Fx Concepts Trading Advisor Inc. : Volatility Program

archived programs
Year-to-Date
N / A
Jul Performance
1.96%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.59%
Sharpe (RFR=1%)
0.52
CAROR
7.83%
Assets
$ 168.0M
Worst DD
-12.17
S&P Correlation
-0.21

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
9/2009
Volatility Program 1.96 - - - - - 8.84 34.34
S&P 500 4.95 - - - - - 70.19 227.71
+/- S&P 500 -2.99 - - - - - -61.36 -193.36

Strategy Description

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 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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
   

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
-12.17 24 3 4/1/2011 4/1/2013
-9.82 2 3 10/1/2009 12/1/2009
-3.95 2 2 12/1/2010 2/1/2011
-1.42 1 1 5/1/2010 6/1/2010
-0.40 1 1 9/1/2010 10/1/2010
-0.33 1 1 3/1/2010 4/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
15.82 3 5/1/2013 7/1/2013
12.57 3 1/1/2010 3/1/2010
9.90 1 5/1/2010 5/1/2010
8.96 1 3/1/2013 3/1/2013
7.45 2 3/1/2011 4/1/2011
6.96 3 7/1/2010 9/1/2010
5.49 2 9/1/2009 10/1/2009
5.35 1 11/1/2011 11/1/2011
4.17 1 5/1/2012 5/1/2012
3.87 2 11/1/2010 12/1/2010
3.65 1 7/1/2011 7/1/2011
3.37 2 1/1/2012 2/1/2012
2.06 1 1/1/2013 1/1/2013
1.84 1 9/1/2011 9/1/2011
1.83 1 9/1/2012 9/1/2012
0.53 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.46 1 4/1/2013 4/1/2013
-9.82 2 11/1/2009 12/1/2009
-5.61 1 8/1/2011 8/1/2011
-5.08 3 10/1/2012 12/1/2012
-5.06 2 5/1/2011 6/1/2011
-5.06 1 10/1/2011 10/1/2011
-3.95 2 1/1/2011 2/1/2011
-3.85 2 3/1/2012 4/1/2012
-3.79 1 6/1/2012 6/1/2012
-1.97 1 8/1/2012 8/1/2012
-1.42 1 6/1/2010 6/1/2010
-0.58 1 2/1/2013 2/1/2013
-0.40 1 10/1/2010 10/1/2010
-0.33 1 4/1/2010 4/1/2010
-0.05 1 12/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable55.3255.5654.7661.1166.6766.67
Average Period Return0.721.623.445.817.188.35
Average Gain3.565.158.4411.8212.5514.70
Average Loss-2.80-2.79-2.62-3.64-3.57-4.37
Best Period11.0215.8221.5634.5131.8031.28
Worst Period-11.46-8.74-10.19-8.21-7.08-12.17
Standard Deviation4.215.427.5011.0311.4812.21
Gain Standard Deviation2.864.466.4510.0310.349.58
Loss Standard Deviation2.672.462.592.722.504.07
Sharpe Ratio (1%)0.150.250.390.440.490.52
Average Gain / Average Loss1.271.843.223.243.513.37
Profit / Loss Ratio1.572.313.905.107.036.73
Downside Deviation (10%)2.763.133.845.827.019.21
Downside Deviation (5%)2.602.582.693.333.244.29
Downside Deviation (0%)2.562.452.442.802.483.34
Sortino Ratio (10%)0.110.130.250.14-0.06-0.21
Sortino Ratio (5%)0.240.531.091.441.751.48
Sortino Ratio (0%)0.280.661.412.072.902.50

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.