Currency Insight : Diversified Systematic FX Programme

archived programs
Year-to-Date
N / A
Nov Performance
0.10%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
8.49%
Sharpe (RFR=1%)
1.04
CAROR
9.86%
Assets
$ 530.0M
Worst DD
-7.74
S&P Correlation
0.00

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2002
Diversified Systematic FX Programme 0.10 - - - - - - 91.64
S&P 500 -7.48 - - - - - - 206.51
+/- S&P 500 7.58 - - - - - - -114.87

Strategy Description

Summary

-CURRENCY INSIGHT LIMITED is a discretionary portfolio management firm specializing in the FX and Futures markets. It is a United Kingdom registered company regulated in the conduct of its business by the Financial Services Authority. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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

Composition

Summary

-CURRENCY INSIGHT LIMITED is a discretionary portfolio management firm specializing in the FX and Futures markets. It is a United Kingdom registered company regulated in the conduct of its business by the Financial Services Authority.

Investment Strategy

Currency Insight has developed a highly sophisticated, fully computerised trading model which incorporates both advanced trading methodology and money management discipline. The programme includes a carefully selected diverse blend of the most liquid global currencies. The trading model comprises interactive modules which combine predictive and reactive components with pattern based and index based algorithms to determine entry and exit points. Diversification is further enhanced by varying the entry and exit criteria across the major currency pairs. The majority of the modules within the model are able to adapt to the dominant cycle length of currency pairs as they change over time thus avoiding any significant whipsaw effect created by non trending markets. The model includes a mean reversion module which further enhances the ability of the programme to make profits in non-trending markets.

Risk Management

Risk is managed through rigorous stop loss discipline and progressive position building. The model contains proprietary mathematics which measure true volatility and scale position sizes accordingly.

   

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
-7.74 4 10 5/1/2006 9/1/2006
-6.11 2 5 5/1/2003 7/1/2003
-5.47 4 4 4/1/2004 8/1/2004
-3.24 1 2 2/1/2003 3/1/2003
-3.12 3 2 1/1/2002 4/1/2002
-2.77 2 4 2/1/2008 4/1/2008
-2.11 4 1 12/1/2004 4/1/2005
-1.18 3 2 6/1/2005 9/1/2005
-1.08 1 1 2/1/2004 3/1/2004
-0.71 1 2 6/1/2002 7/1/2002
-0.08 1 1 2/1/2006 3/1/2006
-0.05 1 1 9/1/2007 10/1/2007
-0.04 1 1 7/1/2007 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
18.17 7 8/1/2002 2/1/2003
12.80 7 8/1/2003 2/1/2004
11.82 2 5/1/2005 6/1/2005
9.54 2 4/1/2003 5/1/2003
9.07 2 6/1/2007 7/1/2007
6.51 4 11/1/2007 2/1/2008
6.17 7 5/1/2008 11/1/2008
5.87 5 10/1/2005 2/1/2006
5.60 2 4/1/2006 5/1/2006
5.54 2 10/1/2006 11/1/2006
5.18 2 11/1/2004 12/1/2004
4.49 2 5/1/2002 6/1/2002
3.52 2 3/1/2007 4/1/2007
2.86 1 9/1/2004 9/1/2004
2.15 1 7/1/2004 7/1/2004
1.98 1 4/1/2004 4/1/2004
1.71 1 9/1/2007 9/1/2007
1.33 1 2/1/2005 2/1/2005
0.81 1 1/1/2007 1/1/2007
0.23 1 1/1/2002 1/1/2002
0.14 1 8/1/2005 8/1/2005
0.06 1 8/1/2006 8/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.19 2 6/1/2006 7/1/2006
-6.11 2 6/1/2003 7/1/2003
-4.01 2 5/1/2004 6/1/2004
-3.60 1 8/1/2004 8/1/2004
-3.24 1 3/1/2003 3/1/2003
-3.12 3 2/1/2002 4/1/2002
-2.92 1 12/1/2006 12/1/2006
-2.77 2 3/1/2008 4/1/2008
-2.25 1 2/1/2007 2/1/2007
-1.84 1 1/1/2005 1/1/2005
-1.71 1 9/1/2006 9/1/2006
-1.59 2 3/1/2005 4/1/2005
-1.36 1 5/1/2007 5/1/2007
-1.08 1 3/1/2004 3/1/2004
-0.77 1 10/1/2004 10/1/2004
-0.72 1 7/1/2005 7/1/2005
-0.71 1 7/1/2002 7/1/2002
-0.60 1 9/1/2005 9/1/2005
-0.08 1 3/1/2006 3/1/2006
-0.05 1 10/1/2007 10/1/2007
-0.04 1 8/1/2007 8/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00
Percent Profitable66.2776.5479.4991.67100.00100.00100.00100.00
Average Period Return0.822.505.1710.8315.7920.4331.9944.74
Average Gain2.054.087.0112.0015.7920.4331.9944.74
Average Loss-1.61-2.68-2.00-2.09
Best Period7.9814.2821.1326.1631.9938.8447.5868.75
Worst Period-5.25-6.81-5.77-4.883.447.7915.2424.62
Standard Deviation2.454.025.506.907.396.858.4510.36
Gain Standard Deviation1.902.974.525.927.396.858.4510.36
Loss Standard Deviation1.372.211.771.52
Sharpe Ratio (1%)0.300.560.851.421.932.693.433.93
Average Gain / Average Loss1.281.533.515.73
Profit / Loss Ratio2.514.9813.5963.03
Downside Deviation (10%)1.412.172.222.290.970.380.08
Downside Deviation (5%)1.251.761.370.98
Downside Deviation (0%)1.221.661.190.73
Sortino Ratio (10%)0.290.591.222.548.4426.46213.36
Sortino Ratio (5%)0.591.283.4010.02
Sortino Ratio (0%)0.671.504.3314.93

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.