FTC Capital GmbH : FTC Global Diversified

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-0.09%
Min Investment
$ 0k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.60%
Sharpe (RFR=1%)
-0.41
CAROR
-4.30%
Assets
$ 0k
Worst DD
-21.75
S&P Correlation
0.09

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
3/2012
FTC Global Diversified -0.09 0.96 - 3.27 - - - -11.71
S&P 500 -0.42 4.39 - 11.39 - - - 46.18
+/- S&P 500 0.33 -3.44 - -8.12 - - - -57.89

Strategy Description

Summary

The FTC Global Diversified primarily invests in a diversified portfolio of exchange-traded futures contracts in all asset classes (equity indices, interest rates, bonds, currencies and commodities) through certificates. In each market the fund can benefit from both rising and falling... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 0k
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
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
0 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

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Interest Rates
20.00%
Precious Metals
10.00%
Currency Futures
5.00%
Currency FX
5.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The FTC Global Diversified primarily invests in a diversified portfolio of exchange-traded futures contracts in all asset classes (equity indices, interest rates, bonds, currencies and commodities) through certificates. In each market the fund can benefit from both rising and falling prices (due to long or short positions). The certificates used import our purely systematic multi-strategy of medium- to long-term trend following (momentum), short-term trading and statistical arbitrage models on a broad investment universe.

Investment Strategy

The strategy mix combines the desired attributes of trend following (positive market correlation in upward trends and negative correlation in down cycles) with non correlating trading models.

Risk Management

The goal is superior risk-adjusted returns and lower long-term drawdowns in comparison to a pure trend-following strategy.

   

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
-21.75 22 - 5/1/2012 3/1/2014
-0.56 1 2 1/1/0001 3/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
9.56 1 11/1/2014 11/1/2014
6.35 3 4/1/2014 6/1/2014
3.74 2 8/1/2014 9/1/2014
3.25 1 8/1/2013 8/1/2013
3.13 3 3/1/2013 5/1/2013
2.97 2 10/1/2013 11/1/2013
2.14 1 8/1/2012 8/1/2012
2.09 2 4/1/2012 5/1/2012
1.17 1 2/1/2014 2/1/2014
0.76 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.67 2 6/1/2013 7/1/2013
-7.77 1 10/1/2014 10/1/2014
-6.45 2 12/1/2013 1/1/2014
-5.42 4 9/1/2012 12/1/2012
-5.11 1 2/1/2013 2/1/2013
-4.14 1 9/1/2013 9/1/2013
-2.93 1 3/1/2014 3/1/2014
-2.87 2 6/1/2012 7/1/2012
-0.56 1 3/1/2012 3/1/2012
-0.21 1 7/1/2014 7/1/2014
-0.09 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable50.0037.5027.5913.045.88
Average Period Return-0.31-1.34-3.03-8.17-12.60
Average Gain2.062.743.823.211.55
Average Loss-2.68-3.78-5.64-9.87-13.48
Best Period9.566.3510.094.151.55
Worst Period-7.77-8.97-11.60-16.03-20.56
Standard Deviation3.353.935.246.105.67
Gain Standard Deviation2.261.863.260.97
Loss Standard Deviation2.472.522.964.424.48
Sharpe Ratio (1%)-0.12-0.40-0.67-1.50-2.49
Average Gain / Average Loss0.770.720.680.320.11
Profit / Loss Ratio0.770.430.260.050.01
Downside Deviation (10%)2.764.417.3414.4620.93
Downside Deviation (5%)2.583.735.7710.9115.14
Downside Deviation (0%)2.543.575.3910.0413.74
Sortino Ratio (10%)-0.26-0.58-0.75-0.91-0.96
Sortino Ratio (5%)-0.15-0.43-0.61-0.84-0.93
Sortino Ratio (0%)-0.12-0.38-0.56-0.81-0.92

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 3.25 8/2013

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.