DynexCorp Ltd : Dynamic Currency Alpha

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
0.49%
Min Investment
€ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
8.12%
Sharpe (RFR=1%)
0.30
CAROR
3.19%
Assets
€ 8.0M
Worst DD
-21.98
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Dynamic Currency Alpha 0.49 - - - - -9.29 14.75 41.24
S&P 500 1.82 - - - - 78.02 57.83 152.81
+/- S&P 500 -1.33 - - - - -87.32 -43.08 -111.57

Strategy Description

Summary

Purpose
Adding a currency component to new or existing portfolios Solution
Currency alpha via dynamically managed currency manager baskets (superior risk/return than choosing just a single currency manager) Investment Manager
DynexCorp, a leading currency alpha manager... Read More

Account & Fees

Type Managed Account
Minimum Investment € 1,000k
Trading Level Incremental Increase € 500k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Purpose
Adding a currency component to new or existing portfolios Solution
Currency alpha via dynamically managed currency manager baskets (superior risk/return than choosing just a single currency manager) Investment Manager
DynexCorp, a leading currency alpha manager since 1988, has been invited by Deutsche Bank as index architect and index manager for FXSelect. Deutsche Bank (London) is Index Sponsor and Index Calculation Agent. Dynex uses proprietary algorithms and 30 years of hands-on knowledge of the currency universe to allocate dynamically between 5 and 15 currency manager talents (out of over 70). Allocations may be changed with daily liquidity without bid/ask spread. Dynex monitors the index intraday. Due Diligence by Mercer Consulting. Investment Vehicle
The returns of Dynex DCA are delivered through a Total Return Swap (“TRS”) with Deutsche Bank AG London. Risk Control
A Stop-Loss Amount is built into the TRS and guaranteed by Deutsche Bank AG London. Reporting
Deutsche Bank reports daily the Fixing of Dynex DCA. Dynex can call for interim reports anytime.

Investment Strategy

Investment Strategy The FX Select Platform, pioneered by Deutsche Bank in 2004, offers cost-effective creation of manager baskets similar to investable hedge fund indices. These are investable “actual manager talent” indices.

Risk Management

A Stop-Loss Amount is built into the TRS and guaranteed by Deutsche Bank AG London.

   

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
-21.98 19 - 3/1/2015 10/1/2016
-6.51 10 5 4/1/2011 2/1/2012
-3.03 4 6 7/1/2012 11/1/2012
-2.96 22 10 8/1/2008 6/1/2010
-2.33 3 6 6/1/2013 9/1/2013
-1.22 1 3 10/1/2007 11/1/2007
-1.15 1 2 6/1/2007 7/1/2007
-0.76 2 2 12/1/2006 2/1/2007
-0.70 2 2 1/1/0001 2/1/2006
-0.67 1 1 5/1/2014 6/1/2014
-0.38 1 1 2/1/2008 3/1/2008
-0.37 1 1 3/1/2014 4/1/2014
-0.06 1 1 8/1/2006 9/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
41.84 9 7/1/2014 3/1/2015
10.27 1 11/1/2015 11/1/2015
7.40 4 3/1/2007 6/1/2007
6.13 6 3/1/2006 8/1/2006
5.57 1 7/1/2012 7/1/2012
4.64 3 3/1/2012 5/1/2012
4.20 3 8/1/2007 10/1/2007
4.18 1 7/1/2015 7/1/2015
3.62 4 3/1/2013 6/1/2013
3.56 5 4/1/2008 8/1/2008
3.21 3 10/1/2006 12/1/2006
2.79 3 7/1/2010 9/1/2010
2.17 3 2/1/2011 4/1/2011
2.15 4 10/1/2013 1/1/2014
1.77 1 7/1/2011 7/1/2011
1.65 1 2/1/2008 2/1/2008
1.56 2 12/1/2012 1/1/2013
1.50 1 2/1/2016 2/1/2016
1.22 1 3/1/2014 3/1/2014
1.04 1 12/1/2008 12/1/2008
0.85 1 5/1/2014 5/1/2014
0.82 1 9/1/2009 9/1/2009
0.77 1 11/1/2009 11/1/2009
0.70 1 12/1/2007 12/1/2007
0.63 2 11/1/2016 12/1/2016
0.60 1 11/1/2010 11/1/2010
0.59 1 5/1/2009 5/1/2009
0.59 1 2/1/2010 2/1/2010
0.42 1 8/1/2013 8/1/2013
0.40 1 3/1/2009 3/1/2009
0.24 1 1/1/2012 1/1/2012
0.18 1 9/1/2012 9/1/2012
0.13 1 6/1/2016 6/1/2016
0.13 1 5/1/2015 5/1/2015
0.08 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.56 2 12/1/2015 1/1/2016
-8.87 3 3/1/2016 5/1/2016
-8.78 3 8/1/2015 10/1/2015
-7.31 1 4/1/2015 4/1/2015
-4.82 3 8/1/2011 10/1/2011
-2.37 2 5/1/2011 6/1/2011
-2.00 2 10/1/2012 11/1/2012
-1.94 1 6/1/2012 6/1/2012
-1.91 2 12/1/2010 1/1/2011
-1.86 1 6/1/2015 6/1/2015
-1.81 4 3/1/2010 6/1/2010
-1.70 1 7/1/2013 7/1/2013
-1.57 3 9/1/2008 11/1/2008
-1.31 4 7/1/2016 10/1/2016
-1.26 3 6/1/2009 8/1/2009
-1.23 1 8/1/2012 8/1/2012
-1.22 1 11/1/2007 11/1/2007
-1.17 2 1/1/2009 2/1/2009
-1.15 1 7/1/2007 7/1/2007
-1.06 1 9/1/2013 9/1/2013
-0.96 1 2/1/2014 2/1/2014
-0.92 1 2/1/2013 2/1/2013
-0.89 1 12/1/2011 12/1/2011
-0.76 2 1/1/2007 2/1/2007
-0.70 2 1/1/2006 2/1/2006
-0.67 1 6/1/2014 6/1/2014
-0.61 2 12/1/2009 1/1/2010
-0.57 1 2/1/2012 2/1/2012
-0.51 1 4/1/2009 4/1/2009
-0.44 1 1/1/2008 1/1/2008
-0.43 1 10/1/2010 10/1/2010
-0.38 1 3/1/2008 3/1/2008
-0.37 1 4/1/2014 4/1/2014
-0.23 1 10/1/2009 10/1/2009
-0.06 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods132.00130.00127.00121.00115.00109.0097.0085.0073.00
Percent Profitable55.3054.6265.3568.6074.7877.0685.5789.41100.00
Average Period Return0.290.881.823.906.428.8511.3113.2715.12
Average Gain1.533.064.648.1610.3412.1313.7115.0615.12
Average Loss-1.26-1.75-3.48-5.42-5.19-2.20-2.87-1.84
Best Period11.8621.9232.1741.5644.9646.1055.0447.2047.10
Worst Period-7.31-9.22-17.27-18.14-21.72-5.27-5.56-3.421.12
Standard Deviation2.354.016.5910.3011.7111.3613.0913.1511.94
Gain Standard Deviation2.163.776.019.0110.5210.9212.6512.7611.94
Loss Standard Deviation1.522.373.785.845.931.781.841.13
Sharpe Ratio (1%)0.090.160.200.280.420.600.630.700.84
Average Gain / Average Loss1.211.751.331.511.995.524.788.18
Profit / Loss Ratio1.522.102.513.295.9018.5328.3669.06
Downside Deviation (10%)1.502.574.226.927.837.4810.7514.0016.78
Downside Deviation (5%)1.342.083.214.844.472.222.462.301.25
Downside Deviation (0%)1.301.983.014.433.921.341.280.69
Sortino Ratio (10%)-0.08-0.14-0.15-0.16-0.15-0.19-0.41-0.59-0.75
Sortino Ratio (5%)0.150.300.410.601.103.083.374.007.99
Sortino Ratio (0%)0.220.440.610.881.646.588.8419.18

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.