Futures Truth Company, FTC-CTA : MS4

archived programs
Year-to-Date
N / A
Dec Performance
0.65%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.05%
Sharpe (RFR=1%)
0.51
CAROR
5.72%
Assets
$ 500k
Worst DD
-17.65
S&P Correlation
-0.32

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
10/2007
MS4 0.65 -0.09 - -4.44 -6.39 -10.14 - 66.57
S&P 500 1.82 3.25 - 9.54 21.13 78.02 - 47.06
+/- S&P 500 -1.17 -3.35 - -13.97 -27.51 -88.17 - 19.52

Strategy Description

Summary

-At FTC, research has been the cornerstone of everything we’ve done for the last 25 years. It is our mission to develop technical trading strategies that deliver competitive returns for our clients with minimal risks. Diversification and a robust multiple strategy approach are the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
2.56%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
40.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Energy
20.00%
Stock Indices
20.00%
Currency Futures
10.00%
Precious Metals
10.00%
Grains
10.00%
Softs
5.00%
Composition Pie Chart

Summary

-At FTC, research has been the cornerstone of everything we’ve done for the last 25 years. It is our mission to develop technical trading strategies that deliver competitive returns for our clients with minimal risks. Diversification and a robust multiple strategy approach are the driving factors in our research platforms. We diversify our approach by utilizing diverse, non-correlated strategies that allow us to achieve the optimal combination of profits and risk control. Further diversification is delivered through differing strategies, portfolios and time frames. Our objective in our quantitative systems is to deliver non correlated returns to the S & P index and other CTAs. The foundation of our investment philosophy is to deliver outstanding returns regardless of the state of world economies.

Investment Strategy

The MS4 is made up of four unique quantitative trading strategies. The four strategies work to diversify, not only in portfolios, but also in the trading style and holding periods. One strategy is extremely short term, two are intermediate term and one is longer term. The manager, FTC, specializes in the development of trading strategies across diversified portfolios through rigorous quantitative studies of a large data base of historical prices. FTC programs are designed to have a low correlation to trend following strategies. FTC utilizes counter trend, pattern recognition, channel trading, and momentum analysis among other things to systematically trade futures. Positions are held for an average of 2 days to 2 months. Inception of this program began on Oct 1, 2007.

Risk Management

The managed Futures portfolio’s targeted return to risk ratio is estimated to be two to one. The objective is to deliver returns of approximately 15-20% per year with a targeted drawdown of 10-15%.

   

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
-17.65 65 - 6/1/2011 11/1/2016
-9.20 10 2 6/1/2009 4/1/2010
-7.31 3 1 1/1/2009 4/1/2009
-2.56 1 1 1/1/2008 2/1/2008
-1.97 2 4 12/1/2010 2/1/2011
-1.17 1 1 3/1/2008 4/1/2008
-0.13 1 1 5/1/2008 6/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
50.42 7 7/1/2008 1/1/2009
23.74 8 5/1/2010 12/1/2010
10.92 2 5/1/2009 6/1/2009
9.87 4 10/1/2007 1/1/2008
5.15 2 4/1/2012 5/1/2012
4.82 1 5/1/2008 5/1/2008
3.86 1 1/1/2010 1/1/2010
3.53 2 7/1/2012 8/1/2012
3.15 1 6/1/2011 6/1/2011
2.97 3 5/1/2014 7/1/2014
2.85 1 3/1/2008 3/1/2008
2.83 1 8/1/2009 8/1/2009
2.18 1 1/1/2013 1/1/2013
2.11 3 8/1/2015 10/1/2015
1.88 1 10/1/2014 10/1/2014
1.78 3 1/1/2014 3/1/2014
1.48 2 10/1/2009 11/1/2009
1.23 1 10/1/2012 10/1/2012
1.19 2 3/1/2011 4/1/2011
0.88 1 8/1/2011 8/1/2011
0.66 1 10/1/2016 10/1/2016
0.65 1 12/1/2016 12/1/2016
0.60 1 2/1/2012 2/1/2012
0.48 1 6/1/2015 6/1/2015
0.36 1 10/1/2013 10/1/2013
0.31 1 2/1/2016 2/1/2016
0.29 1 6/1/2013 6/1/2013
0.23 1 4/1/2015 4/1/2015
0.10 1 7/1/2016 7/1/2016
0.07 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.45 5 9/1/2011 1/1/2012
-7.31 3 2/1/2009 4/1/2009
-7.01 3 2/1/2010 4/1/2010
-5.14 5 11/1/2014 3/1/2015
-4.14 1 9/1/2012 9/1/2012
-4.05 1 9/1/2009 9/1/2009
-3.97 1 7/1/2009 7/1/2009
-3.50 2 8/1/2016 9/1/2016
-3.30 2 11/1/2012 12/1/2012
-2.82 1 3/1/2012 3/1/2012
-2.73 1 5/1/2015 5/1/2015
-2.59 3 7/1/2013 9/1/2013
-2.56 1 2/1/2008 2/1/2008
-2.22 1 12/1/2009 12/1/2009
-1.97 2 1/1/2011 2/1/2011
-1.93 4 3/1/2016 6/1/2016
-1.85 1 6/1/2012 6/1/2012
-1.47 1 5/1/2013 5/1/2013
-1.41 3 11/1/2015 1/1/2016
-1.20 1 7/1/2011 7/1/2011
-1.17 1 4/1/2008 4/1/2008
-0.94 2 8/1/2014 9/1/2014
-0.88 2 2/1/2013 3/1/2013
-0.77 1 5/1/2011 5/1/2011
-0.74 1 11/1/2016 11/1/2016
-0.60 1 7/1/2015 7/1/2015
-0.33 2 11/1/2013 12/1/2013
-0.13 1 6/1/2008 6/1/2008
-0.06 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods110.00109.00106.00100.0094.0088.0076.0064.0052.00
Percent Profitable51.8253.2154.7249.0047.8744.3244.7454.6961.54
Average Period Return0.511.793.366.847.818.8312.6813.1615.36
Average Gain2.296.109.6618.7621.9327.1436.6431.8232.23
Average Loss-1.40-3.11-4.25-4.62-5.17-5.75-6.73-9.37-11.63
Best Period15.6073.4571.4866.5765.8968.3986.9699.5487.15
Worst Period-4.26-43.21-42.59-45.82-45.46-43.61-44.97-46.21-49.48
Standard Deviation2.909.9512.7418.5420.4922.0530.9131.6031.87
Gain Standard Deviation2.8810.7513.4319.5821.2621.0432.3631.7229.08
Loss Standard Deviation1.226.015.996.256.356.406.537.9610.04
Sharpe Ratio (1%)0.150.160.220.310.310.310.310.290.32
Average Gain / Average Loss1.631.962.274.064.244.725.453.402.77
Profit / Loss Ratio1.752.232.753.903.903.754.414.104.44
Downside Deviation (10%)1.515.046.058.3010.5112.9817.7123.0527.47
Downside Deviation (5%)1.334.675.115.976.627.488.7010.4712.02
Downside Deviation (0%)1.284.594.915.525.886.396.938.229.43
Sortino Ratio (10%)0.070.110.150.220.02-0.11-0.17-0.36-0.45
Sortino Ratio (5%)0.320.330.560.980.950.911.110.870.85
Sortino Ratio (0%)0.400.390.691.241.331.381.831.601.63

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 1 15.60 12/2008
Diversified Trader Index Month 1 15.60 12/2008
IASG CTA Index Month 3 15.60 12/2008
IASG CTA Index Sharpe 5 4.15 2006 - 2007

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