Fx Concepts Trading Advisor Inc. : Multi-Strategy Program

archived programs
Year-to-Date
N / A
Jul Performance
-5.90%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
11.40%
Sharpe (RFR=1%)
0.35
CAROR
4.37%
Assets
$ 71.0M
Worst DD
-27.73
S&P Correlation
0.04

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
1/2002
Multi-Strategy Program -5.90 - - - - - -20.65 64.19
S&P 500 4.95 - - - - - 70.19 206.51
+/- S&P 500 -10.85 - - - - - -90.85 -142.32

Strategy Description

Investment Strategy

Our Multi-Strategy Program consists of numerous trading strategies with low correlation to each other; the Developed Market Currency strategies and Global Currency program. The Fund periodically adjusts the allocation between the two strategies to achieve an optimum balance... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
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 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
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

Our Multi-Strategy Program consists of numerous trading strategies with low correlation to each other; the Developed Market Currency strategies and Global Currency program. The Fund periodically adjusts the allocation between the two strategies to achieve an optimum balance of risk and return.

Basic Facts:
* Major, minor, and emerging currencies
* Target Annualized Return: 15-18% (net)
* Targeted Volatility: 13-15%

Key Benefits:
* Diversification across DMC and GCP strategies
* Low correlation between strategies
* Dynamic risk allocation between strategies
* Integrated risk management
* 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:
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
-27.73 56 - 11/1/2008 7/1/2013
-11.23 7 8 2/1/2004 9/1/2004
-10.45 6 6 11/1/2005 5/1/2006
-7.16 2 3 1/1/0001 2/1/2002
-4.74 2 2 6/1/2003 8/1/2003
-4.61 2 2 6/1/2005 8/1/2005
-4.61 3 2 10/1/2007 1/1/2008
-4.23 2 2 7/1/2008 9/1/2008
-3.34 2 2 6/1/2007 8/1/2007
-3.05 2 1 1/1/2007 3/1/2007
-2.32 2 1 6/1/2002 8/1/2002
-1.43 1 1 1/1/2003 2/1/2003
-0.68 1 1 12/1/2003 1/1/2004
-0.45 1 1 3/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
20.42 4 3/1/2003 6/1/2003
17.20 5 9/1/2002 1/1/2003
16.88 4 3/1/2002 6/1/2002
16.63 4 9/1/2003 12/1/2003
12.82 4 10/1/2006 1/1/2007
11.86 3 4/1/2007 6/1/2007
11.44 5 10/1/2004 2/1/2005
11.07 3 2/1/2010 4/1/2010
9.98 3 2/1/2011 4/1/2011
9.41 3 9/1/2005 11/1/2005
8.66 3 4/1/2005 6/1/2005
7.92 2 2/1/2008 3/1/2008
6.42 4 7/1/2010 10/1/2010
5.86 1 8/1/2006 8/1/2006
5.66 2 9/1/2007 10/1/2007
5.28 2 10/1/2008 11/1/2008
5.03 2 1/1/2012 2/1/2012
3.71 1 3/1/2013 3/1/2013
3.41 1 9/1/2011 9/1/2011
3.39 3 5/1/2008 7/1/2008
3.30 1 5/1/2012 5/1/2012
2.75 1 1/1/2013 1/1/2013
2.73 1 2/1/2004 2/1/2004
2.32 1 12/1/2010 12/1/2010
1.93 1 6/1/2006 6/1/2006
1.82 1 9/1/2009 9/1/2009
1.80 1 5/1/2009 5/1/2009
1.79 1 9/1/2012 9/1/2012
1.58 1 7/1/2011 7/1/2011
1.00 1 2/1/2006 2/1/2006
0.98 1 11/1/2011 11/1/2011
0.94 2 6/1/2004 7/1/2004
0.35 1 7/1/2012 7/1/2012
0.15 1 2/1/2009 2/1/2009
0.07 1 6/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.83 3 6/1/2009 8/1/2009
-8.22 1 8/1/2011 8/1/2011
-7.83 1 1/1/2011 1/1/2011
-7.30 2 3/1/2009 4/1/2009
-7.26 4 10/1/2009 1/1/2010
-7.16 2 1/1/2002 2/1/2002
-6.85 1 10/1/2011 10/1/2011
-6.78 2 5/1/2011 6/1/2011
-6.63 3 3/1/2006 5/1/2006
-6.44 2 8/1/2004 9/1/2004
-6.00 3 3/1/2004 5/1/2004
-5.90 1 7/1/2013 7/1/2013
-5.03 2 12/1/2005 1/1/2006
-4.89 2 4/1/2013 5/1/2013
-4.86 2 3/1/2012 4/1/2012
-4.74 2 7/1/2003 8/1/2003
-4.61 2 7/1/2005 8/1/2005
-4.61 3 11/1/2007 1/1/2008
-4.23 2 8/1/2008 9/1/2008
-4.13 1 6/1/2012 6/1/2012
-3.98 1 3/1/2005 3/1/2005
-3.64 1 11/1/2010 11/1/2010
-3.34 2 7/1/2007 8/1/2007
-3.05 2 2/1/2007 3/1/2007
-2.84 3 10/1/2012 12/1/2012
-2.32 2 7/1/2002 8/1/2002
-1.93 1 9/1/2006 9/1/2006
-1.51 1 8/1/2012 8/1/2012
-1.43 1 2/1/2003 2/1/2003
-1.34 2 5/1/2010 6/1/2010
-0.68 1 1/1/2004 1/1/2004
-0.59 2 12/1/2008 1/1/2009
-0.52 1 2/1/2013 2/1/2013
-0.45 1 4/1/2008 4/1/2008
-0.28 1 7/1/2006 7/1/2006
-0.16 1 12/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods139.00137.00134.00128.00122.00116.00104.0092.0080.00
Percent Profitable53.9651.8264.1860.9463.1161.2162.5070.6575.00
Average Period Return0.411.422.945.918.4810.4715.3320.2428.70
Average Gain2.806.027.8014.2318.6123.2330.4935.1242.81
Average Loss-2.38-3.54-5.76-7.07-8.86-9.65-9.94-15.59-13.62
Best Period9.3719.6926.2840.0259.1680.0678.1286.04101.14
Worst Period-8.22-11.59-16.29-19.72-19.34-18.15-21.22-23.80-27.13
Standard Deviation3.295.988.4314.1718.3221.3024.6929.0635.98
Gain Standard Deviation1.934.345.9211.4715.3817.5618.3320.4630.16
Loss Standard Deviation2.162.554.155.595.274.216.216.206.72
Sharpe Ratio (1%)0.100.190.290.350.380.400.500.560.66
Average Gain / Average Loss1.171.701.352.012.102.413.072.253.14
Profit / Loss Ratio1.371.832.433.143.603.805.115.429.43
Downside Deviation (10%)2.393.755.548.3610.6112.9116.5221.0922.15
Downside Deviation (5%)2.223.164.486.127.047.728.7911.159.93
Downside Deviation (0%)2.183.024.235.616.246.557.159.077.56
Sortino Ratio (10%)0.000.050.090.110.080.02-0.03-0.060.05
Sortino Ratio (5%)0.150.370.550.800.991.101.401.452.38
Sortino Ratio (0%)0.190.470.701.051.361.602.142.233.80

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.