43-0.95-2.6610.1222.9829.90
Standard Deviation3.645.617.369.7011.1913.1513.5013.9812.29
Gain Standard Deviation3.534.796.248.7111.1212.9313.5013.9812.29
Loss Standard Deviation1.261.912.441.45
Sharpe Ratio (1%)0.180.350.550.871.161.442.263.104.58
Average Gain / Average Loss1.552.163.154.4215.447.99
Profit / Loss Ratio1.883.016.0821.451158.27551.17
Downside Deviation (10%)1.752.773.323.482.232.461.13
Downside Deviation (5%)1.562.212.301.650.310.57
Downside Deviation (0%)1.522.082.071.260.110.32
Sortino Ratio (10%)0.200.350.621.293.094.3215.77
Sortino Ratio (5%)0.430.881.755.1541.5532.97
Sortino Ratio (0%)0.501.052.187.51132.7565.76

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.