FCI Capital Management : TSFX1

archived programs
Year-to-Date
N / A
Jun Performance
0.39%
Min Investment
$ 20k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
12.50%
Sharpe (RFR=1%)
0.66
CAROR
8.83%
Assets
$ 600k
Worst DD
-14.53
S&P Correlation
-0.17

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2010
TSFX1 0.39 -0.90 - 9.39 13.22 - - 36.36
S&P 500 1.91 4.69 - 22.04 48.40 - - 66.02
+/- S&P 500 -1.52 -5.60 - -12.65 -35.19 - - -29.65

Strategy Description

Summary

TSFX1 is a highly profitable low risk analytical based system within the foreign exchange market. It is a short term intraday “breakout” volatility model looking for trends in the FX spot market. The automatically generated signal is entered at 8.00am and remains live for 24 hour... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 20k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
15.00%
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
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

TSFX1 is a highly profitable low risk analytical based system within the foreign exchange market. It is a short term intraday “breakout” volatility model looking for trends in the FX spot market. The automatically generated signal is entered at 8.00am and remains live for 24 hours

Investment Strategy

TSFX1 trades six currency pairs. Eur/Usd, Gbp/Usd, Usd/Chf, Usd/Jpy, Eur/Gbp and Gbp/Jpy.

Risk Management

The whole risk management process limits drawdown. The TSFX Model has within its controls an automatically generated stop loss policy which is structured in such a way that there is a pre-defined daily risk of capital. Version TSFX1, which trades 6 currency pairs, has within its controls a risk level of 0.3%* per pair giving a risk per day of 1.8%*. * In normal market conditions.

   

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
-14.53 5 12 2/1/2012 7/1/2012
-8.28 4 - 12/1/2013 4/1/2014
-7.18 3 2 9/1/2011 12/1/2011
-2.10 1 2 6/1/2011 7/1/2011
-1.19 1 2 1/1/2011 2/1/2011
-0.56 1 1 9/1/2013 10/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
15.13 5 11/1/2012 3/1/2013
13.01 4 3/1/2011 6/1/2011
12.22 2 11/1/2013 12/1/2013
8.87 4 6/1/2013 9/1/2013
8.20 2 8/1/2011 9/1/2011
7.87 2 1/1/2012 2/1/2012
7.86 3 11/1/2010 1/1/2011
6.15 1 8/1/2012 8/1/2012
3.17 1 5/1/2012 5/1/2012
0.75 2 5/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.09 2 3/1/2012 4/1/2012
-8.87 2 6/1/2012 7/1/2012
-8.28 4 1/1/2014 4/1/2014
-7.18 3 10/1/2011 12/1/2011
-5.10 2 9/1/2012 10/1/2012
-4.07 2 4/1/2013 5/1/2013
-2.10 1 7/1/2011 7/1/2011
-1.19 1 2/1/2011 2/1/2011
-0.56 1 10/1/2013 10/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable59.0964.2969.2372.7381.48100.00
Average Period Return0.772.184.708.5010.2312.24
Average Gain3.125.749.6514.4612.9912.24
Average Loss-2.62-4.22-6.43-7.39-1.93
Best Period8.3312.9819.6730.2033.6524.61
Worst Period-7.91-8.47-13.95-12.16-5.913.50
Standard Deviation3.615.898.6411.8511.025.95
Gain Standard Deviation2.303.724.677.4710.305.95
Loss Standard Deviation2.132.743.353.232.45
Sharpe Ratio (1%)0.190.330.490.630.791.72
Average Gain / Average Loss1.191.361.501.966.72
Profit / Loss Ratio1.722.453.385.2229.55
Downside Deviation (10%)2.353.625.256.695.132.66
Downside Deviation (5%)2.183.114.234.661.78
Downside Deviation (0%)2.142.983.994.171.26
Sortino Ratio (10%)0.150.260.430.520.510.75
Sortino Ratio (5%)0.320.620.991.614.89
Sortino Ratio (0%)0.360.731.182.048.13

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 8 8.33 11/2013
IASG CTA Index Month 10 8.33 11/2013
Systematic Trader Index Month 6 6.15 8/2012
Systematic Trader Index Month 5 5.43 6/2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.