FCI Capital Management : TSFX2 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance -1.21% Min Investment $ 20k Mgmt. Fee 1.50% Perf. Fee 15.00% Annualized Vol 9.08% Sharpe (RFR=1%) 1.36 CAROR 13.76% Assets $ 700k Worst DD -6.04 S&P Correlation -0.02 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since1/2012 TSFX2 -1.21 -2.17 - 1.51 - - - 38.03 S&P 500 1.91 4.69 - 22.04 - - - 49.36 +/- S&P 500 -3.12 -6.86 - -20.53 - - - -11.33 Strategy Description SummaryTSFX2 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% Composition Currency FX 100.00% SummaryTSFX2 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 hoursInvestment StrategyTSFX2 trades eight currency pairs. Usd/Jpy, Aud/Usd, Nzd/Usd, Gbp/Aud, Eur/Jpy, Gbp/Chf, Eur/Aud, Usd/Sgd.Risk ManagementThe 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.The whole risk management process limits drawdown. Version TSFX2, which trades 8 currency pairs, has within its controls a risk level of 0.3%* per pair giving a risk per day 0f 2.4%* * In normal market conditions. 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 -6.04 1 - 9/1/2013 10/1/2013 -4.72 2 4 1/1/2013 3/1/2013 -1.30 1 1 2/1/2012 3/1/2012 -0.67 1 1 5/1/2012 6/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 26.47 7 7/1/2012 1/1/2013 10.50 6 4/1/2013 9/1/2013 6.27 2 1/1/2012 2/1/2012 4.73 1 11/1/2013 11/1/2013 3.22 2 4/1/2012 5/1/2012 1.33 1 3/1/2014 3/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.04 1 10/1/2013 10/1/2013 -4.72 2 2/1/2013 3/1/2013 -2.17 3 4/1/2014 6/1/2014 -1.30 1 3/1/2012 3/1/2012 -1.19 3 12/1/2013 2/1/2014 -0.67 1 6/1/2012 6/1/2012 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods30.0028.0025.0019.0013.00 Percent Profitable63.3375.0080.00100.00100.00 Average Period Return1.113.417.4016.4425.04 Average Gain2.615.199.6316.4425.04 Average Loss-1.47-1.91-1.52 Best Period5.9915.4024.4833.1237.62 Worst Period-6.04-4.31-2.751.516.35 Standard Deviation2.624.687.4710.9810.87 Gain Standard Deviation1.733.996.6510.9810.87 Loss Standard Deviation1.731.280.88 Sharpe Ratio (1%)0.390.680.921.412.17 Average Gain / Average Loss1.782.716.33 Profit / Loss Ratio3.078.1425.31 Downside Deviation (10%)1.521.711.831.090.35 Downside Deviation (5%)1.371.230.97 Downside Deviation (0%)1.341.120.77 Sortino Ratio (10%)0.471.282.6910.5250.57 Sortino Ratio (5%)0.752.577.12 Sortino Ratio (0%)0.833.049.65 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 10 3.90 10/2012 Systematic Trader Index Month 7 5.99 9/2012 Systematic Trader Index Month 10 4.79 8/2012 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