Detailed: Performance Report - Hypothetical
Trading System: Tzar
Developer: Alfaranda CTA
Portfolio Size: $334,000
Program Overview:
TZAR combines aspects of both a technical trend and contra-trend trading system into one platform. Technical indicators are used to inform the system-logic as to how it should various market conditions. This unique process evaluates market data to determine the potential life-cycle of a trend or consolidation pattern and generates trading instructions based on that evaluation. TZAR is also suited to trade both long and short with no predetermined bias in either direction. On average, TZAR takes some 20/22 trades per market per year ( excluding rollovers ) and is in the market around 94% of the trading time.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$672,760 10 9/1999 6/2000
$371,457 8 12/1998 7/1999
$348,445 16 5/2002 8/2003
$339,983 14 2/1997 3/1998
$218,845 8 2/2001 9/2001
$130,125 1 11/2000 11/2000
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-111,260 6 5/2005 10/2005
$-108,825 4 7/2000 10/2000
$-56,685 3 9/1998 11/1998
$-45,180 2 10/2001 11/2001
$-39,455 3 4/2004 6/2004
$-27,705 2 12/2000 1/2001
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.31% $-111,260 4/2005 10/2005 6 1 +
-32.58% $-108,825 6/2000 10/2000 4 1
-16.97% $-56,685 8/1998 11/1998 3 2
-13.53% $-45,180 9/2001 11/2001 2 3
-11.81% $-39,455 3/2004 6/2004 3 3
-9.57% $-31,975 6/1994 12/1995 6 6
Hypothetical Performance Data
2005 (YTD)
-$44,555
Rolling 12 Month
-$38,600
Rolling 24 Month
-$5,140
Rolling 36 Month
$165,555
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$18,582
Rolling 12 Month
$18,005
Rolling 24 Month
$16,608
Rolling 36 Month
$16,582
Maximum (YTD) Drawdown
-$111,260

Rolling 3

Sharpe Ratio
-0.26
Largest Run Up
$32,470
Largest Drawdown
-$36,435
Correlation to S&P 500
NA
Average Profitable Month
$32,470
Average Unprofitable Month
-$18,218
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
-2.56
Largest Run Up
$32,470
Largest Drawdown
-$111,260
Correlation to S&P 500
0.0763
Average Profitable Month
$15,083
Average Unprofitable Month
-$16,288
% of Profitable Months
41.67
% of Unprofitable Months
58.33

Rolling 24

Sharpe Ratio
-0.97
Largest Run Up
$32,470
Largest Drawdown
-$111,260
Correlation to S&P 500
0.3711
Average Profitable Month
$16,592
Average Unprofitable Month
-$12,218
% of Profitable Months
41.67
% of Unprofitable Months
58.33

Rolling 36

Sharpe Ratio
9.04
Largest Run Up
$36,070
Largest Drawdown
-$111,260
Correlation to S&P 500
0.4021
Average Profitable Month
$17,292
Average Unprofitable Month
-$11,268
% of Profitable Months
55.56
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
56.36
Largest Run Up
$672,760
Largest Drawdown
-$111,260
Correlation to S&P 500
0.6570
Average Profitable Month
$27,772
Average Unprofitable Month
-$11,184
% of Profitable Months
64.75
% of Unprofitable Months
34.53
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Tzar
6,876
3 Month Libor
1,475
0.5532
Barclay Commodity
1,769
0.6226
Barclay Systematic
1,804
0.6541
Barra S&P 500
2,340
0.6570
CSFB Managed Futures
1,778
0.6272
Lehman Aggregate Bonds
1,766
0.6655
ML 90 Day T-Bill
1,454
0.5454
Trading System Results Versus Benchmarks
Time Window Analysis
      1 Month 3 Month 6 Month 12 Month 18 Month 2 Year 3 Year 4 Year 5 Year
  Latest   9.72% 5.95% -13.93% -13.32% 3.67% 0.89% 48.09% 130.13% 188.09%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   64.75% 74.45% 77.61% 85.16% 90.98% 93.97% 100.00% 100.00% 100.00%
  Average   4.23% 12.82% 26.35% 56.26% 88.55% 123.96% 204.17% 288.90% 382.24%
  Average Gain   8.32% 19.79% 35.96% 66.90% 97.88% 132.16% 204.17% 288.90% 382.24%
  Average Loss   -3.28% -7.50% -6.95% -4.76% -5.59% -3.67% 0% 0% 0%
  Best Period   58.18% 109.28% 173.85% 206.86% 301.45% 318.78% 381.56% 452.75% 503.85%
  Worst Period   -17.97% -30.83% -33.30% -22.55% -14.09% -12.40% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$14,120
Avg. Yearly Returns
$163,553
Cummulative Returns
$1,962,639
Max Intra-Mo. DD(loss)
-$143,700
Max Monthly DD(Loss)
-$60,005
Max Yearly DD(Loss)
-$111,260
Maxx DD(Loss) All Periods
-$111,260
YTD Equity Low
-$77,025
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Medium Term
Greatest Up Month
$194,335
Greatest Down Month
-$60,005
Asset Class
Futures
Release Date
03/2003
Developer
Alfaranda CTA
System Price
Purchase $2900/Lease-to-buy @$299 per month for ten months
Max MoGain/Max MoDD
1.75
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$194,335
Max Yearly Gain
$586,790
Standard Deviation YTD
$18,582
Standard Deviation(Life)
$32,128
YTD Equity Peak
$47,475
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No

THE PERFORMANCE TABLES AND RESULTS OF THE TRADING SYSTEMS PRESENTED IN THIS REPORT ARE HYPOTHETICAL OR SIMULATED IN NATURE AND DOES NOT REPRESENT ACTUAL TRADING RESULTS. The CFTC requires the following disclosure statement in reference to hypothetical results.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.