Taaffeite Capital Management, LLC
TCM Global Index Fund
Report Start Date: Jul-2013 | End Date: Dec-2024
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Current Return: +1.99%
YTD Return: +42.14%
Annualized Return: +17.43%
AUM: $ 20,000,000
Trading Strategy

Statistical Arbitrage / Short Term

Program Description

TCM Liquid Alpha Program seeks opportunities across global foreign exchange and futures markets. Proprietary algorithms execute trades to profit from anomalies in the prices of correlated assets which arise due to the tendency of market participants sentiment to overreact in the short term. The TCM Liquid Alpha Program is a statistical arbitrage strategy trading a portfolio of short-term positions across global markets with no directional bias. It has a low sensitivity to macro factors and most hedge fund strategies thus bringing a significant diversification benefit as part of a portfolio of liquid alternative strategies.

Program Statistics
Peak-to-Valley Drawdown (2) -57.45%
    From Aug 2021 to Oct 2023
Worst Month (Mar 2020) -19.46%
Current Losing Streak -16.46%
Average Monthly Return 1.65%
Monthly Std. Deviation 7.92%
Gain Deviation (87 months) 6.12%
Loss Deviation (51 months) 5.14%
Gain to Loss Ratio 1.07
Omega Ratio (5% Threshold) 1.57
Annualized Performance
Compound ROR (1) 17.43%
Standard Deviation27.45%
Downside Deviation15.68%
Sharpe Ratio (3) 2% RF ROR 0.71
Sortino Ratio (4) 5% MAR 1.03
Calmar Ratio (5)-0
Sterling Ratio (6) -0
Gain Deviation21.2%
Loss Deviation17.79%
Profit Loss Ratio1.82
Investment Information
Program Start Date Jul-2013
Percent Systematic 100%
Currency Denomination - US Dollars
Minimum Investment $5,000,000
Minimum Fund Investment $500,000
Management Fee 1.00%
Incentive Fee 0.00
NFA No: #0498208
QEPs or Non US Investors Only
Performance Since July 2013 | Track Record Compiled By: N/A | Please See Accounting Notes
JanFebMarAprMayJunJulAugSepOctNovDecRORMax DD
202413.97%35.73%8.97%-12.44%10.73%-0.71%-7.61%-16.04%2.50%-7.85%17.23%1.99%42.14%-29.47%
20231.59%-5.82%5.03%-2.73%-3.89%5.00%14.82%-13.10%-7.95%-3.93%17.31%17.73%20.22%-23.15%
2022-13.72%1.24%1.29%-13.35%-6.26%-8.08%8.29%-3.65%-6.07%3.47%-0.84%-12.04%-41.61%-41.60%
20214.98%-7.19%-9.33%4.84%0.29%9.04%20.60%1.86%-16.93%0.50%2.97%-2.61%4.16%-16.93%
202015.63%-12.47%-19.46%6.35%13.07%10.09%17.14%16.55%6.56%0.38%19.82%4.40%97.15%-29.50%
2019-0.24%-0.06%0.36%-1.13%-0.20%-2.27%-0.10%-5.27%3.01%-13.91%5.39%-5.27%-19.16%-19.20%
20183.85%-3.35%2.32%0.89%-0.98%2.48%0.24%1.79%-2.34%-1.62%-4.10%0.69%-0.46%-7.86%
2017-0.34%1.93%1.82%3.79%-1.41%0.82%0.32%-4.44%4.48%6.05%2.26%0.32%16.28%-4.71%
2016-2.70%1.29%3.70%4.17%3.13%3.97%1.29%-0.71%1.33%-1.32%2.30%12.11%31.66%-2.70%
20151.38%3.11%10.89%3.15%11.40%-1.60%2.65%6.58%10.77%7.40%2.20%-4.47%66.55%-4.47%
2014-0.90%6.26%3.43%1.23%3.86%0.41%-1.81%3.02%1.03%4.05%-1.12%-1.50%19.08%-2.60%
2013––––––1.87%5.31%3.91%4.26%4.39%4.44%26.71%0.00%
   Monthly Return and $1,000 VAMI

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Taaffeite Capital Management, LLC
TCM Global Index Fund
Report Start Date: Jul-2013 | End Date: Dec-2024
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Time Window Analysis
Length Best Average Worst
1 mo 35.7% 1.7% -19.5%
3 mo 82.1% 5.2% -25.3%
6 mo 123.7% 10.9% -34%
12 mo 113.6% 22.8% -42.3%
18 mo 149.9% 32% -53.2%
24 mo 122.8% 39.9% -51.9%
36 mo 186.9% 55% -35.2%
Drawdowns and Recoveries
Start End Drawdown Recovery
Sep-21n/a-57.45%14 mo
Sep-18Aug-20-38.86%5 mo
Feb-21Jul-21-15.85%4 mo
Dec-15Apr-16-7.05%3 mo
May-17Oct-17-4.71%2 mo
Feb-18Jun-18-3.35%4 mo
Drawdown Periods Since Jul 2013
Distribution of Monthly Returns
Statistical Comparisons Taaffeite Capital Mgt
TCM Global Index Fund		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)17.43%3.06%14.04%
Cumulative Return534.40%41.46%353.01%
Cumulative VAMI(7)6,3441,4154,530
Best Monthly Return35.73%2.99%12.82%
Worst Monthly Return-19.46%-5.53%-12.35%
Annual Standard Deviation27.45%4.04%14.66%
Profit Loss Ratio1.821.842.03
Correlation—0.150.51
Last Month1.99%0.30%-2.38%
Last 12 Months42.14%4.56%25.02%
Last 36 Months-0.21%13.01%29.30%
Growth of $1,000 VAMI Comparison

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Taaffeite Capital Management, LLC
TCM Global Index Fund
Report Start Date: Jul-2013 | End Date: Dec-2024
Print to PDF
Accounting Notes

Prior to May 2018 TLAP was implemented as a CTA running managed accounts before the implementation into the Cortana Fund structure, and the TCM Global Index Fund from Oct 1, 2018.

Other Fees

None

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

    1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
    2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Jul-2013 and Dec-2024
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
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