IKOS : IKOS Currency Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance -0.95% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 8.28% Sharpe (RFR=1%) 0.62 CAROR 5.94% Assets $ 216.7M Worst DD -16.26 S&P Correlation 0.07 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since10/1999 IKOS Currency Fund -0.95 - - - - - -11.82 120.99 S&P 500 -1.50 - - - - - 64.80 215.18 +/- S&P 500 0.55 - - - - - -76.62 -94.19 Strategy Description SummaryIKOS creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. IKOS Currency uses a Systematic Macro approach to trade major liquid global currencies; the strategy is also... 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 $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 7-14 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$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 SummaryIKOS creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. IKOS Currency uses a Systematic Macro approach to trade major liquid global currencies; the strategy is also available as a constituent of IKOS Financial, a diversified futures program. Econometric models are combined with time-series analysis and market micro-structure models within an integrated risk management and 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. 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 -16.26 26 - 4/1/2011 6/1/2013 -11.11 2 16 6/1/2007 8/1/2007 -9.77 14 4 12/1/2000 2/1/2002 -9.67 4 10 2/1/2004 6/1/2004 -5.18 4 3 6/1/2002 10/1/2002 -4.40 6 4 1/1/2000 7/1/2000 -4.02 3 2 3/1/2006 6/1/2006 -3.75 1 3 6/1/2003 7/1/2003 -1.86 2 2 10/1/2010 12/1/2010 -1.86 1 1 1/1/2007 2/1/2007 -1.50 1 3 11/1/2005 12/1/2005 -1.29 1 1 3/1/2009 4/1/2009 -1.16 1 1 7/1/2010 8/1/2010 -0.78 1 1 8/1/2006 9/1/2006 -0.72 1 1 5/1/2009 6/1/2009 -0.62 1 1 7/1/2005 8/1/2005 -0.55 1 1 5/1/2010 6/1/2010 -0.23 1 1 1/1/2009 2/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 19.16 7 8/1/2003 2/1/2004 14.66 11 7/1/2009 5/1/2010 13.25 4 3/1/2007 6/1/2007 12.00 2 5/1/2002 6/1/2002 10.57 4 10/1/2006 1/1/2007 10.53 8 11/1/2002 6/1/2003 10.47 4 10/1/2008 1/1/2009 9.43 3 9/1/2005 11/1/2005 8.96 2 9/1/2007 10/1/2007 8.70 4 1/1/2011 4/1/2011 6.56 3 12/1/2004 2/1/2005 6.49 4 4/1/2005 7/1/2005 6.13 3 11/1/1999 1/1/2000 6.01 2 11/1/2000 12/1/2000 5.62 3 1/1/2006 3/1/2006 5.24 1 9/1/2004 9/1/2004 5.06 2 9/1/2010 10/1/2010 4.29 2 7/1/2006 8/1/2006 4.05 1 5/1/2009 5/1/2009 3.71 3 4/1/2008 6/1/2008 3.46 1 5/1/2000 5/1/2000 3.04 2 8/1/2000 9/1/2000 2.86 1 6/1/2001 6/1/2001 2.58 2 11/1/2001 12/1/2001 2.40 2 6/1/2011 7/1/2011 2.17 1 7/1/2010 7/1/2010 1.87 1 7/1/2004 7/1/2004 1.63 1 12/1/2007 12/1/2007 1.58 1 2/1/2008 2/1/2008 1.56 1 8/1/2002 8/1/2002 1.50 1 7/1/2012 7/1/2012 1.14 1 8/1/2001 8/1/2001 0.88 1 3/1/2002 3/1/2002 0.80 1 9/1/2011 9/1/2011 0.56 1 3/1/2013 3/1/2013 0.35 1 3/1/2009 3/1/2009 0.26 1 3/1/2001 3/1/2001 0.04 1 4/1/2012 4/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.11 2 7/1/2007 8/1/2007 -9.67 4 3/1/2004 6/1/2004 -5.74 6 10/1/2011 3/1/2012 -5.60 1 11/1/2007 11/1/2007 -5.04 1 5/1/2011 5/1/2011 -4.80 2 4/1/2001 5/1/2001 -4.75 2 1/1/2001 2/1/2001 -4.68 1 7/1/2002 7/1/2002 -4.27 2 6/1/2000 7/1/2000 -4.22 3 4/1/2013 6/1/2013 -4.02 3 4/1/2006 6/1/2006 -3.75 1 7/1/2003 7/1/2003 -3.64 1 8/1/2011 8/1/2011 -3.48 3 2/1/2000 4/1/2000 -3.28 2 1/1/2002 2/1/2002 -3.03 7 8/1/2012 2/1/2013 -2.76 2 10/1/2004 11/1/2004 -2.74 3 7/1/2008 9/1/2008 -2.25 1 3/1/2008 3/1/2008 -2.17 2 9/1/2001 10/1/2001 -2.05 2 9/1/2002 10/1/2002 -1.86 2 11/1/2010 12/1/2010 -1.86 1 2/1/2007 2/1/2007 -1.71 1 7/1/2001 7/1/2001 -1.50 1 12/1/2005 12/1/2005 -1.29 1 4/1/2009 4/1/2009 -1.16 1 8/1/2010 8/1/2010 -1.01 1 10/1/2000 10/1/2000 -0.82 1 8/1/2004 8/1/2004 -0.82 2 5/1/2012 6/1/2012 -0.78 1 9/1/2006 9/1/2006 -0.72 1 6/1/2009 6/1/2009 -0.62 1 8/1/2005 8/1/2005 -0.55 1 6/1/2010 6/1/2010 -0.51 1 4/1/2002 4/1/2002 -0.25 1 1/1/2008 1/1/2008 -0.24 1 3/1/2005 3/1/2005 -0.23 1 2/1/2009 2/1/2009 Show More 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. x {{title}} x {{title}} Add Cancel