IKOS : THE IKOS Hedge Fund Euro

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-0.93%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.81%
Sharpe (RFR=1%)
0.77
CAROR
6.18%
Assets
$ 68.8M
Worst DD
-12.67
S&P Correlation
0.16

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
7/2003
THE IKOS Hedge Fund Euro -0.93 - - - - - 3.08 87.78
S&P 500 2.36 - - - - - 66.20 249.80
+/- S&P 500 -3.29 - - - - - -63.12 -162.02

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 Equity Hedge EUR is a multi-model fund aimed at deriving a consistent and diversified source of return from... 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

Summary

IKOS creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. IKOS Equity Hedge EUR is a multi-model fund aimed at deriving a consistent and diversified source of return from global financial markets. The whole process benefits from integrated risk management and IKOS’ systematic high-frequency execution platform for trading international equities, indices, currencies, commodities, interest rates and bonds. 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.

   

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
-12.67 17 - 4/1/2011 9/1/2012
-9.75 8 6 1/1/2008 9/1/2008
-4.13 2 3 10/1/2010 12/1/2010
-4.10 6 4 3/1/2006 9/1/2006
-4.05 3 3 3/1/2004 6/1/2004
-3.03 1 3 11/1/2009 12/1/2009
-2.32 1 1 6/1/2007 7/1/2007
-1.49 1 2 9/1/2004 10/1/2004
-1.43 1 1 3/1/2010 4/1/2010
-1.19 1 2 1/1/2007 2/1/2007
-1.02 1 1 7/1/2009 8/1/2009
-0.77 1 2 6/1/2005 7/1/2005
-0.43 1 1 5/1/2010 6/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
20.92 10 10/1/2008 7/1/2009
19.52 6 8/1/2007 1/1/2008
12.09 8 11/1/2004 6/1/2005
11.67 9 7/1/2003 3/1/2004
9.36 4 1/1/2011 4/1/2011
9.04 4 6/1/2013 9/1/2013
5.83 3 11/1/2006 1/1/2007
5.83 8 8/1/2005 3/1/2006
5.72 4 7/1/2010 10/1/2010
4.88 2 7/1/2008 8/1/2008
4.20 3 9/1/2009 11/1/2009
3.92 4 3/1/2007 6/1/2007
3.29 3 1/1/2010 3/1/2010
3.24 2 4/1/2008 5/1/2008
3.05 1 9/1/2004 9/1/2004
2.96 1 5/1/2010 5/1/2010
2.36 1 7/1/2011 7/1/2011
1.90 3 2/1/2013 4/1/2013
1.57 1 7/1/2012 7/1/2012
1.46 1 7/1/2004 7/1/2004
0.73 3 10/1/2012 12/1/2012
0.40 1 5/1/2004 5/1/2004
0.16 1 12/1/2011 12/1/2011
0.11 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.51 1 9/1/2008 9/1/2008
-6.02 1 6/1/2008 6/1/2008
-5.77 4 8/1/2011 11/1/2011
-4.28 2 5/1/2011 6/1/2011
-4.13 2 11/1/2010 12/1/2010
-4.10 2 2/1/2008 3/1/2008
-4.10 7 4/1/2006 10/1/2006
-3.14 4 1/1/2012 4/1/2012
-3.12 1 4/1/2004 4/1/2004
-3.03 1 12/1/2009 12/1/2009
-2.36 1 6/1/2012 6/1/2012
-2.32 1 7/1/2007 7/1/2007
-2.09 3 10/1/2013 12/1/2013
-1.80 2 8/1/2012 9/1/2012
-1.49 1 10/1/2004 10/1/2004
-1.43 1 4/1/2010 4/1/2010
-1.38 1 5/1/2013 5/1/2013
-1.35 1 6/1/2004 6/1/2004
-1.19 1 2/1/2007 2/1/2007
-1.02 1 8/1/2009 8/1/2009
-0.77 1 7/1/2005 7/1/2005
-0.43 1 6/1/2010 6/1/2010
-0.28 1 1/1/2013 1/1/2013
-0.02 1 8/1/2004 8/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods126.00124.00121.00115.00109.00103.0091.0079.0067.00
Percent Profitable66.6766.9475.2178.2683.4984.4795.60100.00100.00
Average Period Return0.521.613.226.159.3812.7421.0131.0840.54
Average Gain1.543.435.399.0812.4316.1122.0531.0840.54
Average Loss-1.59-2.08-3.39-4.39-6.06-5.59-1.55
Best Period6.9212.3219.5223.3525.3932.6940.5752.7959.56
Worst Period-7.51-6.49-7.83-10.43-12.38-10.62-2.713.7110.76
Standard Deviation1.973.605.347.518.8910.3712.4013.3913.67
Gain Standard Deviation1.222.864.145.445.967.2111.6713.3913.67
Loss Standard Deviation1.561.522.193.203.362.990.90
Sharpe Ratio (1%)0.220.380.510.690.891.031.452.022.59
Average Gain / Average Loss0.971.651.592.072.052.8814.19
Profit / Loss Ratio2.033.344.827.4510.3815.66308.54
Downside Deviation (10%)1.422.113.174.755.866.786.875.334.88
Downside Deviation (5%)1.281.592.212.913.353.221.170.05
Downside Deviation (0%)1.251.482.002.512.802.480.36
Sortino Ratio (10%)0.080.180.240.240.300.370.761.792.65
Sortino Ratio (5%)0.340.851.231.772.353.3415.38580.98
Sortino Ratio (0%)0.421.091.612.453.355.1357.69

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.