Arctos FX LLC : FX_TRVf

Year-to-Date
4.03%
Aug Performance
1.39%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
26.80%
Sharpe (RFR=1%)
0.66
CAROR
16.41%
Assets
$ 100k
Worst DD
-27.23
S&P Correlation
0.05

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
FX_TRVf 1.39 0.29 -4.03 -12.35 63.98 127.82 - 197.19
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 110.01
+/- S&P 500 3.20 -6.05 -20.76 -13.20 30.55 83.23 - 87.18

Strategy Description

Summary

*** NOTE*** The performance data depicted on www.arctosfx.com is based on actual trading results as observed in proprietary account(s). ------------------------------ FX_TRVF (“The program”) trades the currency market. Our discretionary methodology relies heavily on system-based... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
3

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
17.40%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
45.00%
Systematic
55.00%

Strategy

Counter-trend
25.00%
Fundamental
25.00%
Trend-following
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

*** NOTE*** The performance data depicted on www.arctosfx.com is based on actual trading results as observed in proprietary account(s). ------------------------------ FX_TRVF (“The program”) trades the currency market. Our discretionary methodology relies heavily on system-based analysis of major currency pairs to forge a trading decision. The objective is to generate a consistent return on the assets under management (AUM) while effectively managing the risk inherent in the marketplace. Our approach results in an entity that is uncorrelated with most popular asset classes, thereby enhancing its appeal as a viable instrument to successfully diversify a traditional portfolio. Modern Portfolio Theory (MPT) states that a diversified portfolio of uncorrelated asset classes yields the highest return with the least amount of volatility.

Investment Strategy

The program interprets market price action to identify entry and exit points. Our dynamic strategies focus on maximizing the profit potential of every trade resulting in the favorable return profile that is the defining aspect of the program.

Risk Management

We believe that preservation of equity is essential to its appreciation and have tailored our money and risk management systems to reflect this. The money management system determines the amount of equity committed to each trade. Risk is managed through the execution of stop-loss orders that are determined by a set of predefined market-reactive variables and affixed to each trade at its inception.

   

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
-27.23 23 - 8/1/2017 7/1/2019
-20.83 4 2 5/1/2016 9/1/2016
-17.40 2 6 12/1/2013 2/1/2014
-11.95 5 2 5/1/2013 10/1/2013
-9.34 5 1 1/1/0001 11/1/2012
-6.87 2 1 1/1/2013 3/1/2013
-5.78 2 2 1/1/2015 3/1/2015
-5.66 2 1 12/1/2016 2/1/2017
-3.27 1 1 5/1/2017 6/1/2017
-2.96 1 1 9/1/2014 10/1/2014
-1.87 1 10 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
79.11 3 10/1/2016 12/1/2016
29.59 2 12/1/2012 1/1/2013
29.28 5 5/1/2014 9/1/2014
25.55 3 11/1/2014 1/1/2015
20.68 1 3/1/2017 3/1/2017
15.59 2 7/1/2017 8/1/2017
14.67 2 4/1/2013 5/1/2013
14.56 2 11/1/2013 12/1/2013
14.52 1 3/1/2014 3/1/2014
11.23 1 8/1/2016 8/1/2016
10.91 2 4/1/2015 5/1/2015
10.81 3 3/1/2016 5/1/2016
9.11 1 5/1/2017 5/1/2017
4.77 3 12/1/2017 2/1/2018
4.62 2 7/1/2018 8/1/2018
2.48 1 11/1/2018 11/1/2018
2.21 2 5/1/2019 6/1/2019
1.54 1 1/1/2019 1/1/2019
1.39 1 8/1/2019 8/1/2019
0.65 1 3/1/2019 3/1/2019
0.37 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.33 2 6/1/2016 7/1/2016
-17.43 3 9/1/2017 11/1/2017
-17.40 2 1/1/2014 2/1/2014
-11.95 5 6/1/2013 10/1/2013
-10.66 1 9/1/2016 9/1/2016
-6.99 4 3/1/2018 6/1/2018
-6.87 2 2/1/2013 3/1/2013
-6.19 1 7/1/2012 7/1/2012
-5.82 1 12/1/2018 12/1/2018
-5.78 2 2/1/2015 3/1/2015
-5.66 2 1/1/2017 2/1/2017
-5.38 2 9/1/2018 10/1/2018
-4.56 1 4/1/2014 4/1/2014
-3.74 1 2/1/2019 2/1/2019
-3.71 3 9/1/2012 11/1/2012
-3.39 1 4/1/2019 4/1/2019
-3.27 1 6/1/2017 6/1/2017
-2.96 1 10/1/2014 10/1/2014
-2.56 1 7/1/2019 7/1/2019
-1.87 9 6/1/2015 2/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable46.5154.7656.7966.6779.7190.48100.00100.00100.00
Average Period Return1.555.0110.8523.1237.4055.3197.67142.80200.20
Average Gain7.0813.3923.4039.0949.8862.8897.67142.80200.20
Average Loss-4.06-6.11-6.18-8.81-11.63-16.67
Best Period39.7579.11103.91136.12118.23118.23217.70248.38327.78
Worst Period-16.57-18.43-13.49-15.82-24.86-26.2239.7957.56127.82
Standard Deviation7.7414.7822.6234.7337.2634.3046.6058.5853.60
Gain Standard Deviation7.6214.9022.9232.1330.9226.1646.6058.5853.60
Loss Standard Deviation3.415.123.624.186.397.29
Sharpe Ratio (1%)0.190.320.460.640.961.552.032.373.64
Average Gain / Average Loss1.752.193.794.444.293.77
Profit / Loss Ratio1.893.155.458.8816.8535.83
Downside Deviation (10%)3.675.515.918.329.168.57
Downside Deviation (5%)3.505.014.766.146.546.12
Downside Deviation (0%)3.464.894.485.615.935.54
Sortino Ratio (10%)0.310.691.422.183.265.26
Sortino Ratio (5%)0.420.952.183.605.498.71
Sortino Ratio (0%)0.451.022.424.126.319.98

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.