Basu and Braun, LLC : Currency Program

archived programs
Year-to-Date
N / A
Mar Performance
-1.77%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
11.57%
Sharpe (RFR=1%)
1.19
CAROR
15.03%
Assets
$ 338k
Worst DD
-15.37
S&P Correlation
-0.29

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/2008
Currency Program -1.77 - - - - - 6.53 96.74
S&P 500 3.60 - - - - - 84.98 170.64
+/- S&P 500 -5.37 - - - - - -78.44 -73.89

Strategy Description

Summary

The investment objective is to generate consistent, low-risk capital appreciation with minimal variance in returns. Profit potential is counter-balanced by levels of risk predetermined to be acceptable by preferences expressed by each individual client. Performance figures are net... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 9.13%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 90.00%
Intraday 10.00%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Momentum
40.00%
Other
60.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The investment objective is to generate consistent, low-risk capital appreciation with minimal variance in returns. Profit potential is counter-balanced by levels of risk predetermined to be acceptable by preferences expressed by each individual client. Performance figures are net of all fees and published based upon an aggregation of all accounts. Investment time horizons for trade ideas vary from less than two hours and very rarely exceed 48 hours. Trade ideas are continuously evaluated and refined. The strength of Basu & Braun is a proven history and demonstrated ability to adapt the trading approach to varying market conditions in order to ensure profitable trading in virtually all market environments. (Performance figures from June of 2008 through July of 2009 include results from proprietary trading of an equity incubator)

Investment Strategy

The approach identifies intraday trading opportunities employing entirely interbank spot transactions (no forwards or options) mainly in Euro and Dollar but may trade other G7 currencies depending upon market conditions. The approach employs a trading strategy that benefits from directional movements in the market. A proprietary decision model provides an indicator that predicts a general trend in the market. Then, a mathematical-based model is applied systematically via an automated algorithmic computer interface to establish profit and stop-loss limits for every trade.

Risk Management

Risk is managed by maintaining low margin to equity ratios and incorporating tight stop losses in order to ensure preservation of capital. Risk exposure is structured and maintained within acceptable tolerances through the continuous systematic real-time monitoring of portfolio positions.

   

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:
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Risk
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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:
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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
-15.37 13 - 5/1/2011 6/1/2012
-8.45 1 7 10/1/2009 11/1/2009
-3.31 1 1 1/1/0001 6/1/2008
-1.60 1 3 7/1/2010 8/1/2010
-0.20 1 1 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
38.46 10 1/1/2009 10/1/2009
36.93 5 7/1/2008 11/1/2008
15.79 7 11/1/2010 5/1/2011
8.99 3 5/1/2010 7/1/2010
7.58 4 10/1/2012 1/1/2013
3.75 2 7/1/2012 8/1/2012
2.86 1 2/1/2012 2/1/2012
2.82 2 2/1/2010 3/1/2010
2.02 2 9/1/2011 10/1/2011
1.13 1 9/1/2010 9/1/2010
1.08 1 12/1/2009 12/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.51 3 6/1/2011 8/1/2011
-8.87 4 3/1/2012 6/1/2012
-8.45 1 11/1/2009 11/1/2009
-3.31 1 6/1/2008 6/1/2008
-2.21 3 11/1/2011 1/1/2012
-1.92 2 2/1/2013 3/1/2013
-1.60 1 8/1/2010 8/1/2010
-1.34 1 9/1/2012 9/1/2012
-0.82 1 1/1/2010 1/1/2010
-0.48 1 10/1/2010 10/1/2010
-0.26 1 4/1/2010 4/1/2010
-0.20 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable65.5278.5766.0476.6082.9388.57100.00
Average Period Return1.234.097.9214.0718.6726.2140.61
Average Gain2.916.6113.9419.7723.8029.7340.61
Average Loss-2.07-5.16-3.78-4.60-6.22-1.15
Best Period10.6630.3741.8774.7075.1090.60115.22
Worst Period-8.45-9.51-8.53-10.20-11.06-1.862.35
Standard Deviation3.347.6812.6121.2822.4527.7135.06
Gain Standard Deviation2.446.5711.4221.1921.2327.5235.06
Loss Standard Deviation2.352.762.493.263.340.72
Sharpe Ratio (1%)0.340.500.590.610.760.871.07
Average Gain / Average Loss1.401.283.694.303.8325.87
Profit / Loss Ratio2.814.707.1714.0718.59200.48
Downside Deviation (10%)1.933.203.915.016.155.144.64
Downside Deviation (5%)1.802.792.863.103.441.120.14
Downside Deviation (0%)1.772.682.622.682.870.44
Sortino Ratio (10%)0.420.891.391.811.803.115.36
Sortino Ratio (5%)0.641.382.594.224.9921.67265.17
Sortino Ratio (0%)0.691.523.035.246.5159.35

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.