FTC Capital GmbH : FTC Futures Fund Dynamic

archived programsClosed to new investments
Year-to-Date
N / A
Sep Performance
5.90%
Min Investment
$ 100k
Mgmt. Fee
2.75%
Perf. Fee
20.00%
Annualized Vol
26.83%
Sharpe (RFR=1%)
0.27
CAROR
4.71%
Assets
$ 6.2M
Worst DD
-49.27
S&P Correlation
-0.05

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2002
FTC Futures Fund Dynamic 5.90 - - - - - -32.39 69.12
S&P 500 2.97 - - - - - 68.81 235.87
+/- S&P 500 2.93 - - - - - -101.20 -166.75

Strategy Description

Summary

The track record of FTC’s diversified futures program dates back to 1994. The US-Dollar denominated Dynamic program was developed for investors that seek a higher leverage compared to the original fund (FTC Futures Fund Classic). The Gibraltar "Experienced Investor Fund" (see: Gibraltar... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.75%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2300 RT/YR/$M
Avg. Margin-to-Equity 23%
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

Counter-trend
10.00%
Spreading/hedging
30.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Energy
13.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Grains
2.00%
Livestock
2.00%
Softs
2.00%
Composition Pie Chart

Summary

The track record of FTC’s diversified futures program dates back to 1994. The US-Dollar denominated Dynamic program was developed for investors that seek a higher leverage compared to the original fund (FTC Futures Fund Classic). The Gibraltar "Experienced Investor Fund" (see: Gibraltar Financial Services Regulations 2005) is allowed to be distributed to the public in Austria. In all other areas legal restrictions may apply.

Investment Strategy

The FTC Futures Fund Classic is a managed futures (CTA) class fund. It invests in a diversified portfolio of exchange-traded futures contracts in all asset classes (equity indices, interest rates, bonds, currencies, commodities) based on purely systematic criteria. The trading model consists of a multi strategy approach in which trend-following systems of different time horizons build the core. Other systems (such as short-term trading models and arbitrage strategies) provide additional diversification. Weights of systems and markets are rule-based as well as entries, limits, stops and position sizing. The fund provides the desired characteristics of trend-following strategies (positive correlation in upward markets and negative correlation in down cycles), but also offers performance opportunities in less trending phases due to its combination with other quantitative models. The aim is risk-adjusted returns superior to managed futures-benchmarks such as the Barclay CTA Index. The currently applied trading strategies were developed between 2005 and 2011.

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
-49.27 18 34 2/1/2003 8/1/2004
-47.57 28 - 4/1/2011 8/1/2013
-21.29 2 2 6/1/2007 8/1/2007
-18.19 2 3 9/1/2002 11/1/2002
-17.80 12 14 2/1/2009 2/1/2010
-9.04 2 2 6/1/2008 8/1/2008
-7.61 2 1 3/1/2008 5/1/2008
-1.68 1 2 10/1/2007 11/1/2007
-0.33 1 1 12/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
59.39 5 5/1/2002 9/1/2002
36.47 3 12/1/2002 2/1/2003
36.35 5 5/1/2005 9/1/2005
32.69 2 9/1/2007 10/1/2007
31.23 4 9/1/2008 12/1/2008
30.72 3 4/1/2007 6/1/2007
28.32 4 10/1/2006 1/1/2007
24.04 4 12/1/2007 3/1/2008
22.98 1 5/1/2003 5/1/2003
20.30 1 2/1/2004 2/1/2004
19.51 2 3/1/2006 4/1/2006
19.36 4 9/1/2004 12/1/2004
17.46 3 11/1/2005 1/1/2006
16.41 3 12/1/2010 2/1/2011
13.77 2 8/1/2009 9/1/2009
13.55 1 6/1/2008 6/1/2008
12.31 2 3/1/2010 4/1/2010
9.53 1 11/1/2009 11/1/2009
8.78 1 4/1/2011 4/1/2011
8.37 2 7/1/2010 8/1/2010
7.27 2 1/1/2012 2/1/2012
5.90 1 9/1/2013 9/1/2013
5.86 1 10/1/2010 10/1/2010
5.71 2 4/1/2012 5/1/2012
5.32 2 7/1/2012 8/1/2012
4.28 1 2/1/2005 2/1/2005
2.89 1 8/1/2006 8/1/2006
2.39 1 3/1/2013 3/1/2013
1.82 1 10/1/2003 10/1/2003
1.71 1 2/1/2009 2/1/2009
1.46 1 5/1/2009 5/1/2009
0.71 1 1/1/2013 1/1/2013
0.37 1 7/1/2013 7/1/2013
0.19 1 7/1/2011 7/1/2011
0.06 1 8/1/2003 8/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.19 6 3/1/2004 8/1/2004
-22.22 2 3/1/2003 4/1/2003
-21.29 2 7/1/2007 8/1/2007
-18.92 3 5/1/2006 7/1/2006
-18.19 2 10/1/2002 11/1/2002
-17.68 3 4/1/2013 6/1/2013
-16.85 2 5/1/2011 6/1/2011
-16.09 2 6/1/2003 7/1/2003
-15.83 3 12/1/2009 2/1/2010
-15.75 1 9/1/2003 9/1/2003
-14.58 5 8/1/2011 12/1/2011
-11.43 2 2/1/2007 3/1/2007
-11.06 2 3/1/2005 4/1/2005
-11.05 3 11/1/2003 1/1/2004
-10.88 4 9/1/2012 12/1/2012
-9.87 2 5/1/2010 6/1/2010
-9.72 2 3/1/2009 4/1/2009
-9.04 2 7/1/2008 8/1/2008
-8.82 1 10/1/2005 10/1/2005
-8.14 1 2/1/2013 2/1/2013
-7.77 1 11/1/2010 11/1/2010
-7.67 1 10/1/2009 10/1/2009
-7.61 2 4/1/2008 5/1/2008
-7.33 2 6/1/2009 7/1/2009
-7.21 1 1/1/2005 1/1/2005
-5.99 1 6/1/2012 6/1/2012
-5.42 1 9/1/2006 9/1/2006
-4.60 1 8/1/2013 8/1/2013
-3.85 1 3/1/2011 3/1/2011
-3.77 1 2/1/2006 2/1/2006
-3.76 1 9/1/2010 9/1/2010
-1.68 1 11/1/2007 11/1/2007
-1.37 1 3/1/2012 3/1/2012
-0.33 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods137.00135.00132.00126.00120.00114.00102.0090.0078.00
Percent Profitable51.8253.3353.7953.1754.1756.1461.7676.6789.74
Average Period Return0.681.652.816.1410.4516.4034.5956.1378.01
Average Gain6.6711.0215.1424.7234.0144.3866.9779.3789.22
Average Loss-5.77-9.05-11.54-14.95-17.40-19.42-17.72-20.26-20.10
Best Period22.9836.4756.3467.94105.44107.89138.36190.27203.36
Worst Period-21.24-23.29-31.19-37.94-49.26-41.69-40.01-41.01-31.64
Standard Deviation7.7412.6416.4524.5331.9039.5252.5165.2460.90
Gain Standard Deviation5.039.0511.0817.3723.9929.4740.7756.2753.72
Loss Standard Deviation4.105.767.6610.0910.0912.378.5013.549.61
Sharpe Ratio (1%)0.080.110.140.210.280.360.600.801.20
Average Gain / Average Loss1.161.221.311.651.962.293.783.924.44
Profit / Loss Ratio1.241.391.531.882.312.936.1112.8838.83
Downside Deviation (10%)5.138.0310.8315.3018.2621.3421.5422.0216.38
Downside Deviation (5%)4.957.459.6812.8914.4716.3513.8413.388.58
Downside Deviation (0%)4.907.319.3912.3113.5815.2012.1211.687.05
Sortino Ratio (10%)0.050.050.030.070.160.290.871.573.08
Sortino Ratio (5%)0.120.190.240.400.620.882.283.898.49
Sortino Ratio (0%)0.140.230.300.500.771.082.854.8011.06

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.