Fx Concepts Trading Advisor Inc. : Global Financial Markets

archived programs
Year-to-Date
N / A
Jul Performance
12.57%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.19%
Sharpe (RFR=1%)
0.58
CAROR
12.82%
Assets
$ 10.0M
Worst DD
-44.21
S&P Correlation
-0.10

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 Financial Markets 12.57 - - - - - -10.49 347.01
S&P 500 4.95 - - - - - 70.19 178.90
+/- S&P 500 7.62 - - - - - -80.69 168.11

Strategy Description

Investment Strategy

The Global Financial Markets Program gives the investor exposure to each of our trading strategies: Developed Markets Currency, Global Currency Program, fixed income, commodity and equity futures. The GFM Composite contains all discretionary, fully-funded accounts in the... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
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 1300 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 0%
Systematic 100.00%

Strategy

Composition

Currency FX
66.00%
Interest Rates
34.00%
Composition Pie Chart

Investment Strategy

The Global Financial Markets Program gives the investor exposure to each of our trading strategies: Developed Markets Currency, Global Currency Program, fixed income, commodity and equity futures. The GFM Composite contains all discretionary, fully-funded accounts in the GFM Program. Returns include interest and are presented net of actual management and incentive fees.

The program runs at a volatility target of 18-20%.

   

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
-44.21 39 - 1/1/2009 4/1/2012
-20.35 6 7 5/1/2001 11/1/2001
-20.26 6 7 11/1/2005 5/1/2006
-16.84 9 8 12/1/2003 9/1/2004
-11.07 3 2 6/1/2008 9/1/2008
-10.04 2 3 6/1/2005 8/1/2005
-9.04 2 1 1/1/2007 3/1/2007
-7.24 2 2 6/1/2007 8/1/2007
-4.20 1 3 11/1/2007 12/1/2007
-3.63 2 2 5/1/2003 7/1/2003
-2.75 1 2 3/1/2008 4/1/2008
-2.35 1 1 9/1/2002 10/1/2002
-1.41 1 1 3/1/2001 4/1/2001
-1.27 1 1 2/1/2003 3/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
45.91 4 10/1/2008 1/1/2009
36.28 6 11/1/2012 4/1/2013
34.02 5 5/1/2002 9/1/2002
31.59 2 4/1/2003 5/1/2003
28.96 3 4/1/2007 6/1/2007
25.81 5 1/1/2010 5/1/2010
24.22 5 8/1/2003 12/1/2003
24.03 4 11/1/2002 2/1/2003
21.61 3 11/1/2006 1/1/2007
19.42 5 10/1/2004 2/1/2005
19.04 1 5/1/2001 5/1/2001
17.89 2 12/1/2001 1/1/2002
17.69 3 2/1/2011 4/1/2011
17.67 3 4/1/2005 6/1/2005
14.57 1 3/1/2001 3/1/2001
13.69 3 9/1/2005 11/1/2005
12.57 1 7/1/2013 7/1/2013
12.56 2 7/1/2010 8/1/2010
12.49 3 9/1/2007 11/1/2007
11.66 1 8/1/2001 8/1/2001
11.50 1 5/1/2012 5/1/2012
9.39 1 8/1/2006 8/1/2006
9.23 1 9/1/2011 9/1/2011
7.28 2 5/1/2008 6/1/2008
6.56 3 1/1/2008 3/1/2008
6.16 1 9/1/2012 9/1/2012
5.78 1 3/1/2002 3/1/2002
5.37 1 2/1/2004 2/1/2004
4.37 1 10/1/2010 10/1/2010
4.32 2 5/1/2009 6/1/2009
4.02 1 10/1/2001 10/1/2001
3.73 1 2/1/2006 2/1/2006
3.32 1 7/1/2011 7/1/2011
2.68 1 6/1/2006 6/1/2006
2.64 1 7/1/2012 7/1/2012
2.10 1 4/1/2006 4/1/2006
2.04 1 9/1/2009 9/1/2009
1.91 1 11/1/2009 11/1/2009
1.90 1 12/1/2010 12/1/2010
0.69 2 1/1/2012 2/1/2012
0.69 2 6/1/2004 7/1/2004
0.26 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.06 3 2/1/2009 4/1/2009
-16.31 2 7/1/2009 8/1/2009
-16.12 1 1/1/2011 1/1/2011
-15.27 1 9/1/2001 9/1/2001
-13.46 1 5/1/2006 5/1/2006
-13.23 1 8/1/2011 8/1/2011
-13.20 2 6/1/2001 7/1/2001
-13.08 1 10/1/2011 10/1/2011
-12.96 2 12/1/2005 1/1/2006
-12.29 1 2/1/2002 2/1/2002
-11.07 3 7/1/2008 9/1/2008
-10.64 2 5/1/2011 6/1/2011
-10.55 2 5/1/2013 6/1/2013
-10.18 2 3/1/2012 4/1/2012
-10.06 1 12/1/2009 12/1/2009
-10.04 2 7/1/2005 8/1/2005
-10.01 1 6/1/2012 6/1/2012
-9.60 2 8/1/2004 9/1/2004
-9.10 1 11/1/2010 11/1/2010
-9.04 2 2/1/2007 3/1/2007
-8.40 3 3/1/2004 5/1/2004
-8.35 1 3/1/2005 3/1/2005
-7.24 2 7/1/2007 8/1/2007
-7.12 1 10/1/2009 10/1/2009
-6.76 1 11/1/2001 11/1/2001
-5.35 1 1/1/2004 1/1/2004
-4.20 1 12/1/2007 12/1/2007
-3.91 2 9/1/2006 10/1/2006
-3.63 2 6/1/2003 7/1/2003
-2.79 1 10/1/2012 10/1/2012
-2.75 1 4/1/2008 4/1/2008
-2.35 1 10/1/2002 10/1/2002
-2.06 1 8/1/2012 8/1/2012
-1.83 1 6/1/2010 6/1/2010
-1.41 1 4/1/2001 4/1/2001
-1.27 1 3/1/2003 3/1/2003
-1.25 1 9/1/2010 9/1/2010
-1.22 1 7/1/2006 7/1/2006
-0.96 1 4/1/2002 4/1/2002
-0.63 1 12/1/2011 12/1/2011
-0.04 1 3/1/2006 3/1/2006
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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 Profitable60.4056.4664.5868.1268.1868.2581.5879.4186.67
Average Period Return1.253.466.8713.8921.0928.5141.1252.8570.26
Average Gain5.6511.7616.7426.7836.9347.5554.8871.5382.56
Average Loss-5.45-7.29-11.11-13.62-12.84-12.42-19.81-19.18-9.68
Best Period19.6343.5052.0993.17137.87163.75192.07199.53189.61
Worst Period-16.12-22.30-27.91-36.81-37.34-34.86-38.20-33.81-19.28
Standard Deviation6.9812.1116.8026.9936.2744.8651.5954.7959.20
Gain Standard Deviation4.448.9611.5122.3133.0141.8446.8045.3853.82
Loss Standard Deviation4.295.257.2210.3710.3610.8913.407.976.29
Sharpe Ratio (1%)0.170.270.380.480.540.590.740.891.10
Average Gain / Average Loss1.041.611.511.972.883.832.773.738.53
Profit / Loss Ratio1.582.092.754.206.168.2312.2714.3855.44
Downside Deviation (10%)4.566.599.1412.0412.9614.3016.8419.1615.19
Downside Deviation (5%)4.396.058.1110.089.9410.1411.3011.125.83
Downside Deviation (0%)4.355.917.869.639.269.2610.199.394.16
Sortino Ratio (10%)0.190.340.480.741.041.281.511.632.81
Sortino Ratio (5%)0.270.530.791.281.972.613.374.3911.18
Sortino Ratio (0%)0.290.590.871.442.283.084.045.6316.88

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.