Urban Tree Capital, LLC : UTC Plus (Proprietary)

Year-to-Date
10.69%
Sep Performance
0.75%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.51%
Sharpe (RFR=1%)
0.58
CAROR
8.78%
Assets
$ 296k
Worst DD
-14.32
S&P Correlation
-0.24

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
UTC Plus (Proprietary) 0.75 0.33 -10.69 0.70 7.84 5.00 - 91.93
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 124.51
+/- S&P 500 -0.97 -0.86 -29.42 -1.44 -28.05 -44.40 - -32.58

Strategy Description

Summary

UTC Plus program is a short-term trend following mechanical trading system. All positions are entered and liquidated within 24 hours, and only 15% of the trades hold the positions overnight. The program is diversified over multiple futures markets, which include equity, energy, metal,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$3.00
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
5000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
15.00%
Intraday
85.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Grains
20.00%
Stock Indices
20.00%
Composition Pie Chart

Summary

UTC Plus program is a short-term trend following mechanical trading system. All positions are entered and liquidated within 24 hours, and only 15% of the trades hold the positions overnight. The program is diversified over multiple futures markets, which include equity, energy, metal, FX and agricultural. Since the program is highly uncorrelated with stock market, it builds a good portfolio together with traditional stock market investments.

Investment Strategy

UTC Plus program is a short-term trend following mechanical trading system, also known as Opening Range Breakout system. The program buys a given level off of the market open and sells short a given level below. All positions are liquidated within 24 hours, and only 15% of the trades hold the positions overnight and liquidate in the next morning. The program trades multiple futures markets, which include equity, energy, metal, FX and agricultural. Target maximum risk per trade is 0.75% of the nominal account size, and target peak-to-valley worst drawdown is 15%.

Risk Management

Target maximum risk per trade is 0.75% of the nominal account size. Target peak-to-valley worst drawdown for the program is 15%.

   

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
-14.32 9 21 1/1/2015 10/1/2015
-13.59 5 - 12/1/2018 5/1/2019
-9.37 6 7 2/1/2013 8/1/2013
-7.59 2 7 4/1/2014 6/1/2014
-4.69 4 1 1/1/0001 4/1/2012
-4.46 3 3 4/1/2018 7/1/2018
-2.12 3 2 7/1/2017 10/1/2017
-1.55 1 1 5/1/2012 6/1/2012
-1.22 1 2 12/1/2017 1/1/2018
-0.71 1 1 12/1/2012 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
43.88 6 7/1/2012 12/1/2012
16.70 1 2/1/2013 2/1/2013
15.13 4 1/1/2014 4/1/2014
14.94 7 11/1/2015 5/1/2016
12.75 3 10/1/2018 12/1/2018
11.15 1 5/1/2012 5/1/2012
10.00 1 5/1/2017 5/1/2017
7.91 4 7/1/2014 10/1/2014
6.91 4 9/1/2016 12/1/2016
5.93 1 3/1/2019 3/1/2019
5.72 1 1/1/2015 1/1/2015
4.80 1 7/1/2017 7/1/2017
4.53 1 7/1/2016 7/1/2016
4.47 2 6/1/2019 7/1/2019
4.16 1 8/1/2018 8/1/2018
4.06 2 9/1/2013 10/1/2013
3.63 3 2/1/2018 4/1/2018
3.53 1 8/1/2015 8/1/2015
3.53 1 3/1/2017 3/1/2017
2.94 1 3/1/2015 3/1/2015
2.63 2 11/1/2017 12/1/2017
2.04 1 5/1/2015 5/1/2015
0.88 1 3/1/2012 3/1/2012
0.75 1 9/1/2019 9/1/2019
0.60 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.38 2 4/1/2019 5/1/2019
-10.56 2 1/1/2017 2/1/2017
-9.37 6 3/1/2013 8/1/2013
-8.53 1 2/1/2015 2/1/2015
-7.96 2 1/1/2019 2/1/2019
-7.59 2 5/1/2014 6/1/2014
-6.36 2 9/1/2015 10/1/2015
-6.11 1 6/1/2016 6/1/2016
-4.81 2 11/1/2014 12/1/2014
-4.48 1 8/1/2016 8/1/2016
-4.46 3 5/1/2018 7/1/2018
-4.42 2 6/1/2015 7/1/2015
-3.76 1 4/1/2015 4/1/2015
-2.99 1 4/1/2012 4/1/2012
-2.61 2 1/1/2012 2/1/2012
-2.51 1 4/1/2017 4/1/2017
-2.19 2 11/1/2013 12/1/2013
-2.02 1 8/1/2017 8/1/2017
-1.80 1 8/1/2019 8/1/2019
-1.55 1 6/1/2012 6/1/2012
-1.32 1 6/1/2017 6/1/2017
-1.22 1 1/1/2018 1/1/2018
-0.84 1 9/1/2018 9/1/2018
-0.71 1 1/1/2013 1/1/2013
-0.70 1 10/1/2017 10/1/2017
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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 Profitable55.9161.5463.6473.1781.5878.5791.3895.65100.00
Average Period Return0.792.465.2410.3212.5015.4118.5223.5032.15
Average Gain3.566.4710.9915.7916.5420.4620.7724.7532.15
Average Loss-2.73-3.96-4.83-4.60-5.40-3.15-5.32-4.01
Best Period16.7027.2749.6578.5372.0593.7485.6384.2482.90
Worst Period-8.53-10.22-11.62-13.78-14.02-6.95-10.59-5.925.00
Standard Deviation4.197.3312.3119.0819.4623.4623.2223.3925.31
Gain Standard Deviation3.286.4211.8719.5019.3024.1023.0223.1425.31
Loss Standard Deviation1.992.563.284.023.551.863.702.70
Sharpe Ratio (1%)0.170.300.390.490.570.570.670.831.07
Average Gain / Average Loss1.311.632.283.433.066.513.906.18
Profit / Loss Ratio1.662.613.989.3613.5623.8541.35135.86
Downside Deviation (10%)2.463.594.835.516.227.419.3110.5311.28
Downside Deviation (5%)2.283.043.763.553.312.552.701.820.02
Downside Deviation (0%)2.232.913.503.132.741.681.840.93
Sortino Ratio (10%)0.150.340.570.970.790.700.300.180.40
Sortino Ratio (5%)0.310.731.262.633.325.255.7310.671505.04
Sortino Ratio (0%)0.350.841.503.294.569.1910.0625.38

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.