Financial Commodity Investments : FX Premium Program (Client)

archived programs
Year-to-Date
N / A
Jan Performance
-0.33%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.24%
Sharpe (RFR=1%)
-0.48
CAROR
-
Assets
$ 90k
Worst DD
-8.28
S&P Correlation
-0.35

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
FX Premium Program (Client) -0.33 - - - - - - -4.08
S&P 500 4.36 - - - - - - 169.36
+/- S&P 500 -4.69 - - - - - - -173.44

Strategy Description

Summary

The goal of FCI is to achieve capital appreciation with the use of alternative investment strategies. FCI will attempt to obtain consistent quarterly returns that exceed those of the equity market and to protect capital against adverse market trends.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 50%
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 0%

Decision-Making

Discretionary 25.00%
Systematic 75.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The goal of FCI is to achieve capital appreciation with the use of alternative investment strategies. FCI will attempt to obtain consistent quarterly returns that exceed those of the equity market and to protect capital against adverse market trends.

Investment Strategy

FCI - FXPP engages in the selling or “writing” of options (puts and calls) on currency futures; within FXPP, FCI also sells vertical credit spreads and some volatility spreads like strangles or iron condors, for example. Also within FXPP, FCI utilizes a short-term momentum trading strategy; with this non-option selling component in FXPP, FCI will go long or short an underlying currency futures contract either using full size currency futures, e-mini or e-micro currency futures. We may hedge mark-to-market losses on short option positions that we intend to hold by going long or short the underlying e-micro currency futures contracts or full size currency futures contracts if the market structure is appropriate. However, in the future, FCI - FXPP may trade a broader portfolio of options, futures and cash markets. In doing so FCI reserves the right to place trades in any commodity futures contract or option contract thereon, on any exchange, foreign or domestic, at FCI's sole discretion. FCI may use other volatility spreads in the future in FXPP such as a backspread, ratio vertical spread, straddle, butterfly, or calendar spread.

Risk Management

FCI projects a trading range for a commodity contract over a specified period of time, usually from four (4) days to three (3) months. After considering other factors, FCI sells put and/or call options on the outer limits of that trading range. If the contract price stays within the projected range, time will erode the value of the option to the purchaser, the option will be worthless at expiration, and the premium that the client collected upfront, net of brokerage fees, will be profit. If the contract price starts to get close to a strike price and threatens to breach one of the projected limits, FCI will hedged is positions as a method of managing risk.It should be emphasized that, unlike an option buyer who risks losing only his investment in the premium, the seller of an option has unlimited risk. FCI must carefully manage this risk. If it does not manage this risk, a client could have substantial losses. In addition, there may be market conditions that make it impossible to properly manage this risk. Thus, FCI’s options selling program is designed for sophisticated investors who can accept a high degree of risk. Due to the risks involved in selling options, significant emphasis is placed on risk management techniques to minimize the losses on any particular trade on the portfolio as a whole. Stop-losses orders are used and managed in a proprietary manner to balance the potential loss in any trade versus the opportunity for maximum profit. Stop-loss orders may not necessarily limit losses since they become market orders upon execution; as a result a stop-loss order may not be executed at the stop-loss price. Depending on the model used, risk may be managed through variable position size or risk levels for any market. Additionally, modern portfolio techniques are used to construct the overall portfolio for a given program. These techniques will account for the volatility and correlation for markets as well as behavior during specific market extremes. Portfolio adjustments will be made to account for systematic changes in the relationships across markets. Portfolios are managed to meet risk and volatility tolerances.

   

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
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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
-8.28 -1 - 1/1/0001 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
5.89 3 4/1/2011 6/1/2011
2.45 2 11/1/2011 12/1/2011
2.39 1 9/1/2011 9/1/2011
0.53 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.00 1 1/1/2011 1/1/2011
-2.96 2 7/1/2011 8/1/2011
-2.66 1 10/1/2011 10/1/2011
-1.90 1 3/1/2011 3/1/2011
-0.33 1 1/1/2012 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable53.8545.4562.50
Average Period Return-0.290.110.76
Average Gain1.592.732.11
Average Loss-2.48-2.08-1.48
Best Period2.875.895.22
Worst Period-7.00-8.28-2.88
Standard Deviation2.673.572.47
Gain Standard Deviation0.862.021.98
Loss Standard Deviation2.343.091.22
Sharpe Ratio (1%)-0.14-0.040.11
Average Gain / Average Loss0.641.311.42
Profit / Loss Ratio0.751.092.37
Downside Deviation (10%)2.443.222.70
Downside Deviation (5%)2.272.701.36
Downside Deviation (0%)2.222.591.09
Sortino Ratio (10%)-0.28-0.35-0.63
Sortino Ratio (5%)-0.16-0.050.19
Sortino Ratio (0%)-0.130.040.70

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.