Tzanetatos Capital Management LLC : Global Titan Original Program

archived programs
Year-to-Date
N / A
Jun Performance
35.85%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
43.49%
Sharpe (RFR=1%)
-0.07
CAROR
-13.83%
Assets
$ 440k
Worst DD
-88.15
S&P Correlation
-0.32

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Global Titan Original Program 35.85 - - - - - -83.29 -73.82
S&P 500 -1.50 - - - - - 64.80 214.43
+/- S&P 500 37.35 - - - - - -148.09 -288.25

Strategy Description

Summary

The trading program's (The Program) principal investment objective is capital appreciation through speculative trading of commodity and financial interests. It seeks to identify, leverage and trade positive as well as negative trends at the macroeconomic level on the domestic and global... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
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 1250 RT/YR/$M
Avg. Margin-to-Equity 15%
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 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Summary

The trading program's (The Program) principal investment objective is capital appreciation through speculative trading of commodity and financial interests. It seeks to identify, leverage and trade positive as well as negative trends at the macroeconomic level on the domestic and global capital markets. The investment process applied is discretionary. It constitutes the synthesis of fundamental, macroeconomic, internal market dynamics, technical, quantitative and risk management analysis of capital market conditions to capitalize on price movements through the deployment of thematic driven strategies and to implement strategic and tactical allocation decisions. Trading program's risk parameters are also set within the context of overall portfolio exposure. Although the program is designed and could employ an arsenal of varied exchange and over the counter traded instruments which could include Foreign Exchange, Exchange Traded funds (ETF'S), Broad and Narrow Exchange traded indices, individual equities, swaps, options and fixed income, the emphasis is on trading listed financial futures, such as currencies, interest rates, indices, commodities and options in the major domestic and international futures and capital markets. The Trading Advisor is a discretionary trader that bases its trading decisions on a combination of fundamental, macroeconomic and political analysis and technical indicators. The Trading Advisor combines extensive fundamental knowledge of the international situation with technical experience derived from direct involvement with the world's largest financial markets and exchanges. The Trading Advisor intends to construct, manage, and maintain a trading and investment portfolio that leverages global macroeconomic trends to maximize capital appreciation within a given degree of risk tolerance, taking into account liquidity requirements. The Trading Advisor's trading methodology encompasses a strategic evaluation management system through which it seeks to identify emerging social, economic, and political trends globally. Within the context of a longer term perspective the Trading Advisor seeks to identify and trade trends of short, medium and longer term nature. The trading advisor is not precluded from engaging in active daily trading activity as part of strategies deployed but the emphasis is on longer duration trades and market trends. The trading program includes analyses of capital market conditions, and takes account of internal capital market dynamics, business cycles, and cross-border capital movements. The strategies employed use a variety of instruments and asset classes to express directional views, both long and short. The Trading Advisor believes that the development of Trading Methodology is a continual process. The Trading Advisor constantly evaluates trading methods in the various commodity and financial markets it trades and modifies or changes the implementation of its trading strategy accordingly without prior notice or approval by the managed program's clients. The thematic-driven strategies include macro or global directional investment strategies, which require that positions be taken in a wide variety of primarily liquid markets based on perceived broad economic trends. Such strategies could be deployed across the investment spectrum in all the major global capital markets in any asset class, including equities, fixed income, foreign exchange, commodities and financial futures and options. The Program identifies negative, as well as positive, trends at the macroeconomic level and overvalued, as well as undervalued, securities and markets. It intends to capitalize on upward as well as downward price movements of the various traded instruments in the global capital markets. Consequently, the Program's portfolio may include both long and short positions, as appropriate. Depending upon the Investment Manager's view of the market and particular markets, short positions may be substantial. Risk Management. An integral consideration in the

Risk Management

Investment Manager's trading and investment analysis and decision-making process is risk management. In order to maintain appropriate levels of risk and volatility, the Investment Manager monitors the portfolio continuously throughout the trading day in all world markets. It seeks to identify and quantify the sources of risk and employs modeling tools to demonstrate how changes in the relevant markets would affect the value and liquidity of various portfolio positions and the overall performance of the Program. Trading program's risk parameters are also set within the context of overall portfolio exposure.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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Sharpe Ratio: (RF=1%)
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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
-88.15 12 - 5/1/2012 5/1/2013
-39.77 14 7 8/1/2010 10/1/2011
-37.72 22 4 12/1/2005 10/1/2007
-11.75 6 3 12/1/2004 6/1/2005
-9.41 17 1 11/1/2008 4/1/2010
-9.28 2 2 3/1/2008 5/1/2008
-3.55 2 3 1/1/0001 8/1/2004
-1.19 2 1 5/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
94.37 5 11/1/2007 3/1/2008
64.49 2 4/1/2012 5/1/2012
45.23 2 11/1/2011 12/1/2011
35.85 1 6/1/2013 6/1/2013
28.58 6 7/1/2005 12/1/2005
24.89 2 5/1/2011 6/1/2011
20.40 6 6/1/2008 11/1/2008
14.19 2 8/1/2011 9/1/2011
10.83 1 5/1/2010 5/1/2010
7.98 1 2/1/2013 2/1/2013
6.53 1 2/1/2007 2/1/2007
6.01 2 6/1/2007 7/1/2007
5.68 1 7/1/2012 7/1/2012
5.61 1 2/1/2005 2/1/2005
4.98 4 9/1/2004 12/1/2004
4.79 1 7/1/2006 7/1/2006
4.69 3 3/1/2006 5/1/2006
4.44 1 1/1/2009 1/1/2009
3.94 1 8/1/2010 8/1/2010
3.69 2 7/1/2009 8/1/2009
3.31 1 1/1/2010 1/1/2010
3.14 1 10/1/2009 10/1/2009
2.67 1 3/1/2009 3/1/2009
1.19 1 5/1/2005 5/1/2005
1.13 1 12/1/2012 12/1/2012
0.78 1 11/1/2010 11/1/2010
0.52 1 10/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-87.45 3 3/1/2013 5/1/2013
-30.02 5 12/1/2010 4/1/2011
-27.81 3 1/1/2012 3/1/2012
-21.36 6 8/1/2006 1/1/2007
-18.37 1 10/1/2011 10/1/2011
-15.41 3 3/1/2007 5/1/2007
-15.07 3 8/1/2007 10/1/2007
-14.83 1 7/1/2011 7/1/2011
-13.86 2 9/1/2010 10/1/2010
-9.79 1 1/1/2013 1/1/2013
-9.28 2 4/1/2008 5/1/2008
-8.32 2 3/1/2005 4/1/2005
-7.79 3 2/1/2010 4/1/2010
-7.48 2 1/1/2006 2/1/2006
-6.33 1 6/1/2012 6/1/2012
-5.90 1 1/1/2005 1/1/2005
-5.66 1 12/1/2008 12/1/2008
-5.20 3 4/1/2009 6/1/2009
-4.28 1 6/1/2005 6/1/2005
-3.83 1 6/1/2006 6/1/2006
-3.55 2 7/1/2004 8/1/2004
-3.37 1 11/1/2012 11/1/2012
-2.93 2 11/1/2009 12/1/2009
-2.88 1 2/1/2009 2/1/2009
-1.65 1 9/1/2009 9/1/2009
-1.19 2 6/1/2010 7/1/2010
-0.35 2 8/1/2012 9/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00
Percent Profitable48.1546.2352.4355.6758.2452.9463.0186.8983.67
Average Period Return-0.16-0.251.966.858.788.7615.7824.8833.25
Average Gain7.1712.4217.3928.8333.0136.0340.8034.7446.48
Average Loss-6.97-11.14-15.04-20.76-25.02-21.91-26.87-40.48-34.55
Best Period53.4161.3384.90112.14106.81107.9996.9360.42125.48
Worst Period-73.79-87.45-87.64-88.15-82.63-81.75-87.36-86.60-84.72
Standard Deviation12.5520.6926.1334.7238.1838.1240.8331.8444.89
Gain Standard Deviation9.4016.4121.6828.0129.3329.2825.7315.8132.79
Loss Standard Deviation11.2617.6219.2119.0417.9818.4321.7734.8237.35
Sharpe Ratio (1%)-0.02-0.020.060.170.190.180.310.650.63
Average Gain / Average Loss1.031.121.161.391.321.641.520.861.35
Profit / Loss Ratio0.950.961.271.741.841.852.595.696.90
Downside Deviation (10%)9.6315.7017.8421.2624.0425.4129.1325.8730.31
Downside Deviation (5%)9.5015.2916.9319.1620.6220.6222.3519.9821.37
Downside Deviation (0%)9.4715.1916.7218.6619.8219.5420.8718.8219.85
Sortino Ratio (10%)-0.06-0.09-0.030.090.05-0.060.000.130.19
Sortino Ratio (5%)-0.03-0.030.090.310.350.330.571.041.32
Sortino Ratio (0%)-0.02-0.020.120.370.440.450.761.321.67

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.