FTC Capital GmbH : FTC Futures Fund Classic (EUR)

Year-to-Date
11.07%
Aug Performance
6.04%
Min Investment
€ 100k
Mgmt. Fee
4.00%
Perf. Fee
23.00%
Annualized Vol
21.35%
Sharpe (RFR=1%)
0.35
CAROR
6.40%
Assets
€ 42.6M
Worst DD
-43.64
S&P Correlation
-0.04

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/1994
FTC Futures Fund Classic (EUR) 6.04 10.94 11.07 4.10 4.32 21.84 -16.95 366.56
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 538.37
+/- S&P 500 7.85 4.60 -5.66 3.24 -29.11 -22.75 -200.72 -171.81

Strategy Description

Summary

The track record of FTC’s diversified futures program dates back to 1994. Since May 1998 the fund is managed in its current jurisdictional form (SICAV) and is denominated in Euro. The fund is allowed to be distributed to the public in Austria and Luxemburg. In all other areas legal... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 100k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
Management Fee
4.00%
Performance Fee
23.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
18%
Targeted Worst DD
Worst Peak-to-Trough
43.65%
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%
Momentum
10.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Energy
10.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Grains
3.00%
Livestock
2.00%
Softs
2.00%
VIX
2.00%
Composition Pie Chart

Summary

The track record of FTC’s diversified futures program dates back to 1994. Since May 1998 the fund is managed in its current jurisdictional form (SICAV) and is denominated in Euro. The fund is allowed to be distributed to the public in Austria and Luxemburg. 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
-43.64 61 - 2/1/2009 3/1/2014
-33.77 18 33 2/1/2003 8/1/2004
-20.49 5 1 2/1/1998 7/1/1998
-19.68 4 2 4/1/1996 8/1/1996
-19.53 4 6 10/1/2001 2/1/2002
-17.27 5 1 6/1/1995 11/1/1995
-17.11 2 2 6/1/2007 8/1/2007
-15.59 1 2 1/1/1996 2/1/1996
-14.67 16 4 6/1/1999 10/1/2000
-14.15 2 3 2/1/1997 4/1/1997
-12.52 2 3 9/1/2002 11/1/2002
-11.03 4 2 3/1/2001 7/1/2001
-5.22 2 1 3/1/2008 5/1/2008
-4.78 2 2 11/1/1994 1/1/1995
-4.48 1 1 11/1/1996 12/1/1996
-4.19 1 2 6/1/2008 7/1/2008
-4.00 1 1 4/1/1995 5/1/1995
-2.08 1 1 12/1/1998 1/1/1999
-2.08 1 2 10/1/2007 11/1/2007
-0.88 1 1 7/1/1997 8/1/1997
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
48.92 8 8/1/2014 3/1/2015
42.62 3 9/1/1996 11/1/1996
32.62 5 8/1/1998 12/1/1998
31.81 7 3/1/2002 9/1/2002
30.28 7 8/1/2008 2/1/2009
28.83 5 5/1/2005 9/1/2005
27.66 5 11/1/2000 3/1/2001
25.08 6 9/1/1997 2/1/1998
25.08 2 3/1/1996 4/1/1996
24.67 3 12/1/2002 2/1/2003
24.63 2 12/1/1995 1/1/1996
24.41 2 1/1/1997 2/1/1997
23.91 3 4/1/2007 6/1/2007
22.32 3 2/1/1995 4/1/1995
22.17 3 8/1/2001 10/1/2001
21.77 4 10/1/2006 1/1/2007
21.26 2 9/1/2007 10/1/2007
20.74 5 2/1/1999 6/1/1999
17.98 4 9/1/2004 12/1/2004
15.86 1 2/1/2004 2/1/2004
14.14 2 1/1/2016 2/1/2016
14.14 3 11/1/2005 1/1/2006
14.13 4 12/1/2007 3/1/2008
13.82 2 12/1/2017 1/1/2018
13.52 1 5/1/2003 5/1/2003
13.10 1 5/1/1997 5/1/1997
12.84 3 12/1/2010 2/1/2011
11.54 2 3/1/2006 4/1/2006
11.27 1 7/1/1997 7/1/1997
10.94 3 6/1/2019 8/1/2019
10.71 4 11/1/2016 2/1/2017
10.19 3 2/1/2010 4/1/2010
10.17 2 8/1/2009 9/1/2009
9.33 2 10/1/2013 11/1/2013
8.86 1 6/1/2008 6/1/2008
8.60 2 9/1/2017 10/1/2017
8.50 2 3/1/2019 4/1/2019
7.65 1 8/1/2000 8/1/2000
7.57 1 4/1/2011 4/1/2011
7.31 1 10/1/2003 10/1/2003
7.19 1 11/1/2009 11/1/2009
6.19 3 4/1/2014 6/1/2014
5.72 2 7/1/2010 8/1/2010
5.59 3 12/1/2011 2/1/2012
5.24 2 1/1/2000 2/1/2000
5.07 1 6/1/1995 6/1/1995
4.93 2 7/1/2012 8/1/2012
4.87 1 11/1/2015 11/1/2015
4.37 2 4/1/2012 5/1/2012
4.21 2 7/1/2018 8/1/2018
4.08 1 10/1/2010 10/1/2010
4.00 1 5/1/2001 5/1/2001
3.78 1 7/1/2015 7/1/2015
3.75 1 2/1/2005 2/1/2005
3.49 2 6/1/2016 7/1/2016
3.21 1 9/1/2015 9/1/2015
3.20 1 12/1/2018 12/1/2018
3.18 1 11/1/1999 11/1/1999
2.97 1 8/1/2003 8/1/2003
2.78 1 12/1/2001 12/1/2001
2.15 1 7/1/2017 7/1/2017
2.04 1 8/1/2006 8/1/2006
1.95 1 12/1/2003 12/1/2003
1.67 1 11/1/1994 11/1/1994
1.52 1 2/1/2014 2/1/2014
1.51 1 3/1/2013 3/1/2013
0.78 1 4/1/2000 4/1/2000
0.43 2 12/1/2012 1/1/2013
0.30 1 5/1/2015 5/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-28.22 6 3/1/2004 8/1/2004
-22.82 7 5/1/2011 11/1/2011
-20.49 5 3/1/1998 7/1/1998
-19.68 4 5/1/1996 8/1/1996
-18.71 5 2/1/2018 6/1/2018
-17.27 5 7/1/1995 11/1/1995
-17.11 2 7/1/2007 8/1/2007
-16.86 2 3/1/2003 4/1/2003
-16.09 3 5/1/2006 7/1/2006
-15.62 6 4/1/2013 9/1/2013
-15.59 1 2/1/1996 2/1/1996
-15.20 1 11/1/2001 11/1/2001
-15.06 5 3/1/2009 7/1/2009
-14.15 2 3/1/1997 4/1/1997
-12.53 1 9/1/2003 9/1/2003
-12.52 2 10/1/2002 11/1/2002
-11.52 3 3/1/2016 5/1/2016
-11.06 2 12/1/2009 1/1/2010
-11.01 2 2/1/2007 3/1/2007
-10.95 1 4/1/2001 4/1/2001
-10.43 3 8/1/2016 10/1/2016
-10.20 2 12/1/2013 1/1/2014
-9.72 3 9/1/2012 11/1/2012
-9.48 2 6/1/2003 7/1/2003
-9.19 3 9/1/2018 11/1/2018
-9.03 2 3/1/2005 4/1/2005
-8.62 1 10/1/2005 10/1/2005
-8.32 1 1/1/2005 1/1/2005
-7.83 1 4/1/2015 4/1/2015
-7.77 2 9/1/2000 10/1/2000
-7.67 2 1/1/2019 2/1/2019
-7.67 2 1/1/2002 2/1/2002
-7.66 4 3/1/2017 6/1/2017
-7.65 4 7/1/1999 10/1/1999
-7.63 1 6/1/2015 6/1/2015
-7.10 2 5/1/2010 6/1/2010
-7.00 1 2/1/2013 2/1/2013
-6.63 1 10/1/2009 10/1/2009
-6.41 1 11/1/2010 11/1/2010
-5.93 1 8/1/2015 8/1/2015
-5.85 1 12/1/1999 12/1/1999
-5.70 1 3/1/2000 3/1/2000
-5.60 1 12/1/2015 12/1/2015
-5.22 2 4/1/2008 5/1/2008
-4.92 1 6/1/2012 6/1/2012
-4.78 2 12/1/1994 1/1/1995
-4.48 1 3/1/2014 3/1/2014
-4.48 1 12/1/1996 12/1/1996
-4.21 3 5/1/2000 7/1/2000
-4.19 1 7/1/2008 7/1/2008
-4.17 1 9/1/2010 9/1/2010
-4.15 1 9/1/2006 9/1/2006
-4.00 1 5/1/1995 5/1/1995
-3.93 2 6/1/2001 7/1/2001
-3.63 1 3/1/2011 3/1/2011
-3.38 1 11/1/2003 11/1/2003
-3.27 1 10/1/2015 10/1/2015
-3.08 1 2/1/2006 2/1/2006
-2.54 1 7/1/2014 7/1/2014
-2.10 1 1/1/2004 1/1/2004
-2.08 1 11/1/2007 11/1/2007
-2.08 1 1/1/1999 1/1/1999
-1.85 1 3/1/2012 3/1/2012
-1.58 1 8/1/2017 8/1/2017
-1.28 1 6/1/1997 6/1/1997
-0.88 1 8/1/1997 8/1/1997
-0.71 1 11/1/2017 11/1/2017
-0.06 1 5/1/2019 5/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods298.00296.00293.00287.00281.00275.00263.00251.00239.00
Percent Profitable54.0354.0557.0057.4962.6365.8267.6871.7174.90
Average Period Return0.702.003.817.4911.7416.4124.7132.4438.85
Average Gain5.019.2612.5919.5925.4031.6643.2451.6457.64
Average Loss-4.39-6.54-7.83-8.88-11.17-12.97-14.09-16.25-17.22
Best Period26.1042.6269.4979.18124.13125.18171.23181.42191.62
Worst Period-15.59-19.37-28.22-27.49-33.77-29.18-42.46-38.29-40.99
Standard Deviation6.1610.0813.4219.1824.7529.9041.4849.3453.66
Gain Standard Deviation4.507.5810.7316.2121.0925.2937.7545.1848.96
Loss Standard Deviation3.364.265.306.587.498.4810.7211.0810.85
Sharpe Ratio (1%)0.100.170.250.340.410.480.520.580.63
Average Gain / Average Loss1.141.421.612.212.272.443.073.183.35
Profit / Loss Ratio1.351.672.132.983.814.706.438.069.99
Downside Deviation (10%)3.956.007.6010.0712.4414.6018.4021.7924.57
Downside Deviation (5%)3.785.436.467.738.9910.0511.4712.2912.44
Downside Deviation (0%)3.735.286.197.208.219.0510.0410.4410.17
Sortino Ratio (10%)0.070.130.180.250.330.420.490.500.46
Sortino Ratio (5%)0.160.320.510.841.141.431.892.312.71
Sortino Ratio (0%)0.190.380.621.041.431.812.463.113.82

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.