DynexCorp Ltd : Dynex Regular - Tetra FX Macro High Beta

archived programs
Year-to-Date
N / A
Dec Performance
3.32%
Min Investment
€ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.14%
Sharpe (RFR=1%)
0.53
CAROR
9.37%
Assets
€ 10.0M
Worst DD
-24.89
S&P Correlation
0.15

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
7/2009
Dynex Regular - Tetra FX Macro High Beta 3.32 10.96 - 15.98 6.40 34.76 - 95.79
S&P 500 1.82 3.25 - 9.54 21.13 78.02 - 126.68
+/- S&P 500 1.50 7.71 - 6.45 -14.73 -43.27 - -30.90

Strategy Description

Summary

Purpose Adding a currency component to new or existing portfolios Pedigree Chief Trader: Peter Panholzer, DynexCorp, has been active in institutional currency management since 1990.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
€ 1,000k
Trading Level Incremental Increase
€ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
3%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.89%
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
0%
Systematic
100.00%

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 Pedigree Chief Trader: Peter Panholzer, DynexCorp, has been active in institutional currency management since 1990.

Investment Strategy

Tetra FX Macro follows an algorithmic, rule based methodology. Concentrates on emerging markets currencies. Fundamental macro components, positioning research, sentiment factors and contrarian surveys determine exposure levels.

Investment Vehicle
The returns of Tetra FX Macro Strategy may be delivered through a Total Return Swap (“TRS”) or a Certificate delivered by Deutsche Bank London.

Risk Management

Risk Control A Stop-Loss is built into the TRS or the Certificate by Deutsche Bank AG London.

Leverage Geared to ~18% annualised volatility

   

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
-24.89 9 18 8/1/2011 5/1/2012
-17.72 4 31 12/1/2013 4/1/2014
-11.06 3 2 9/1/2010 12/1/2010
-10.97 4 3 2/1/2010 6/1/2010
-6.10 1 1 10/1/2009 11/1/2009
-1.38 1 1 2/1/2011 3/1/2011
-1.18 1 1 1/1/0001 7/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
32.96 4 9/1/2013 12/1/2013
26.78 3 12/1/2009 2/1/2010
18.79 3 8/1/2009 10/1/2009
16.87 3 7/1/2010 9/1/2010
15.27 2 1/1/2011 2/1/2011
14.06 5 8/1/2016 12/1/2016
13.89 2 6/1/2012 7/1/2012
13.47 2 9/1/2012 10/1/2012
12.56 5 4/1/2011 8/1/2011
9.39 3 4/1/2016 6/1/2016
9.12 3 7/1/2014 9/1/2014
7.20 1 11/1/2010 11/1/2010
6.73 1 3/1/2015 3/1/2015
5.69 2 4/1/2013 5/1/2013
4.51 1 7/1/2015 7/1/2015
3.51 1 1/1/2013 1/1/2013
3.28 1 7/1/2013 7/1/2013
3.24 1 5/1/2015 5/1/2015
3.07 1 11/1/2011 11/1/2011
2.84 1 4/1/2010 4/1/2010
2.39 2 10/1/2015 11/1/2015
2.34 2 11/1/2014 12/1/2014
2.10 1 4/1/2012 4/1/2012
1.52 1 1/1/2012 1/1/2012
1.09 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.72 4 1/1/2014 4/1/2014
-10.92 2 5/1/2010 6/1/2010
-10.36 1 12/1/2011 12/1/2011
-10.26 2 2/1/2012 3/1/2012
-9.13 1 10/1/2010 10/1/2010
-8.71 4 12/1/2015 3/1/2016
-8.70 1 12/1/2010 12/1/2010
-8.03 1 5/1/2012 5/1/2012
-7.32 2 11/1/2012 12/1/2012
-6.24 2 2/1/2013 3/1/2013
-6.21 1 8/1/2013 8/1/2013
-6.10 1 11/1/2009 11/1/2009
-4.98 2 9/1/2011 10/1/2011
-4.47 2 8/1/2015 9/1/2015
-4.45 1 8/1/2012 8/1/2012
-4.29 1 6/1/2015 6/1/2015
-2.84 1 4/1/2015 4/1/2015
-2.81 1 3/1/2010 3/1/2010
-2.07 1 6/1/2013 6/1/2013
-1.38 1 3/1/2011 3/1/2011
-1.31 1 7/1/2016 7/1/2016
-1.18 1 7/1/2009 7/1/2009
-1.01 2 1/1/2015 2/1/2015
-0.89 1 6/1/2014 6/1/2014
-0.85 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable57.7863.6465.8872.1573.9777.6189.09100.00100.00
Average Period Return0.882.544.516.559.4612.2916.2522.7026.92
Average Gain4.307.6010.7712.0615.3017.7618.6422.7026.92
Average Loss-3.79-6.30-7.56-7.74-7.15-6.64-3.27
Best Period15.1527.7439.3435.9648.6466.4043.2556.3055.09
Worst Period-10.36-15.27-23.31-18.27-16.18-16.37-7.722.964.20
Standard Deviation5.248.6711.7212.2714.2416.7812.7712.3215.96
Gain Standard Deviation3.616.228.809.3511.5814.9811.3612.3215.96
Loss Standard Deviation3.023.955.525.434.713.873.01
Sharpe Ratio (1%)0.150.260.340.450.560.611.041.511.37
Average Gain / Average Loss1.131.211.421.562.142.675.71
Profit / Loss Ratio1.552.112.754.046.089.2746.59
Downside Deviation (10%)3.355.116.677.398.168.608.326.7811.06
Downside Deviation (5%)3.184.595.675.405.004.462.330.170.21
Downside Deviation (0%)3.134.475.434.954.333.601.41
Sortino Ratio (10%)0.140.260.310.210.230.240.060.17-0.06
Sortino Ratio (5%)0.250.500.711.031.592.315.68110.66105.71
Sortino Ratio (0%)0.280.570.831.322.183.4111.53

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.