IKOS : IKOS FX Fund

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

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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	2019	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

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: 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%

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.

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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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	103.00	101.00	98.00	92.00	86.00	80.00	68.00	56.00	44.00
Percent Profitable	45.63	46.53	48.98	51.09	58.14	66.25	72.06	64.29	72.73
Average Period Return	0.48	1.59	3.48	7.64	12.08	15.78	16.10	12.92	16.17
Average Gain	3.09	6.98	12.38	22.91	29.32	31.37	29.59	24.15	25.02
Average Loss	-1.83	-3.11	-5.06	-8.32	-11.87	-14.83	-18.70	-7.29	-7.42
Best Period	10.68	22.97	44.06	43.19	53.01	73.37	96.80	64.04	59.35
Worst Period	-9.49	-10.69	-13.41	-18.73	-20.99	-25.63	-30.82	-20.80	-14.78
Standard Deviation	3.24	6.56	10.97	17.20	22.67	27.10	31.98	24.10	19.63
Gain Standard Deviation	2.57	5.62	8.82	9.21	12.44	19.20	27.28	22.99	15.12
Loss Standard Deviation	1.83	2.35	3.39	3.68	4.16	5.15	7.02	6.23	5.23
Sharpe Ratio (1%)	0.12	0.20	0.27	0.39	0.47	0.51	0.41	0.37	0.56
Average Gain / Average Loss	1.69	2.24	2.45	2.75	2.47	2.12	1.58	3.31	3.37
Profit / Loss Ratio	1.52	1.95	2.35	2.88	3.43	4.15	4.08	5.96	8.99
Downside Deviation (10%)	2.05	3.60	5.90	9.67	12.90	14.99	19.04	20.13	20.84
Downside Deviation (5%)	1.87	2.99	4.64	7.00	9.05	10.21	12.05	7.76	7.06
Downside Deviation (0%)	1.83	2.84	4.34	6.35	8.12	9.10	10.52	5.67	4.68
Sortino Ratio (10%)	0.04	0.10	0.17	0.27	0.35	0.37	0.02	-0.43	-0.55
Sortino Ratio (5%)	0.21	0.45	0.64	0.95	1.17	1.35	1.08	1.14	1.57
Sortino Ratio (0%)	0.27	0.56	0.80	1.20	1.49	1.73	1.53	2.28	3.46

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.

^#4

Top Performer

SYSTEMATIC TRADER INDEX

MARCH
2015

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IKOS : IKOS FX Fund

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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