IKOS : The IKOS Hedge Fund

archived programs
Year-to-Date
N / A
Sep Performance
-0.39%
Min Investment
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.51%
Sharpe (RFR=1%)
-1.29
CAROR
-
Assets
$ 22.3M
Worst DD
-4.36
S&P Correlation
0.64

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
1/2016
The IKOS Hedge Fund -0.39 - - - - - - -3.64
S&P 500 -0.12 - - - - - - 66.82
+/- S&P 500 -0.27 - - - - - - -70.46

Strategy Description

Summary

The IKOS Hedge Fund which was launched in 1998 with an unbroken track record since, is a quantitative systematic, multi-model fund aimed at deriving consistent and diversified returns from the global financial markets. The strategy benefits from integrated risk management, optimization... Read More

Account & Fees

Type Fund
Minimum Investment
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Composition

Summary

The IKOS Hedge Fund which was launched in 1998 with an unbroken track record since, is a quantitative systematic, multi-model fund aimed at deriving consistent and diversified returns from the global financial markets. The strategy benefits from integrated risk management, optimization operations in the portfolio construction process, and the use of IKOS’ proprietary high-frequency global execution platform. Returns are derived from statistical arbitrage trading international cash equities with allocations over time, in Japan, Europe and North America, and also applying a systematic global macro asset allocation strategy, trading futures and spot FX, in indices, currencies, commodities, interest rates and bonds. The fund seeks returns over timescales ranging from daily, through medium-term technical, up to longer-term fundamental, in order to capture diversified opportunities and 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
-4.36 6 - 3/1/2016 9/1/2016
-1.98 1 2 1/1/0001 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
2.79 2 2/1/2016 3/1/2016
0.56 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.54 2 4/1/2016 5/1/2016
-2.41 3 7/1/2016 9/1/2016
-1.98 1 1/1/2016 1/1/2016
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable33.3328.57
Average Period Return-0.40-0.81
Average Gain1.111.23
Average Loss-1.16-1.63
Best Period2.201.69
Worst Period-1.98-2.41
Standard Deviation1.301.55
Gain Standard Deviation0.940.66
Loss Standard Deviation0.540.76
Sharpe Ratio (1%)-0.37-0.69
Average Gain / Average Loss0.960.75
Profit / Loss Ratio0.480.30
Downside Deviation (10%)1.342.49
Downside Deviation (5%)1.091.69
Downside Deviation (0%)1.031.49
Sortino Ratio (10%)-0.60-0.82
Sortino Ratio (5%)-0.45-0.63
Sortino Ratio (0%)-0.39-0.54

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.