Insch Capital Management SA : Insch Kintore (Bidirectional Gold)

archived programs
Year-to-Date
N / A
Aug Performance
-2.60%
Min Investment
$ 200k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
25.84%
Sharpe (RFR=1%)
0.36
CAROR
7.40%
Assets
$ 409k
Worst DD
-28.65
S&P Correlation
-0.24

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2015
Insch Kintore (Bidirectional Gold) -2.60 1.89 - -21.68 12.20 - - 29.14
S&P 500 3.03 7.25 - 16.39 45.64 - - 37.07
+/- S&P 500 -5.63 -5.36 - -38.07 -33.43 - - -7.93

Strategy Description

Summary

Insch Capital Management SA is based in Lugano, Switzerland. The firm was established in 2004 and is regulated in Switzerland as a discretionary asset manager and fiduciary company. Insch also has a Representative Office in London and is an appointed representative introducer of... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
20 RT/YR/$M
Avg. Margin-to-Equity
3%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals 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

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
50.00%
Precious Metals
50.00%
Composition Pie Chart

Summary

Insch Capital Management SA is based in Lugano, Switzerland. The firm was established in 2004 and is regulated in Switzerland as a discretionary asset manager and fiduciary company. Insch also has a Representative Office in London and is an appointed representative introducer of Linear Investments Ltd., which is authorized and regulated by the Financial Conduct Authority.

Investment Strategy

The Insch Kintore Program is an entirely systematic trading program, which trades gold versus G7 currencies. Buy and sell signals are generated from price breakouts, volatility and other proprietary signals. Stop and reverse signals are taken as long as volatility constraints have not been exceeded. The system aims for a robust track record with consistent alpha, alongside non-correlated downside deviation when compared with gold investments.

Risk Management

The system incorporates a volatility filter. Following a price reversal, a signal is not generated if the exchange rate volatility (quantified by a proprietary volatility measure) exceeds certain pre-defined volatility bands. Each trade has a trailing stop, which ensures that losses are not allowed to accumulate.

   

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
-28.65 7 11 2/1/2016 9/1/2016
-24.81 5 - 1/1/2018 6/1/2018
-10.63 3 1 9/1/2015 12/1/2015
-6.53 2 1 9/1/2017 11/1/2017
-4.14 5 1 1/1/0001 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
50.70 2 1/1/2016 2/1/2016
27.76 5 10/1/2016 2/1/2017
22.40 6 4/1/2017 9/1/2017
20.07 3 7/1/2015 9/1/2015
9.38 2 12/1/2017 1/1/2018
5.94 1 11/1/2015 11/1/2015
4.61 1 7/1/2018 7/1/2018
1.72 1 8/1/2016 8/1/2016
1.65 1 3/1/2015 3/1/2015
0.95 1 5/1/2016 5/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.81 5 2/1/2018 6/1/2018
-19.53 2 3/1/2016 4/1/2016
-8.71 1 9/1/2016 9/1/2016
-8.43 1 10/1/2015 10/1/2015
-7.87 1 12/1/2015 12/1/2015
-6.53 2 10/1/2017 11/1/2017
-5.42 2 6/1/2016 7/1/2016
-4.66 1 3/1/2017 3/1/2017
-3.05 3 4/1/2015 6/1/2015
-2.73 1 2/1/2015 2/1/2015
-2.60 1 8/1/2018 8/1/2018
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Time Windows Analysis

 4 Year5 Year1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods31.0019.0043.0041.0038.0032.0026.0020.00
Percent Profitable100.00100.0053.4948.7871.0578.1388.4695.00
Average Period Return125.37172.050.852.746.3415.7621.9131.55
Average Gain125.37172.055.8712.6914.3122.8825.6933.26
Average Loss-4.92-6.73-13.20-9.67-7.14-0.97
Best Period181.15260.8427.3238.8437.7359.3643.1661.66
Worst Period85.97125.06-11.81-18.76-23.78-21.63-8.61-0.97
Standard Deviation21.3538.347.4612.7514.4318.2014.7119.27
Gain Standard Deviation21.3538.346.3410.306.7513.2410.7518.17
Loss Standard Deviation3.305.597.776.701.78
Sharpe Ratio (1%)5.684.350.100.200.410.811.391.53
Average Gain / Average Loss1.191.891.082.373.6034.43
Profit / Loss Ratio1.371.802.668.4527.61654.22
Downside Deviation (10%)4.246.909.337.455.183.14
Downside Deviation (5%)4.056.348.385.772.980.67
Downside Deviation (0%)4.016.208.145.372.470.22
Sortino Ratio (10%)0.110.220.421.452.776.78
Sortino Ratio (5%)0.190.390.702.566.8644.39
Sortino Ratio (0%)0.210.440.782.938.86146.06

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 4.61 7/2018
IASG CTA Index Month 9 4.61 7/2018
Systematic Trader Index Month 5 4.61 7/2018
IASG CTA Index Year Rolling 10 21.18 2016 - 2017
Trend Following Strategy Index Month 2 7.90 12/2017
Systematic Trader Index Month 2 7.90 12/2017
IASG CTA Index Month 2 7.90 12/2017
Trend Following Strategy Index Month 10 0.07 9/2017
Trend Following Strategy Index Month 1 9.04 8/2017
Systematic Trader Index Month 1 9.04 8/2017
IASG CTA Index Month 3 9.04 8/2017
Trend Following Strategy Index Month 10 3.98 7/2017
Systematic Trader Index Month 7 3.13 6/2017
Trend Following Strategy Index Month 2 3.13 6/2017
Trend Following Strategy Index Month 6 3.76 5/2017

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