IKOS : IKOS Futures Fund Euro Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance -4.18% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.60% Sharpe (RFR=1%) 0.31 CAROR 4.16% Assets $ 45.7M Worst DD -30.35 S&P Correlation 0.00 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since9/2003 IKOS Futures Fund Euro -4.18 - - - - - -20.88 52.36 S&P 500 2.36 - - - - - 66.20 307.59 +/- S&P 500 -6.54 - - - - - -87.08 -255.23 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 Financial EUR 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 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$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 0% 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 Financial EUR 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. 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 -30.35 14 23 6/1/2007 8/1/2008 -22.48 32 - 4/1/2011 12/1/2013 -16.76 5 9 2/1/2004 7/1/2004 -11.77 8 5 3/1/2006 11/1/2006 -5.53 2 3 10/1/2010 12/1/2010 -2.67 1 2 11/1/2005 12/1/2005 -0.83 1 1 7/1/2005 8/1/2005 Show More Consecutive Gains Run-up Length (Mos.) Start End 32.01 10 1/1/2010 10/1/2010 28.91 9 11/1/2004 7/1/2005 20.29 3 4/1/2007 6/1/2007 18.27 4 9/1/2008 12/1/2008 12.69 2 12/1/2006 1/1/2007 11.65 3 9/1/2005 11/1/2005 11.43 4 1/1/2011 4/1/2011 11.25 3 1/1/2006 3/1/2006 10.51 3 9/1/2009 11/1/2009 9.43 6 9/1/2003 2/1/2004 8.34 3 12/1/2007 2/1/2008 8.02 3 7/1/2011 9/1/2011 6.10 1 7/1/2009 7/1/2009 4.46 2 8/1/2004 9/1/2004 4.29 1 5/1/2009 5/1/2009 4.05 1 7/1/2012 7/1/2012 3.53 1 9/1/2007 9/1/2007 1.71 1 11/1/2013 11/1/2013 1.01 1 2/1/2009 2/1/2009 0.97 2 4/1/2012 5/1/2012 0.95 1 3/1/2013 3/1/2013 0.88 1 5/1/2008 5/1/2008 0.77 1 12/1/2011 12/1/2011 0.59 1 5/1/2004 5/1/2004 0.50 1 8/1/2006 8/1/2006 0.11 1 5/1/2006 5/1/2006 0.06 1 9/1/2013 9/1/2013 0.06 1 12/1/2012 12/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -16.10 2 7/1/2007 8/1/2007 -14.34 3 6/1/2008 8/1/2008 -11.65 2 3/1/2004 4/1/2004 -10.22 2 10/1/2007 11/1/2007 -9.29 2 5/1/2011 6/1/2011 -7.61 2 6/1/2006 7/1/2006 -7.34 5 4/1/2013 8/1/2013 -6.58 2 3/1/2009 4/1/2009 -6.50 1 12/1/2009 12/1/2009 -6.33 2 6/1/2004 7/1/2004 -5.66 2 10/1/2011 11/1/2011 -5.53 2 11/1/2010 12/1/2010 -5.34 4 8/1/2012 11/1/2012 -4.72 3 1/1/2012 3/1/2012 -4.62 2 3/1/2008 4/1/2008 -4.18 1 12/1/2013 12/1/2013 -3.91 3 9/1/2006 11/1/2006 -2.96 2 2/1/2007 3/1/2007 -2.67 1 12/1/2005 12/1/2005 -2.65 1 6/1/2012 6/1/2012 -2.42 1 6/1/2009 6/1/2009 -2.20 1 8/1/2009 8/1/2009 -1.72 1 10/1/2004 10/1/2004 -1.22 1 4/1/2006 4/1/2006 -0.83 1 8/1/2005 8/1/2005 -0.71 2 1/1/2013 2/1/2013 -0.58 1 1/1/2009 1/1/2009 -0.44 1 10/1/2013 10/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods124.00122.00119.00113.00107.00101.0089.0077.0065.00 Percent Profitable57.2654.1055.4655.7563.5566.3478.65100.00100.00 Average Period Return0.411.302.606.0410.3514.2121.0926.1431.97 Average Gain2.846.429.7716.3521.2325.9728.4626.1431.97 Average Loss-2.85-4.74-6.33-6.96-8.63-8.96-6.06 Best Period8.4720.2927.5740.2852.6652.0880.8250.9258.94 Worst Period-10.77-14.34-19.59-23.97-20.56-21.36-16.264.582.21 Standard Deviation3.646.9010.1014.6018.2320.7921.0711.6711.72 Gain Standard Deviation2.224.507.0110.9713.4714.9117.3611.6711.72 Loss Standard Deviation2.403.494.865.125.095.505.14 Sharpe Ratio (1%)0.090.150.210.340.490.590.861.892.29 Average Gain / Average Loss1.001.351.542.352.462.904.69 Profit / Loss Ratio1.331.601.922.964.295.7117.29 Downside Deviation (10%)2.644.686.718.6810.3111.8311.176.015.83 Downside Deviation (5%)2.474.115.586.276.837.104.810.36 Downside Deviation (0%)2.433.985.315.726.036.083.63 Sortino Ratio (10%)0.000.010.020.120.270.330.480.760.75 Sortino Ratio (5%)0.130.250.380.801.301.723.7674.93 Sortino Ratio (0%)0.170.330.491.051.722.345.80 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