FTC Capital GmbH : FTC Futures Fund Classic (USD)

Year-to-Date
13.90%
Aug Performance
6.32%
Min Investment
$ 250k
Mgmt. Fee
3.00%
Perf. Fee
20.00%
Annualized Vol
16.38%
Sharpe (RFR=1%)
0.01
CAROR
-0.09%
Assets
$ 47.0M
Worst DD
-41.05
S&P Correlation
0.18

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
10/2010
FTC Futures Fund Classic (USD) 6.32 11.96 13.90 7.95 12.72 34.97 - -0.80
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 144.77
+/- S&P 500 8.13 5.63 -2.83 7.10 -20.71 -9.62 - -145.57

Strategy Description

Investment Strategy

The FTC Futures Fund Classic trades a broadly diversified universe of liquid futures contracts in all sectors (stock indices, fixed income, currencies, commodities). The fund has a core allocation of short, medium and long term trend following systems allocated equally... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
3.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

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
1800 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
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

Composition

Investment Strategy

The FTC Futures Fund Classic trades a broadly diversified universe of liquid futures contracts in all sectors (stock indices, fixed income, currencies, commodities). The fund has a core allocation of short, medium and long term trend following systems allocated equally amongst the 4 sectors (equity, commodity, fixed income and currencies). Approximately 70 percent of the fund's exposure is to trend following systems with an additional allocation to a number of non-correlated systems to offer extra diversification. Weighting of systems and markets are rule-based, as are entries, limits, stops and position sizes. The objective is to provide the desirable features of trend following (positive correlation in up trend cycles, negative correlation in down trend cycles) with an emphasis on loss control and providing superior risk adjusted returns.

   

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
-41.05 35 - 4/1/2011 3/1/2014
-6.37 1 2 10/1/2010 11/1/2010
-3.55 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
28.04 4 8/1/2014 11/1/2014
22.62 6 3/1/2019 8/1/2019
16.87 3 1/1/2015 3/1/2015
14.68 2 12/1/2017 1/1/2018
14.66 2 1/1/2016 2/1/2016
13.30 3 12/1/2010 2/1/2011
9.75 2 10/1/2013 11/1/2013
9.26 2 9/1/2017 10/1/2017
8.02 1 4/1/2011 4/1/2011
6.21 3 4/1/2014 6/1/2014
6.08 3 12/1/2011 2/1/2012
5.22 2 7/1/2012 8/1/2012
4.95 2 11/1/2016 12/1/2016
4.82 1 7/1/2015 7/1/2015
4.78 2 7/1/2018 8/1/2018
4.55 1 11/1/2015 11/1/2015
4.34 2 4/1/2012 5/1/2012
3.84 2 6/1/2016 7/1/2016
3.63 1 2/1/2017 2/1/2017
3.60 1 10/1/2010 10/1/2010
3.57 1 12/1/2018 12/1/2018
3.55 1 9/1/2015 9/1/2015
2.61 1 7/1/2017 7/1/2017
1.70 1 3/1/2013 3/1/2013
1.44 1 2/1/2014 2/1/2014
1.39 1 5/1/2017 5/1/2017
0.79 2 12/1/2012 1/1/2013
0.52 1 5/1/2015 5/1/2015
0.30 1 7/1/2011 7/1/2011
0.11 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.51 6 4/1/2013 9/1/2013
-15.15 2 2/1/2018 3/1/2018
-13.45 2 5/1/2011 6/1/2011
-10.88 3 3/1/2016 5/1/2016
-10.66 4 8/1/2011 11/1/2011
-10.55 2 12/1/2013 1/1/2014
-9.79 3 8/1/2016 10/1/2016
-9.39 3 9/1/2012 11/1/2012
-8.49 3 9/1/2018 11/1/2018
-8.22 1 4/1/2015 4/1/2015
-7.46 1 6/1/2015 6/1/2015
-7.12 2 1/1/2019 2/1/2019
-6.79 1 2/1/2013 2/1/2013
-6.62 1 8/1/2015 8/1/2015
-6.37 1 11/1/2010 11/1/2010
-5.77 1 12/1/2015 12/1/2015
-4.37 1 6/1/2012 6/1/2012
-4.26 1 3/1/2014 3/1/2014
-3.77 1 6/1/2017 6/1/2017
-3.55 1 3/1/2011 3/1/2011
-2.88 2 5/1/2018 6/1/2018
-2.87 1 10/1/2015 10/1/2015
-2.60 2 3/1/2017 4/1/2017
-2.51 1 7/1/2014 7/1/2014
-2.12 1 3/1/2012 3/1/2012
-1.72 1 1/1/2017 1/1/2017
-1.27 1 8/1/2017 8/1/2017
-0.54 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods107.00105.00102.0096.0090.0084.0072.0060.0048.00
Percent Profitable52.3444.7642.1636.4637.7844.0554.1745.0047.92
Average Period Return0.100.13-0.11-0.94-0.85-0.82-0.593.283.76
Average Gain3.557.0710.1114.1017.4516.2812.4017.3818.17
Average Loss-3.84-5.49-7.56-9.57-11.97-14.28-15.94-8.26-9.49
Best Period14.0129.3045.2154.9547.7340.8527.8652.9534.97
Worst Period-14.49-15.06-20.35-26.66-28.88-27.77-40.79-24.23-19.12
Standard Deviation4.737.9311.8415.5717.7918.5217.8116.0615.72
Gain Standard Deviation3.195.8910.9515.2114.3511.999.0912.489.79
Loss Standard Deviation2.833.864.816.707.469.2712.526.663.79
Sharpe Ratio (1%)0.00-0.01-0.05-0.12-0.13-0.15-0.20-0.05-0.09
Average Gain / Average Loss0.931.291.341.471.461.140.782.101.91
Profit / Loss Ratio1.061.040.970.850.890.900.921.721.76
Downside Deviation (10%)3.445.758.4612.8116.6019.7923.8323.7528.45
Downside Deviation (5%)3.265.137.139.9512.1213.9915.3410.3610.87
Downside Deviation (0%)3.224.976.809.2811.1012.7013.647.827.35
Sortino Ratio (10%)-0.09-0.19-0.31-0.46-0.51-0.56-0.69-0.77-0.84
Sortino Ratio (5%)0.01-0.02-0.09-0.19-0.19-0.20-0.24-0.08-0.12
Sortino Ratio (0%)0.030.03-0.02-0.10-0.08-0.06-0.040.420.51

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.