Celerity FX : Global Monetary Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.17%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.97%
Sharpe (RFR=1%)
1.15
CAROR
-
Assets
$ 1.3M
Worst DD
-6.34
S&P Correlation
0.21

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
Global Monetary Program -0.17 - - - - - - 23.75
S&P 500 -16.94 - - - - - - 135.02
+/- S&P 500 16.77 - - - - - - -111.26

Strategy Description

Summary

-The Global Monetary Program?s investment objective is to provide investors with total returns through active participation in global currencies and its related markets.nbsp; &These returns are expected to have a low correlation with equity and bond markets, hence providing investors... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The Global Monetary Program?s investment objective is to provide investors with total returns through active participation in global currencies and its related markets.nbsp; &These returns are expected to have a low correlation with equity and bond markets, hence providing investors with reasonable diversification from traditional asset markets. nbsp;&

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-6.34 2 1 10/1/2007 12/1/2007
-4.20 1 1 2/1/2008 3/1/2008
-1.83 1 - 6/1/2008 7/1/2008
-0.50 1 1 1/1/0001 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
13.94 2 1/1/2008 2/1/2008
12.50 2 9/1/2007 10/1/2007
9.11 3 4/1/2008 6/1/2008
1.13 2 8/1/2008 9/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.34 2 11/1/2007 12/1/2007
-4.20 1 3/1/2008 3/1/2008
-1.83 1 7/1/2008 7/1/2008
-0.50 1 8/1/2007 8/1/2007
-0.17 1 10/1/2008 10/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable60.0084.62100.00
Average Period Return1.524.4810.44
Average Gain3.985.7410.44
Average Loss-2.18-2.45
Best Period9.9613.2520.06
Worst Period-5.77-4.172.89
Standard Deviation4.325.206.56
Gain Standard Deviation3.514.536.56
Loss Standard Deviation2.302.44
Sharpe Ratio (1%)0.330.811.52
Average Gain / Average Loss1.832.35
Profit / Loss Ratio2.7412.92
Downside Deviation (10%)2.111.62
Downside Deviation (5%)1.951.26
Downside Deviation (0%)1.911.17
Sortino Ratio (10%)0.532.02
Sortino Ratio (5%)0.733.37
Sortino Ratio (0%)0.793.82

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.