IKOS : Financial Fund

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-1.11%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.95%
Sharpe (RFR=1%)
0.57
CAROR
5.34%
Assets
$ 228.1M
Worst DD
-16.02
S&P Correlation
-0.13

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
5/1997
Financial Fund -1.11 - - - - - -5.76 131.72
S&P 500 -1.50 - - - - - 64.80 308.37
+/- S&P 500 0.39 - - - - - -70.56 -176.65

Strategy Description

Summary

IKOS creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. IKOS Financial USD is a multi-strategy Systematic Global Macro fund carrying out global asset allocation between... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 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 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

IKOS creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. IKOS Financial USD is a multi-strategy Systematic Global Macro fund carrying out global asset allocation between indices, currencies, commodities, interest rates and bonds; a Currency only option is also available. Econometric models are combined with time-series analysis and market micro-structure models within an integrated risk management and IKOS’ systematic high-frequency execution platform. The fund seeks returns over tick-by-tick timescales, through medium term technical, up to longer term fundamental in an attempt to capture as many different types of opportunity as possible in order to make the fund more robust to changing market conditions.

   

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
-16.02 14 21 6/1/2007 8/1/2008
-11.82 26 - 4/1/2011 6/1/2013
-9.60 5 9 2/1/2004 7/1/2004
-8.42 5 3 10/1/2001 3/1/2002
-7.05 5 5 1/1/0001 9/1/1997
-6.37 2 7 9/1/1998 11/1/1998
-5.87 5 4 2/1/2000 7/1/2000
-5.81 5 4 12/1/2000 5/1/2001
-5.12 2 2 9/1/2002 11/1/2002
-4.81 7 3 3/1/2006 10/1/2006
-4.11 3 1 6/1/2003 9/1/2003
-3.51 1 2 3/1/2003 4/1/2003
-2.81 2 3 10/1/2010 12/1/2010
-1.83 1 3 8/1/1999 9/1/1999
-1.36 1 2 11/1/2005 12/1/2005
-1.13 2 1 1/1/2007 3/1/2007
-1.07 1 2 6/1/1998 7/1/1998
-0.27 1 1 7/1/2005 8/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
20.83 6 4/1/2002 9/1/2002
20.33 9 10/1/1997 6/1/1998
15.39 9 11/1/2004 7/1/2005
14.66 10 1/1/2010 10/1/2010
14.27 5 10/1/2003 2/1/2004
14.22 4 12/1/2002 3/1/2003
11.55 3 4/1/2007 6/1/2007
10.62 6 9/1/2008 2/1/2009
10.12 5 6/1/2001 10/1/2001
8.25 3 10/1/2000 12/1/2000
7.88 5 4/1/1999 8/1/1999
7.45 5 10/1/1999 2/1/2000
7.00 3 1/1/2006 3/1/2006
6.62 3 11/1/2006 1/1/2007
6.61 3 9/1/2005 11/1/2005
6.42 2 5/1/2003 6/1/2003
5.78 3 9/1/2009 11/1/2009
5.59 4 1/1/2011 4/1/2011
4.37 3 12/1/2007 2/1/2008
3.19 1 5/1/2009 5/1/2009
3.18 1 7/1/2009 7/1/2009
2.51 2 8/1/2004 9/1/2004
2.41 1 5/1/2000 5/1/2000
2.36 2 12/1/1998 1/1/1999
2.35 2 8/1/1998 9/1/1998
2.34 1 9/1/2007 9/1/2007
2.28 1 8/1/2000 8/1/2000
2.13 2 6/1/1997 7/1/1997
1.98 1 7/1/2012 7/1/2012
1.73 1 9/1/2011 9/1/2011
1.68 1 7/1/2011 7/1/2011
1.55 1 3/1/2001 3/1/2001
0.66 1 5/1/2008 5/1/2008
0.65 1 8/1/2006 8/1/2006
0.46 1 3/1/2013 3/1/2013
0.45 1 8/1/2003 8/1/2003
0.29 1 5/1/2006 5/1/2006
0.28 2 4/1/2012 5/1/2012
0.28 1 12/1/2011 12/1/2011
0.24 1 5/1/2004 5/1/2004
0.04 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.78 2 7/1/2007 8/1/2007
-8.42 5 11/1/2001 3/1/2002
-7.51 3 6/1/2008 8/1/2008
-6.65 2 3/1/2004 4/1/2004
-6.37 2 10/1/1998 11/1/1998
-5.76 1 5/1/1997 5/1/1997
-5.12 2 10/1/2002 11/1/2002
-4.76 2 5/1/2011 6/1/2011
-4.75 2 10/1/2007 11/1/2007
-4.44 2 4/1/2001 5/1/2001
-4.29 2 3/1/2000 4/1/2000
-3.96 2 6/1/2000 7/1/2000
-3.74 3 4/1/2013 6/1/2013
-3.68 2 6/1/2006 7/1/2006
-3.62 2 3/1/2009 4/1/2009
-3.51 1 4/1/2003 4/1/2003
-3.43 2 8/1/1997 9/1/1997
-3.42 1 12/1/2009 12/1/2009
-3.40 2 6/1/2004 7/1/2004
-3.30 1 7/1/2003 7/1/2003
-3.10 2 10/1/2011 11/1/2011
-2.94 2 1/1/2001 2/1/2001
-2.81 2 11/1/2010 12/1/2010
-2.80 2 3/1/2008 4/1/2008
-2.76 4 8/1/2012 11/1/2012
-2.63 3 1/1/2012 3/1/2012
-1.83 1 9/1/1999 9/1/1999
-1.75 2 2/1/1999 3/1/1999
-1.68 2 9/1/2006 10/1/2006
-1.36 1 12/1/2005 12/1/2005
-1.34 1 6/1/2009 6/1/2009
-1.30 1 6/1/2012 6/1/2012
-1.28 1 9/1/2003 9/1/2003
-1.13 2 2/1/2007 3/1/2007
-1.07 1 7/1/1998 7/1/1998
-0.92 1 10/1/2004 10/1/2004
-0.91 1 8/1/2009 8/1/2009
-0.43 1 4/1/2006 4/1/2006
-0.43 1 9/1/2000 9/1/2000
-0.38 2 1/1/2013 2/1/2013
-0.27 1 8/1/2005 8/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods194.00192.00189.00183.00177.00171.00159.00147.00135.00
Percent Profitable60.8258.8567.2077.6084.7589.4798.74100.00100.00
Average Period Return0.461.493.116.409.6313.4721.5130.2440.00
Average Gain1.894.376.319.2212.2215.6021.8230.2440.00
Average Loss-1.78-2.61-3.44-3.35-4.77-4.68-2.75
Best Period6.8215.3820.8330.9633.7746.5048.4775.1983.00
Worst Period-5.76-7.51-9.51-12.27-9.37-8.85-3.766.693.36
Standard Deviation2.294.386.007.789.1410.8111.8814.2618.06
Gain Standard Deviation1.533.224.366.327.309.2911.6314.2618.06
Loss Standard Deviation1.311.742.562.902.412.771.43
Sharpe Ratio (1%)0.160.280.440.690.891.061.561.841.93
Average Gain / Average Loss1.061.671.832.752.563.337.94
Profit / Loss Ratio1.672.393.769.5214.2528.35623.19
Downside Deviation (10%)1.582.713.724.425.265.874.994.185.91
Downside Deviation (5%)1.412.152.692.472.622.350.690.15
Downside Deviation (0%)1.372.012.452.092.081.750.33
Sortino Ratio (10%)0.030.100.170.320.390.551.152.082.09
Sortino Ratio (5%)0.270.580.972.193.104.8726.97232.44
Sortino Ratio (0%)0.340.741.273.074.637.6965.48

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.