IKOS : IKOS FX Fund

archived programs
Year-to-Date
N / A
Sep Performance
-0.78%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.23%
Sharpe (RFR=1%)
0.43
CAROR
5.32%
Assets
$ 48.1M
Worst DD
-31.13
S&P Correlation
-0.04

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2008
IKOS FX Fund -0.78 -3.72 - -9.31 10.30 -12.46 - 56.09
S&P 500 -0.12 3.31 - 12.93 28.94 91.62 - 63.90
+/- S&P 500 -0.66 -7.02 - -22.24 -18.65 -104.08 - -7.81

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 uses a Systematic Macro approach to trade major liquid global currencies. Econometric models are... 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
N/A
Worst Peak-to-Trough
4.73%
Sector Focus
Currency Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Currency Futures
95.00%
Currency FX
5.00%
Composition Pie Chart

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 uses a Systematic Macro approach to trade major liquid global currencies. 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 short term, 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
-31.13 37 - 4/1/2011 5/1/2014
-4.73 2 2 6/1/2008 8/1/2008
-3.23 2 2 10/1/2010 12/1/2010
-2.34 1 1 3/1/2009 4/1/2009
-2.25 1 1 1/1/0001 3/1/2008
-2.08 1 1 7/1/2010 8/1/2010
-1.58 1 1 5/1/2009 6/1/2009
-0.91 1 1 5/1/2010 6/1/2010
-0.35 1 1 1/1/2009 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
44.91 9 7/1/2014 3/1/2015
29.86 11 7/1/2009 5/1/2010
19.06 5 9/1/2008 1/1/2009
17.44 4 1/1/2011 4/1/2011
9.84 2 9/1/2010 10/1/2010
6.75 1 5/1/2009 5/1/2009
5.74 3 4/1/2008 6/1/2008
5.13 2 6/1/2011 7/1/2011
4.27 1 7/1/2010 7/1/2010
3.79 2 2/1/2016 3/1/2016
3.19 1 12/1/2015 12/1/2015
3.02 1 7/1/2012 7/1/2012
1.86 1 9/1/2011 9/1/2011
1.13 1 3/1/2013 3/1/2013
0.61 1 3/1/2009 3/1/2009
0.40 1 7/1/2015 7/1/2015
0.25 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.55 15 4/1/2013 6/1/2014
-11.26 6 4/1/2016 9/1/2016
-10.69 3 4/1/2015 6/1/2015
-10.07 6 10/1/2011 3/1/2012
-9.49 1 5/1/2011 5/1/2011
-6.99 1 8/1/2011 8/1/2011
-6.10 4 8/1/2015 11/1/2015
-5.68 7 8/1/2012 2/1/2013
-4.73 2 7/1/2008 8/1/2008
-3.23 2 11/1/2010 12/1/2010
-2.34 1 4/1/2009 4/1/2009
-2.25 1 3/1/2008 3/1/2008
-2.08 1 8/1/2010 8/1/2010
-1.58 1 6/1/2009 6/1/2009
-1.40 2 5/1/2012 6/1/2012
-1.19 1 1/1/2016 1/1/2016
-0.91 1 6/1/2010 6/1/2010
-0.35 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods103.00101.0098.0092.0086.0080.0068.0056.0044.00
Percent Profitable45.6346.5348.9851.0958.1466.2572.0664.2972.73
Average Period Return0.481.593.487.6412.0815.7816.1012.9216.17
Average Gain3.096.9812.3822.9129.3231.3729.5924.1525.02
Average Loss-1.83-3.11-5.06-8.32-11.87-14.83-18.70-7.29-7.42
Best Period10.6822.9744.0643.1953.0173.3796.8064.0459.35
Worst Period-9.49-10.69-13.41-18.73-20.99-25.63-30.82-20.80-14.78
Standard Deviation3.246.5610.9717.2022.6727.1031.9824.1019.63
Gain Standard Deviation2.575.628.829.2112.4419.2027.2822.9915.12
Loss Standard Deviation1.832.353.393.684.165.157.026.235.23
Sharpe Ratio (1%)0.120.200.270.390.470.510.410.370.56
Average Gain / Average Loss1.692.242.452.752.472.121.583.313.37
Profit / Loss Ratio1.521.952.352.883.434.154.085.968.99
Downside Deviation (10%)2.053.605.909.6712.9014.9919.0420.1320.84
Downside Deviation (5%)1.872.994.647.009.0510.2112.057.767.06
Downside Deviation (0%)1.832.844.346.358.129.1010.525.674.68
Sortino Ratio (10%)0.040.100.170.270.350.370.02-0.43-0.55
Sortino Ratio (5%)0.210.450.640.951.171.351.081.141.57
Sortino Ratio (0%)0.270.560.801.201.491.731.532.283.46

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 4 8.70 3/2015
IASG CTA Index Month 5 8.70 3/2015
IASG CTA Index Month 10 10.68 12/2014
Systematic Trader Index Month 10 3.36 6/2011
Systematic Trader Index Month 7 6.57 3/2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.