IDS Capital : IDS F&F Systematic Trading

Year-to-Date
13.52%
Oct Performance
-3.37%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.76%
Sharpe (RFR=1%)
0.36
CAROR
4.13%
Assets
$ 6.0M
Worst DD
-16.79
S&P Correlation
0.20

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2013
IDS F&F Systematic Trading -3.37 -3.54 13.52 14.01 8.04 5.78 - 29.21
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 78.36
+/- S&P 500 -5.41 -5.45 -7.64 2.00 -33.38 -43.21 - -49.15

Strategy Description

Summary

A) 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%
Strategy Pie Chart

Composition

Summary

A) 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%.

   

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
-16.79 22 31 3/1/2015 1/1/2017
-5.15 2 - 8/1/2019 10/1/2019
-3.39 3 1 1/1/0001 9/1/2013
-2.30 1 2 11/1/2013 12/1/2013
-0.19 1 1 11/1/2014 12/1/2014
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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
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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
-5.15 2 9/1/2019 10/1/2019
-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
-1.19 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 Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable52.6362.1663.3855.3852.5452.8363.4162.07
Average Period Return0.381.312.623.914.083.983.166.03
Average Gain2.414.276.9111.3212.0112.819.2413.53
Average Loss-1.94-3.55-4.79-5.29-4.69-5.90-7.38-6.24
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 Deviation2.824.627.2310.4211.9412.0011.4512.27
Gain Standard Deviation2.042.804.988.0611.349.629.989.02
Loss Standard Deviation1.522.283.562.963.343.853.004.07
Sharpe Ratio (1%)0.100.230.290.280.220.160.010.16
Average Gain / Average Loss1.241.201.442.142.562.171.252.17
Profit / Loss Ratio1.421.982.502.652.832.432.173.55
Downside Deviation (10%)1.893.254.917.269.0411.7316.3019.56
Downside Deviation (5%)1.712.713.834.634.836.036.586.81
Downside Deviation (0%)1.662.583.594.043.944.814.804.53
Sortino Ratio (10%)-0.020.030.03-0.15-0.39-0.53-0.77-0.79
Sortino Ratio (5%)0.170.390.550.630.530.330.020.29
Sortino Ratio (0%)0.230.510.730.971.040.830.661.33

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.