FTC Capital GmbH : FTC Commodity Fund Alpha

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
6.96%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.29%
Sharpe (RFR=1%)
0.11
CAROR
1.19%
Assets
$ 3.0M
Worst DD
-41.14
S&P Correlation
0.14

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/2005
FTC Commodity Fund Alpha 6.96 - - - - - -5.44 10.35
S&P 500 4.95 - - - - - 70.19 199.45
+/- S&P 500 2.01 - - - - - -75.63 -189.10

Strategy Description

Summary

The FTC Commodity Fund Alpha invests in a wide range of liquid and exchange traded commodity futures from all segments (energy, non-ferrous and precious metals, industrial raw materials, agricultural products). On average the largest weight of the portfolio is located to the energy... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Spreading/hedging
30.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Energy
45.00%
Industrial Metals
15.00%
Softs
15.00%
Precious Metals
10.00%
Grains
10.00%
Livestock
5.00%
Composition Pie Chart

Summary

The FTC Commodity Fund Alpha invests in a wide range of liquid and exchange traded commodity futures from all segments (energy, non-ferrous and precious metals, industrial raw materials, agricultural products). On average the largest weight of the portfolio is located to the energy segment. The fund started trading on April 1st 2005 and is denominated in Euro. The Gibraltar "Experienced Investor Fund" (see: Gibraltar Financial Services Regulations 2005) may be distributed to the public in Austria. In all other areas legal restrictions may apply.

Investment Strategy

The trading model consists of a multi-system approach in which trend-following systems of different time horizons build the core. Other, such as arbitrage opportunity based systems are not correlated to the trend-following thus offering additional diversification. Weights of systems and markets are rule-based as well as entries, limits, stops and position sizing. Goal is a high positive correlation to commodity indices in upward cycles. Longer corrective phases as well as clear down-trends also offer the chance for positive returns. A significantly negative correlation and high alpha with respect to commodity indices can be expected.

Risk Management

We use robust portfolio optimization techniques to deal with estimation risk. Total ex ante portfolio risk targets 20% annualized volatility to avoid not necessary rebalancing turnover.

   

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
-41.14 52 - 2/1/2009 6/1/2013
-16.85 2 3 1/1/0001 5/1/2005
-13.66 7 1 1/1/2007 8/1/2007
-8.60 1 3 9/1/2005 10/1/2005
-8.47 2 2 6/1/2008 8/1/2008
-7.91 1 2 1/1/2006 2/1/2006
-6.30 4 2 4/1/2006 8/1/2006
-5.70 1 2 2/1/2008 3/1/2008
-3.87 1 2 10/1/2006 11/1/2006
-1.18 1 1 10/1/2007 11/1/2007
-0.19 1 1 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
29.96 3 12/1/2010 2/1/2011
29.81 2 9/1/2007 10/1/2007
17.03 3 4/1/2008 6/1/2008
16.04 6 9/1/2008 2/1/2009
14.85 3 1/1/2012 3/1/2012
14.76 3 11/1/2005 1/1/2006
14.18 2 3/1/2006 4/1/2006
12.08 2 8/1/2005 9/1/2005
11.83 1 2/1/2008 2/1/2008
10.51 2 3/1/2010 4/1/2010
10.43 4 7/1/2010 10/1/2010
9.21 1 6/1/2005 6/1/2005
8.98 2 9/1/2006 10/1/2006
7.26 2 7/1/2012 8/1/2012
6.96 1 7/1/2013 7/1/2013
5.47 1 12/1/2007 12/1/2007
5.11 2 12/1/2006 1/1/2007
4.62 1 11/1/2009 11/1/2009
2.77 1 8/1/2009 8/1/2009
2.63 1 11/1/2011 11/1/2011
2.60 2 3/1/2013 4/1/2013
2.01 1 4/1/2011 4/1/2011
1.21 1 7/1/2011 7/1/2011
1.06 1 1/1/2013 1/1/2013
0.29 1 4/1/2007 4/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.76 2 5/1/2010 6/1/2010
-18.15 4 9/1/2012 12/1/2012
-16.85 2 4/1/2005 5/1/2005
-15.32 3 12/1/2009 2/1/2010
-14.47 2 5/1/2011 6/1/2011
-13.21 3 8/1/2011 10/1/2011
-12.36 5 3/1/2009 7/1/2009
-8.92 3 4/1/2012 6/1/2012
-8.60 1 10/1/2005 10/1/2005
-8.47 2 7/1/2008 8/1/2008
-8.37 4 5/1/2007 8/1/2007
-7.91 1 2/1/2006 2/1/2006
-7.41 2 5/1/2013 6/1/2013
-6.66 2 9/1/2009 10/1/2009
-6.30 4 5/1/2006 8/1/2006
-6.05 2 2/1/2007 3/1/2007
-5.70 1 3/1/2008 3/1/2008
-4.12 1 11/1/2010 11/1/2010
-3.87 1 11/1/2006 11/1/2006
-3.29 1 12/1/2011 12/1/2011
-2.12 1 2/1/2013 2/1/2013
-1.18 1 11/1/2007 11/1/2007
-0.98 1 7/1/2005 7/1/2005
-0.19 1 1/1/2008 1/1/2008
-0.11 1 3/1/2011 3/1/2011
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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 Profitable49.0047.9651.5855.0656.6353.2555.3858.4975.61
Average Period Return0.271.002.064.417.169.3615.1214.1316.78
Average Gain4.779.4013.5618.9724.0932.3741.1938.9829.16
Average Loss-4.06-6.75-10.18-13.43-14.94-16.85-17.23-20.89-21.62
Best Period17.3929.9651.0156.2977.0359.4587.7692.9766.49
Worst Period-18.65-19.71-24.88-28.53-34.11-30.98-31.11-38.05-37.48
Standard Deviation5.8610.0714.7919.9125.0428.9635.8436.0626.17
Gain Standard Deviation4.107.0610.5014.0119.4118.6527.0524.5515.04
Loss Standard Deviation3.594.826.487.739.329.857.9912.7111.08
Sharpe Ratio (1%)0.030.070.110.170.230.250.340.280.45
Average Gain / Average Loss1.181.391.331.411.611.922.391.871.35
Profit / Loss Ratio1.131.281.421.732.112.192.972.634.18
Downside Deviation (10%)4.086.709.8813.4016.0919.7622.8728.8825.93
Downside Deviation (5%)3.906.118.6710.9512.4114.5114.5117.9614.18
Downside Deviation (0%)3.855.968.3710.3611.5513.3012.6515.6611.87
Sortino Ratio (10%)-0.03-0.03-0.04-0.04-0.03-0.05-0.03-0.26-0.42
Sortino Ratio (5%)0.050.120.180.310.460.510.830.560.82
Sortino Ratio (0%)0.070.170.250.430.620.701.200.901.41

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.