IDS Capital : IDS F&F Systematic Trading Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 17.48% Sep Performance -1.84% Min Investment $ 50k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 9.71% Sharpe (RFR=1%) 0.42 CAROR 4.76% Assets $ 6.0M Worst DD -16.79 S&P Correlation 0.21 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since7/2013 IDS F&F Systematic Trading -1.84 0.88 17.48 17.61 5.15 10.35 - 33.72 S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 74.79 +/- S&P 500 -3.56 -0.31 -1.26 15.46 -30.74 -39.05 - -41.07 Strategy Description SummaryA) The IDS F&F Systematic Strategy seeks to benefit from major market cycles through a unique short-medium term global tactical asset allocation strategy systematically applied to a diversified portfolio of over 100 of the most liquid futures markets globally, including stock indices,... Read More Account & Fees Type Managed Account Minimum Investment $ 50k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 800 RT/YR/$M Avg. Margin-to-Equity 8% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 15.00% 1-3 Months 80.00% 1-30 Days 5.00% Intraday 0% Decision-Making Discretionary 1.00% Systematic 99.00% Strategy Counter-trend 10.00% Trend-following 90.00% Composition SummaryA) The IDS F&F Systematic Strategy seeks to benefit from major market cycles through a unique short-medium term global tactical asset allocation strategy systematically applied to a diversified portfolio of over 100 of the most liquid futures markets globally, including stock indices, government bonds, foreign exchange, energy complex, metals and agriculture contracts traded on recognised & designated investment exchanges. This non-fundamental behavioural strategy aims to benefit from market trends over the short-medium term while reducing the stationary cost of trend-following: The Top/Down Global Tactical Asset Allocation proactively selects the high quality trends globally and allocates risk capital to benefit opportunistically through a cluster approach. B) Systematic Process: Driving asset selection, portfolio construction, risk management, trade entry & exit. C) Disciplined Risk Management: Fully integrated and systematically controlling market & sector exposures, portfolio risk and dynamic position exposure sizing. D) Multiple Sectors and Markets: Ensuring a highly diversified liquid portfolio and reducing portfolio volatility. E) Adaptive & Dynamic: Adapting to changing market environments to exploit trends and to manage risk of capital loss when diversification becomes less efficient. NOTE: Track record reflects a managed account with management and platform fees of 1.75% and performance fee of 20%. 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 -16.79 22 31 3/1/2015 1/1/2017 -3.39 3 1 1/1/0001 9/1/2013 -2.30 1 2 11/1/2013 12/1/2013 -1.84 1 - 8/1/2019 9/1/2019 -0.19 1 1 11/1/2014 12/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 16.23 6 3/1/2019 8/1/2019 13.83 8 4/1/2014 11/1/2014 11.09 2 10/1/2013 11/1/2013 7.89 3 1/1/2015 3/1/2015 7.59 1 1/1/2018 1/1/2018 6.68 2 4/1/2017 5/1/2017 5.61 2 1/1/2014 2/1/2014 5.42 1 2/1/2017 2/1/2017 4.34 2 6/1/2016 7/1/2016 4.24 3 11/1/2018 1/1/2019 3.81 1 8/1/2017 8/1/2017 3.01 1 7/1/2015 7/1/2015 2.30 1 11/1/2015 11/1/2015 1.37 1 1/1/2016 1/1/2016 1.03 1 10/1/2017 10/1/2017 1.00 1 8/1/2018 8/1/2018 0.94 1 5/1/2018 5/1/2018 0.81 1 4/1/2016 4/1/2016 0.75 1 12/1/2016 12/1/2016 0.75 1 5/1/2015 5/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.34 4 8/1/2016 11/1/2016 -6.52 3 2/1/2018 4/1/2018 -6.03 2 6/1/2018 7/1/2018 -4.49 1 1/1/2017 1/1/2017 -4.28 3 8/1/2015 10/1/2015 -4.17 1 4/1/2015 4/1/2015 -4.14 2 9/1/2018 10/1/2018 -3.39 3 7/1/2013 9/1/2013 -3.22 1 6/1/2015 6/1/2015 -2.84 2 2/1/2016 3/1/2016 -2.60 1 3/1/2017 3/1/2017 -2.53 2 6/1/2017 7/1/2017 -2.42 1 9/1/2017 9/1/2017 -2.30 1 12/1/2013 12/1/2013 -1.84 1 9/1/2019 9/1/2019 -1.19 1 5/1/2016 5/1/2016 -1.15 1 12/1/2015 12/1/2015 -0.79 1 2/1/2019 2/1/2019 -0.57 2 11/1/2017 12/1/2017 -0.19 1 12/1/2014 12/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods75.0073.0070.0064.0058.0052.0040.0028.00 Percent Profitable53.3363.0162.8654.6951.7251.9262.5060.71 Average Period Return0.431.382.633.754.073.973.046.13 Average Gain2.414.277.0211.2512.2513.119.2914.13 Average Loss-1.90-3.55-4.79-5.29-4.69-5.90-7.38-6.24 Best Period7.8311.0316.4625.5540.5033.4532.4729.31 Worst Period-5.95-8.47-12.76-11.90-13.55-14.56-11.75-12.07 Standard Deviation2.804.627.2910.4312.0412.1111.5712.49 Gain Standard Deviation2.042.804.988.1611.459.6710.188.92 Loss Standard Deviation1.532.333.562.963.343.853.004.07 Sharpe Ratio (1%)0.120.240.290.260.210.160.000.17 Average Gain / Average Loss1.271.201.472.122.612.221.262.27 Profit / Loss Ratio1.502.052.482.562.802.402.103.50 Downside Deviation (10%)1.853.234.957.319.1111.8216.4519.61 Downside Deviation (5%)1.672.703.864.674.876.096.676.93 Downside Deviation (0%)1.632.573.614.073.984.864.864.61 Sortino Ratio (10%)0.010.050.03-0.17-0.39-0.53-0.77-0.79 Sortino Ratio (5%)0.210.420.550.590.530.320.000.30 Sortino Ratio (0%)0.260.540.730.921.020.820.631.33 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 10 6.00 10/2013 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