Cinneas Foreign Exchange LLC : Cinneas

archived programs
Year-to-Date
N / A
Jun Performance
-15.62%
Min Investment
$ 5k
Mgmt. Fee
2.00%
Perf. Fee
15.00%
Annualized Vol
26.55%
Sharpe (RFR=1%)
-2.65
CAROR
-
Assets
$ 164k
Worst DD
-26.71
S&P Correlation
-0.06

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
2/2009
Cinneas -15.62 - - - - - - -26.71
S&P 500 0.02 - - - - - - 371.25
+/- S&P 500 -15.64 - - - - - - -397.97

Strategy Description

Summary

Cinneas was formed by Michael Myrtetus and Douglas Borthwick following a combined 30 years of successful dealing in the foreign Exchange Markets. Michael was the Head of the FX Spot desk at Morgan Stanley, while DOuglas Headed the FX Forwards and NDF Desks.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 15.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 30.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 35.00%
Systematic 65.00%

Strategy

Fundamental
35.00%
Trend-following
65.00%
Strategy Pie Chart

Summary

Cinneas was formed by Michael Myrtetus and Douglas Borthwick following a combined 30 years of successful dealing in the foreign Exchange Markets. Michael was the Head of the FX Spot desk at Morgan Stanley, while DOuglas Headed the FX Forwards and NDF Desks.

Investment Strategy

The Advisor uses a refined system that combines fundamental and technical research and analysis to place trades. Thus the trading methodology is discretionary, which means each and every position is manually entered in an effort to reduce slippage and maintain risk management through a more personalized approach to position-sizing and trend recognition. Country analysis, economic news and global events are key in forming a fundamental decision. At the same time, banks, institutions, and traders depend heavily on technical analysis in their decision making process. Subsequently, key levels of support and resistance as well as other technical indicators are often well-respected in determining market movements. The Advisor seeks to follow trends in the liquid foreign exchange markets. Positions are suggested by a back-tested model strategy, and the Advisor’s discretion dictates whether the position is entered into. The Advisor seeks to capitalize on trends in the market place, and seeks to reduce “troughs” by also trading intraday to capture profits. A number of technical factors have to be in place for the Advisor to feel comfortable with a trade and its direction. These technical factors include and are not limited to moving averages and Stochastics. A stochastic process is one whose behavior is non-deterministic in that a system's subsequent state is determined both by the process' predictable actions and by a random element. Stochastic crafts are complex systems whose practitioners, even if complete experts, acknowledge that outcomes result from both known and unknown causes. Such examples are warfare, meteorology, and rhetoric, where success and failure are so difficult to predict that explicit allowances are made for uncertainty. The Advisor has limited the number of currencies that are traded so that the Advisor attempts to optimize the trending tendencies of these markets and therefore, attempts to maximize liquidity. It is important to note that under this program, when trading during choppy markets, such trend trading can lead to large losses. At the same time, it’s important to note that the Advisor will need to ride these choppy markets as one needs to be invested to capture the moves. We believe that our strategy should offer better returns in the trending markets and lesser returns in sideways markets. It is expected that the majors or the G7 currencies will be most heavily traded, thus a concentration will be in the American, European, and Asian markets. Emerging markets such as the BRIC (Brazil, Russia, India, and China) countries may be considered when favorable opportunities exist.

Risk Management

While Cinneas looks to take advantage of momentum, we also need to acknowledge that if momentum is unable to continue, then the trade is over. For that reason the advisor now stops out of non performing trades once the price action dictates

   

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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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
-26.71 -1 - 1/1/0001 6/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
4.97 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.26 3 2/1/2009 4/1/2009
-15.62 1 6/1/2009 6/1/2009
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable20.00
Average Period Return-5.78
Average Gain4.97
Average Loss-8.47
Best Period4.97
Worst Period-15.62
Standard Deviation7.66
Gain Standard Deviation
Loss Standard Deviation5.49
Sharpe Ratio (1%)-0.76
Average Gain / Average Loss0.59
Profit / Loss Ratio0.15
Downside Deviation (10%)9.00
Downside Deviation (5%)8.75
Downside Deviation (0%)8.68
Sortino Ratio (10%)-0.69
Sortino Ratio (5%)-0.67
Sortino Ratio (0%)-0.67

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.