FCI Capital Management : TSFX2

archived programs
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

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
1/2012
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

Summary

TSFX2 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

TSFX2 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

TSFX2 trades eight currency pairs. Usd/Jpy, Aud/Usd, Nzd/Usd, Gbp/Aud, Eur/Jpy, Gbp/Chf, Eur/Aud, Usd/Sgd.

Risk Management

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.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.

   

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
-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
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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
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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
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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.