Futures Truth Company, FTC-CTA : MS4 Institutional Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 0.01% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 4.24% Sharpe (RFR=1%) 0.91 CAROR 4.86% Assets $ 1.0M Worst DD -3.07 S&P Correlation -0.34 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since10/2007 MS4 Institutional 0.01 - - - - - -0.21 26.31 S&P 500 1.98 - - - - - 53.52 139.92 +/- S&P 500 -1.97 - - - - - -53.73 -113.61 Strategy Description SummaryAt 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 $ 1,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 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 -7.00% Worst Peak-to-Trough 9.00% 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% Composition Interest Rates 25.00% Currency Futures 20.00% Stock Indices 20.00% Energy 15.00% Grains 10.00% Precious Metals 5.00% Softs 5.00% SummaryAt 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 StrategyThe MS4 is a lower leveraged product. 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.Risk ManagementThe 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%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -3.07 10 2 6/1/2009 4/1/2010 -2.99 9 - 6/1/2011 3/1/2012 -2.47 3 1 1/1/2009 4/1/2009 -0.85 1 1 1/1/2008 2/1/2008 -0.66 2 4 12/1/2010 2/1/2011 -0.39 1 1 3/1/2008 4/1/2008 -0.04 1 1 5/1/2008 6/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.01 7 7/1/2008 1/1/2009 7.49 8 5/1/2010 12/1/2010 3.63 2 5/1/2009 6/1/2009 3.22 4 10/1/2007 1/1/2008 1.71 2 4/1/2012 5/1/2012 1.60 1 5/1/2008 5/1/2008 1.29 1 1/1/2010 1/1/2010 1.18 2 7/1/2012 8/1/2012 1.05 1 6/1/2011 6/1/2011 0.95 1 3/1/2008 3/1/2008 0.94 1 8/1/2009 8/1/2009 0.49 2 10/1/2009 11/1/2009 0.46 2 3/1/2011 4/1/2011 0.29 1 8/1/2011 8/1/2011 0.20 1 2/1/2012 2/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -2.47 3 2/1/2009 4/1/2009 -2.37 3 2/1/2010 4/1/2010 -2.21 5 9/1/2011 1/1/2012 -1.34 1 9/1/2009 9/1/2009 -1.32 1 7/1/2009 7/1/2009 -0.94 1 3/1/2012 3/1/2012 -0.85 1 2/1/2008 2/1/2008 -0.74 1 12/1/2009 12/1/2009 -0.66 2 1/1/2011 2/1/2011 -0.62 1 6/1/2012 6/1/2012 -0.39 1 4/1/2008 4/1/2008 -0.34 1 7/1/2011 7/1/2011 -0.26 1 5/1/2011 5/1/2011 -0.04 1 6/1/2008 6/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods59.0057.0054.0048.0042.0036.0024.00 Percent Profitable61.0268.4275.9375.0092.86100.00100.00 Average Period Return0.401.202.385.097.249.2414.25 Average Gain1.072.193.607.127.859.2414.25 Average Loss-0.64-0.94-1.45-1.01-0.66 Best Period5.208.5414.2716.5218.9219.7424.18 Worst Period-1.42-2.47-2.81-2.13-1.372.062.76 Standard Deviation1.222.303.785.936.225.768.54 Gain Standard Deviation1.092.073.535.486.035.768.54 Loss Standard Deviation0.450.800.730.720.63 Sharpe Ratio (1%)0.260.420.500.690.921.251.31 Average Gain / Average Loss1.682.342.487.0811.81 Profit / Loss Ratio2.635.077.8321.24153.58 Downside Deviation (10%)0.721.352.143.523.974.357.15 Downside Deviation (5%)0.520.801.021.080.680.06 Downside Deviation (0%)0.480.680.790.610.22 Sortino Ratio (10%)0.00-0.02-0.040.03-0.09-0.23-0.21 Sortino Ratio (5%)0.611.201.853.788.38201.76 Sortino Ratio (0%)0.841.763.028.3332.27 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. x {{title}} x {{title}} Add Cancel