Forex Capital Markets, LLC : Sentiment Fund

archived programs
Year-to-Date
N / A
Nov Performance
-1.05%
Min Investment
$ 5k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.40%
Sharpe (RFR=1%)
0.75
CAROR
11.98%
Assets
$ 2.8M
Worst DD
-15.83
S&P Correlation
-0.23

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
11/2006
Sentiment Fund -1.05 - - - - - - 26.59
S&P 500 -7.48 - - - - - - 137.62
+/- S&P 500 6.43 - - - - - - -111.03

Strategy Description

Summary

-SENTIMENT FUND is a medium-term fund that employs two complementary systems simultaneously. The main system is based on DailyFX's Speculative Sentiment Index (SSI) which monitors traders positioning and open interest in currency pairs. Similar to the Commitment of Traders (COT) report... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 780 RT/YR/$M
Avg. Margin-to-Equity 5%
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

-SENTIMENT FUND is a medium-term fund that employs two complementary systems simultaneously. The main system is based on DailyFX's Speculative Sentiment Index (SSI) which monitors traders positioning and open interest in currency pairs. Similar to the Commitment of Traders (COT) report published by the CFTC, the SSI gauges shifts in market momentum and trader sentiment. The system enters a trade when SSI indicates an above normal change in the general market sentiment, whether it indicates that traders have flipped direction from long to short or if there was a significant increase in the same direction. The Fund performs well when the market breaks out of an established range or has begun trending. Similarly, the Fund will draw down during periods where the market is range bound. In order to control risk and minimize the effect of a ranging market, the Fund employs a secondary system which trades pairs that are traditionally range bound by closely monitoring their support and resistance levels and entering trades at the peaks and valleys, thereby minimizing the loss from range bound markets.

   

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-15.83 10 - 11/1/2007 9/1/2008
-2.67 2 1 4/1/2007 6/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
25.38 5 7/1/2007 11/1/2007
15.34 1 10/1/2008 10/1/2008
8.00 6 11/1/2006 4/1/2007
3.78 1 3/1/2008 3/1/2008
0.69 1 5/1/2008 5/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.29 3 12/1/2007 2/1/2008
-9.28 4 6/1/2008 9/1/2008
-2.67 2 5/1/2007 6/1/2007
-2.12 1 4/1/2008 4/1/2008
-1.05 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable56.0065.2270.0078.57100.00
Average Period Return1.042.705.0012.3015.34
Average Gain3.637.0710.4816.8915.34
Average Loss-2.25-5.50-7.79-4.54
Best Period15.3415.1624.2930.7421.43
Worst Period-7.90-9.29-11.03-8.362.88
Standard Deviation4.447.1610.8112.796.18
Gain Standard Deviation3.944.437.6310.096.18
Loss Standard Deviation2.431.963.543.57
Sharpe Ratio (1%)0.220.340.420.882.24
Average Gain / Average Loss1.611.291.343.73
Profit / Loss Ratio2.052.413.1413.66
Downside Deviation (10%)2.344.115.894.751.66
Downside Deviation (5%)2.183.564.872.90
Downside Deviation (0%)2.153.424.622.49
Sortino Ratio (10%)0.270.360.431.544.65
Sortino Ratio (5%)0.440.690.923.90
Sortino Ratio (0%)0.480.791.084.93

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.