Currency Insight : Diversified Systematic FX Programme Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2002 Diversified Systematic FX Programme 0.10 - - - - - - 91.64 S&P 500 -7.48 - - - - - - 244.56 +/- S&P 500 7.58 - - - - - - -152.91 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 StrategyCurrency 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel