First Southeastern Capital : Financial & Currency Diversified 2X Program

archived programs
Year-to-Date
N / A
Apr Performance
-0.34%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
32.53%
Sharpe (RFR=1%)
0.08
CAROR
-1.71%
Assets
$ 5.6M
Worst DD
-71.83
S&P Correlation
-0.03

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
1/2000
Financial & Currency Diversified 2X Program -0.34 - - - - - - -13.39
S&P 500 4.75 - - - - - - 157.03
+/- S&P 500 -5.09 - - - - - - -170.43

Strategy Description

Summary

-First Southeastern Capital Management's philosophy is to capture intermediate to long-term trends in the most liquid domestic financial and currency futures markets using an adaptive trend-following approach coupled with a contrarian component. Risk and return have been carefully... Read More

Account & Fees

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

Subscriptions

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

Trading

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

Summary

-First Southeastern Capital Management's philosophy is to capture intermediate to long-term trends in the most liquid domestic financial and currency futures markets using an adaptive trend-following approach coupled with a contrarian component. Risk and return have been carefully balanced through selectivity and diversification to create a robust trading system that has been successfully implemented with strict discipline. The goal is to capture long-term returns of 20-30% combined with a moderate volatility profile, i.e. drawdown potential of 15-20%. The system maintains an average margin-to-equity ratio of 18-22%.

   

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
-71.83 48 - 12/1/2003 12/1/2007
-17.43 5 7 5/1/2002 10/1/2002
-17.09 1 2 6/1/2003 7/1/2003
-13.05 2 1 9/1/2003 11/1/2003
-11.92 1 2 1/1/2002 2/1/2002
-8.38 2 1 9/1/2000 11/1/2000
-6.53 2 6 12/1/2000 2/1/2001
-3.58 2 1 10/1/2001 12/1/2001
-1.94 1 2 1/1/2000 2/1/2000
-0.52 1 1 7/1/2000 8/1/2000
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
39.19 3 4/1/2003 6/1/2003
38.99 3 3/1/2002 5/1/2002
37.84 2 5/1/2005 6/1/2005
34.18 5 6/1/2001 10/1/2001
32.19 5 3/1/2000 7/1/2000
28.90 2 12/1/2004 1/1/2005
25.67 2 8/1/2003 9/1/2003
18.84 2 9/1/2004 10/1/2004
15.06 1 12/1/2003 12/1/2003
13.33 1 1/1/2002 1/1/2002
11.08 1 12/1/2000 12/1/2000
9.85 1 1/1/2003 1/1/2003
9.33 2 1/1/2007 2/1/2007
9.07 3 6/1/2006 8/1/2006
8.78 1 11/1/2002 11/1/2002
6.76 1 8/1/2005 8/1/2005
6.21 1 9/1/2007 9/1/2007
6.01 1 3/1/2001 3/1/2001
5.84 1 3/1/2004 3/1/2004
3.15 2 1/1/2008 2/1/2008
3.14 1 9/1/2000 9/1/2000
1.47 1 12/1/2005 12/1/2005
1.36 1 1/1/2000 1/1/2000
1.20 1 2/1/2006 2/1/2006
0.43 1 6/1/2007 6/1/2007
0.11 2 8/1/2002 9/1/2002
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-62.00 5 4/1/2004 8/1/2004
-31.49 3 2/1/2005 4/1/2005
-17.48 2 1/1/2004 2/1/2004
-17.09 1 7/1/2003 7/1/2003
-16.92 3 3/1/2006 5/1/2006
-16.02 3 9/1/2005 11/1/2005
-14.42 1 11/1/2004 11/1/2004
-14.14 1 10/1/2002 10/1/2002
-13.05 2 10/1/2003 11/1/2003
-11.92 1 2/1/2002 2/1/2002
-9.43 2 2/1/2003 3/1/2003
-8.38 2 10/1/2000 11/1/2000
-7.98 4 9/1/2006 12/1/2006
-7.43 3 10/1/2007 12/1/2007
-6.53 2 1/1/2001 2/1/2001
-6.34 1 1/1/2006 1/1/2006
-5.80 3 3/1/2007 5/1/2007
-4.93 2 4/1/2001 5/1/2001
-4.28 2 7/1/2007 8/1/2007
-3.94 2 6/1/2002 7/1/2002
-3.58 2 11/1/2001 12/1/2001
-2.04 1 7/1/2005 7/1/2005
-1.94 1 2/1/2000 2/1/2000
-0.61 2 3/1/2008 4/1/2008
-0.52 1 8/1/2000 8/1/2000
-0.30 1 12/1/2002 12/1/2002
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods100.0098.0095.0089.0083.0077.0065.0053.0041.00
Percent Profitable47.0052.0451.5855.0645.7838.9629.2316.989.76
Average Period Return0.290.831.562.443.133.82-1.39-21.59-33.61
Average Gain7.4411.0716.6225.2842.9267.60101.4699.3915.38
Average Loss-6.04-10.28-14.48-25.55-30.47-36.89-43.87-46.34-38.91
Best Period26.6239.1945.0279.4987.82118.07145.03199.8728.72
Worst Period-25.53-45.40-59.78-64.51-68.52-64.99-71.06-71.83-62.32
Standard Deviation9.3915.4121.6332.2442.5355.5370.5165.8425.44
Gain Standard Deviation6.9210.6313.3518.2422.3624.2531.4977.6513.04
Loss Standard Deviation6.1911.6516.6521.8320.7019.4619.0320.7620.23
Sharpe Ratio (1%)0.020.040.050.040.040.03-0.06-0.39-1.52
Average Gain / Average Loss1.231.081.150.991.411.832.312.150.40
Profit / Loss Ratio1.091.171.221.211.191.170.960.440.04
Downside Deviation (10%)6.4811.2816.4525.0831.8439.7952.6064.7466.19
Downside Deviation (5%)6.3110.8115.4922.9327.9533.9142.5149.5845.91
Downside Deviation (0%)6.2710.6915.2622.4127.0332.5140.1646.1741.54
Sortino Ratio (10%)-0.02-0.04-0.06-0.10-0.14-0.16-0.33-0.67-0.93
Sortino Ratio (5%)0.030.050.070.060.060.05-0.10-0.52-0.84
Sortino Ratio (0%)0.050.080.100.110.120.12-0.03-0.47-0.81

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.