IKOS : IKOS FX Fund Euro

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
0.12%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.37%
Sharpe (RFR=1%)
-0.72
CAROR
-6.74%
Assets
$ 30.7M
Worst DD
-30.18
S&P Correlation
0.02

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 Since
1/2011
IKOS FX Fund Euro 0.12 - - - - - - -18.90
S&P 500 2.36 - - - - - - 169.36
+/- S&P 500 -2.24 - - - - - - -188.26

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 FX Fund Euro 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 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 QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

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 100.00%

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 FX Fund Euro 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 timescales ranging from tick-by-tick, through medium-term technical, up to longer-term fundamental periods in an attempt to capture diversified opportunity types which 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
-30.18 31 - 4/1/2011 11/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
16.01 4 1/1/2011 4/1/2011
5.26 2 6/1/2011 7/1/2011
2.93 1 7/1/2012 7/1/2012
1.96 1 9/1/2011 9/1/2011
1.12 1 3/1/2013 3/1/2013
0.12 1 12/1/2013 12/1/2013
0.11 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.26 6 10/1/2011 3/1/2012
-10.21 8 4/1/2013 11/1/2013
-9.91 1 5/1/2011 5/1/2011
-7.00 1 8/1/2011 8/1/2011
-6.01 7 8/1/2012 2/1/2013
-1.60 2 5/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable30.5617.656.450.000.000.00
Average Period Return-0.54-1.88-4.73-9.79-13.69-18.52
Average Gain2.424.487.88
Average Loss-1.92-3.24-5.60-9.79-13.69-18.52
Best Period6.4013.638.02-2.49-7.04-10.48
Worst Period-9.91-8.72-13.44-19.22-21.81-26.46
Standard Deviation2.994.164.523.603.464.61
Gain Standard Deviation2.055.750.19
Loss Standard Deviation2.372.043.133.603.464.61
Sharpe Ratio (1%)-0.21-0.51-1.16-3.00-4.39-4.45
Average Gain / Average Loss1.271.381.41
Profit / Loss Ratio0.580.300.10
Downside Deviation (10%)2.684.448.3515.2121.5429.11
Downside Deviation (5%)2.503.656.6011.3615.5621.00
Downside Deviation (0%)2.453.456.1810.4114.0919.04
Sortino Ratio (10%)-0.35-0.70-0.86-0.97-0.99-0.99
Sortino Ratio (5%)-0.25-0.58-0.79-0.95-0.98-0.98
Sortino Ratio (0%)-0.22-0.54-0.77-0.94-0.97-0.97

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.