ETS Capital Management : Principal Protected FX Wolverton Program

archived programs
Year-to-Date
N / A
Apr Performance
2.03%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
10.55%
Sharpe (RFR=1%)
5.16
CAROR
-
Assets
$ 10.2M
Worst DD
-2.47
S&P Correlation
-0.11

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
7/2007
Principal Protected FX Wolverton Program 2.03 - - - - - - 56.45
S&P 500 4.75 - - - - - - 138.04
+/- S&P 500 -2.72 - - - - - - -81.59

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 5%
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

   

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
-2.47 1 - 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
57.22 8 7/1/2007 2/1/2008
2.03 1 4/1/2008 4/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.47 1 3/1/2008 3/1/2008
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable90.00100.00
Average Period Return4.6215.47
Average Gain5.4115.47
Average Loss-2.47
Best Period7.6620.96
Worst Period-2.475.93
Standard Deviation3.045.61
Gain Standard Deviation1.865.61
Loss Standard Deviation
Sharpe Ratio (1%)1.492.71
Average Gain / Average Loss2.19
Profit / Loss Ratio19.70
Downside Deviation (10%)0.91
Downside Deviation (5%)0.81
Downside Deviation (0%)0.78
Sortino Ratio (10%)4.63
Sortino Ratio (5%)5.62
Sortino Ratio (0%)5.91

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.