Fx Concepts Trading Advisor Inc. : Global Currency Program

archived programs
Year-to-Date
N / A
Jul Performance
-5.31%
Min Investment
$ 250k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
10.69%
Sharpe (RFR=1%)
0.48
CAROR
5.66%
Assets
$ 619.0M
Worst DD
-31.17
S&P Correlation
0.02

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
3/2001
Global Currency Program -5.31 - - - - - -26.46 98.15
S&P 500 4.95 - - - - - 70.19 198.55
+/- S&P 500 -10.26 - - - - - -96.66 -100.39

Strategy Description

Investment Strategy

The Global Currency Program (GCP) is a unique systematic strategy that generates superior risk-adjusted returns using a large selection of over 30 currencies, including major, minor and emerging markets. GCP has a low correlation not only versus our developed markets currency... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.75%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 650 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Investment Strategy

The Global Currency Program (GCP) is a unique systematic strategy that generates superior risk-adjusted returns using a large selection of over 30 currencies, including major, minor and emerging markets. GCP has a low correlation not only versus our developed markets currency programs, but also versus other asset classes and CTAs. The hallmarks of the GCP program are the use of dynamic allocation to focus on the best market opportunities and the ability to build diverse portfolios by incorporating a large number of currencies. Diversified portfolio of over 30 currencies

Target Annualized Return: 12 -14% (net)
Targeted Volatility: 11-13%
GCP Program Assets: over $3.0 billion

The Key Benefitis include:

* Diversification over large number of positions
* Over 500 potential currency pairings analyzed daily
* Smart allocation techniques
* Both price and interest rate data incorporated
* Disciplined,transparent investment process.

   

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:
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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
-31.17 55 - 12/1/2008 7/1/2013
-14.51 8 10 12/1/2003 8/1/2004
-5.48 1 2 4/1/2006 5/1/2006
-4.17 3 2 10/1/2007 1/1/2008
-3.84 3 1 5/1/2002 8/1/2002
-3.32 2 3 7/1/2008 9/1/2008
-2.86 2 2 12/1/2001 2/1/2002
-2.75 2 1 5/1/2001 7/1/2001
-2.39 1 2 6/1/2003 7/1/2003
-2.37 1 2 11/1/2005 12/1/2005
-2.29 2 2 8/1/2001 10/1/2001
-2.01 1 1 7/1/2005 8/1/2005
-1.99 1 2 1/1/2007 2/1/2007
-0.62 1 2 6/1/2007 7/1/2007
-0.21 1 1 1/1/2003 2/1/2003
-0.04 1 1 8/1/2006 9/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
17.71 4 3/1/2003 6/1/2003
17.01 10 1/1/2010 10/1/2010
16.28 6 9/1/2004 2/1/2005
15.71 3 3/1/2001 5/1/2001
12.27 6 2/1/2008 7/1/2008
11.48 5 8/1/2003 12/1/2003
11.47 5 9/1/2002 1/1/2003
10.85 3 6/1/2006 8/1/2006
10.73 4 4/1/2005 7/1/2005
10.50 4 3/1/2007 6/1/2007
10.06 3 3/1/2002 5/1/2002
9.59 4 10/1/2006 1/1/2007
7.39 2 1/1/2012 2/1/2012
7.30 2 11/1/2001 12/1/2001
6.86 1 8/1/2001 8/1/2001
6.38 3 9/1/2005 11/1/2005
6.18 3 8/1/2007 10/1/2007
5.59 3 2/1/2011 4/1/2011
4.63 4 1/1/2006 4/1/2006
3.67 3 10/1/2008 12/1/2008
3.33 1 5/1/2012 5/1/2012
3.27 2 6/1/2004 7/1/2004
3.21 1 9/1/2009 9/1/2009
2.70 2 5/1/2009 6/1/2009
2.69 2 12/1/2012 1/1/2013
1.59 1 9/1/2012 9/1/2012
1.45 1 2/1/2009 2/1/2009
1.26 1 7/1/2011 7/1/2011
0.83 1 2/1/2004 2/1/2004
0.79 1 7/1/2012 7/1/2012
0.74 1 11/1/2009 11/1/2009
0.64 1 3/1/2013 3/1/2013
0.45 1 12/1/2010 12/1/2010
0.33 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.37 4 4/1/2013 7/1/2013
-10.35 2 7/1/2009 8/1/2009
-8.62 1 1/1/2011 1/1/2011
-8.46 3 3/1/2004 5/1/2004
-8.37 1 8/1/2004 8/1/2004
-7.37 1 8/1/2011 8/1/2011
-6.71 2 3/1/2009 4/1/2009
-6.68 3 10/1/2011 12/1/2011
-5.95 1 3/1/2005 3/1/2005
-5.48 1 5/1/2006 5/1/2006
-4.91 2 5/1/2011 6/1/2011
-4.84 1 10/1/2009 10/1/2009
-4.81 2 3/1/2012 4/1/2012
-4.25 1 11/1/2010 11/1/2010
-4.17 3 11/1/2007 1/1/2008
-3.84 3 6/1/2002 8/1/2002
-3.51 1 6/1/2012 6/1/2012
-3.32 2 8/1/2008 9/1/2008
-2.86 2 1/1/2002 2/1/2002
-2.77 1 12/1/2009 12/1/2009
-2.75 2 6/1/2001 7/1/2001
-2.39 1 7/1/2003 7/1/2003
-2.37 1 12/1/2005 12/1/2005
-2.29 2 9/1/2001 10/1/2001
-2.11 1 1/1/2004 1/1/2004
-2.05 1 1/1/2009 1/1/2009
-2.01 1 8/1/2005 8/1/2005
-1.99 1 2/1/2007 2/1/2007
-1.92 1 8/1/2012 8/1/2012
-1.89 2 10/1/2012 11/1/2012
-0.64 1 2/1/2013 2/1/2013
-0.62 1 7/1/2007 7/1/2007
-0.21 1 2/1/2003 2/1/2003
-0.04 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods149.00147.00144.00138.00132.00126.00114.00102.0090.00
Percent Profitable63.7661.2270.1465.9466.6761.9072.8173.5377.78
Average Period Return0.511.513.096.349.7613.3620.8429.9641.61
Average Gain2.294.937.3113.8619.4227.8234.0747.0557.65
Average Loss-2.63-3.89-6.83-8.22-9.55-10.14-14.58-17.49-14.54
Best Period10.3617.6520.2430.6942.4051.4082.2683.5699.97
Worst Period-8.62-12.11-14.83-20.95-20.77-22.02-25.54-24.84-31.02
Standard Deviation3.095.527.8912.7616.7821.2126.7833.0138.00
Gain Standard Deviation1.903.714.747.9311.1712.6217.9818.7925.96
Loss Standard Deviation2.113.003.875.775.745.016.016.977.16
Sharpe Ratio (1%)0.140.230.330.420.490.530.670.780.96
Average Gain / Average Loss0.871.271.071.692.032.742.342.693.97
Profit / Loss Ratio1.532.002.523.274.074.466.267.4713.88
Downside Deviation (10%)2.223.695.518.4610.5612.9916.6820.6320.79
Downside Deviation (5%)2.063.174.526.337.188.109.6911.639.84
Downside Deviation (0%)2.023.054.285.846.426.978.219.667.60
Sortino Ratio (10%)0.050.080.110.160.210.240.300.410.67
Sortino Ratio (5%)0.210.400.570.841.151.401.842.233.71
Sortino Ratio (0%)0.250.500.721.091.521.922.543.105.47

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.