Insch Capital Management SA : Interbank Currency Program - 3X Leverage

Year-to-Date: N / A
May Performance: 0.65%

Min Investment: € 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 20.07%
Sharpe (RFR=1%): 0.48
CAROR: 9.04%

Assets: € 50.0M
Worst DD: -33.97
S&P Correlation: -0.12

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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	May	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2000
Interbank Currency Program - 3X Leverage	0.65	-	-	-	-2.38	-9.11	5.14	392.14
S&P 500	2.16	-	-	-	27.07	64.22	91.20	148.42
+/- S&P 500	-1.51	-	-	-	-29.46	-73.33	-86.05	243.72

Strategy Description

Summary

Account & Fees

Type	Fund
Minimum Investment	€ 100k
Trading Level Incremental Increase	€ 0k
CTA Max Funding Factor	3.00
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	No

Subscriptions

High Water Mark	Yes
Subscription Frequency	15-30 Days
Redemption Frequency	15-30 Days
Investor Requirements	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	50 RT/YR/$M
Avg. Margin-to-Equity	0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus	Currency 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%

Composition

Currency FX: 100.00%

Summary

The currencies traded in the Insch Kintillo system are selected according to their ability to display “memory” or serial-correlation. Currently, the portfolio consists of 7 currencies: United States Dollar, British Pound, Euro, Japanese Yen, Canadian Dollar, Swiss Franc and Australian Dollar. Currently, sixteen of the 21 potential crosses in the matrix are traded. Buy and sell signals are generated based upon price breakout, volatility and other proprietary measures. Price is the most heavily weighted factor. Stop and reverse signals are taken as long as volatility constraints have not been exceeded and positions are maintained until the price level triggers an exit signal. At instigation, each position is equivalent as to the percentage of the portfolio and the volatility of the price trend. Note: Performance figures are shown at 3x leverage, net of fees and without the credit of interest. The effect of leverage is linear. Long Term Performance: • Insch Kintillo has provided positive absolute returns, as well as a positive alpha versus equity and bond market benchmarks • Realized volatility is comparable to that of a coporate bond index, with a skew to the upside, and lower tail risk than bonds • During the crisis it provided an excellent hedge versus other asset classes • Negative correlations with S&P500 and Dow Jones Corporate bond index recommend Insch Kintillo as a diversifier in a portfolio of equities and bonds.

Risk Management

Risk management is enhanced by the diversification offered by trading seven geographically and economically separate currencies and by incorporating volatility into the trading decision to determine the acceptability of a trade as well as position size. Every position has a trailing stop based on time and volatility and trade execution is supervised by an experienced trader. Operational risk is managed through the use of an offsite facility.

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Index: Chart Type:

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%)
Skewness:
Kurtosis:

Reward
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-33.97	16	-	12/1/2008	4/1/2010
-19.60	5	4	3/1/2001	8/1/2001
-17.61	6	3	1/1/2008	7/1/2008
-17.13	5	11	3/1/2004	8/1/2004
-16.05	9	11	5/1/2006	2/1/2007
-12.11	2	1	12/1/2000	2/1/2001
-9.80	1	2	9/1/2005	10/1/2005
-9.65	1	1	12/1/2001	1/1/2002
-9.19	2	1	9/1/2003	11/1/2003
-6.59	1	5	7/1/2002	8/1/2002
-5.45	1	1	3/1/2003	4/1/2003
-3.74	1	1	3/1/2000	4/1/2000
-3.61	2	1	9/1/2000	11/1/2000
-3.54	1	1	5/1/2003	6/1/2003
-2.15	1	1	6/1/2000	7/1/2000
-2.15	1	1	2/1/2006	3/1/2006
-1.79	1	1	3/1/2002	4/1/2002
-1.22	1	1	1/1/2000	2/1/2000
-1.16	1	1	10/1/2008	11/1/2008

Consecutive Gains

Run-up	Length (Mos.)	Start	End
40.82	4	9/1/2001	12/1/2001
33.99	4	12/1/2003	3/1/2004
27.87	2	2/1/2002	3/1/2002
25.86	5	11/1/2002	3/1/2003
25.60	1	12/1/2000	12/1/2000
24.49	4	11/1/2005	2/1/2006
21.32	1	10/1/2008	10/1/2008
20.17	3	7/1/2003	9/1/2003
19.62	3	5/1/2002	7/1/2002
17.52	2	11/1/2004	12/1/2004
17.26	5	9/1/2007	1/1/2008
15.53	4	6/1/2005	9/1/2005
15.19	1	5/1/2001	5/1/2001
14.40	1	3/1/2001	3/1/2001
14.35	2	8/1/2000	9/1/2000
13.99	1	3/1/2000	3/1/2000
13.14	1	5/1/2012	5/1/2012
12.81	1	5/1/2010	5/1/2010
12.38	3	11/1/2012	1/1/2013
11.57	5	7/1/2011	11/1/2011
11.38	1	5/1/2003	5/1/2003
10.30	1	8/1/2008	8/1/2008
7.92	3	11/1/2015	1/1/2016
7.63	1	1/1/2000	1/1/2000
7.60	1	5/1/2009	5/1/2009
7.51	3	2/1/2011	4/1/2011
7.17	2	4/1/2006	5/1/2006
6.63	2	3/1/2015	4/1/2015
6.13	2	11/1/2006	12/1/2006
5.98	1	5/1/2004	5/1/2004
5.05	1	12/1/2008	12/1/2008
4.79	2	10/1/2016	11/1/2016
4.76	3	2/1/2005	4/1/2005
4.73	2	1/1/2012	2/1/2012
4.73	4	9/1/2010	12/1/2010
4.72	2	6/1/2007	7/1/2007
4.48	1	7/1/2004	7/1/2004
4.37	2	5/1/2000	6/1/2000
4.34	1	7/1/2009	7/1/2009
3.80	2	3/1/2007	4/1/2007
3.58	1	9/1/2014	9/1/2014
3.58	1	9/1/2002	9/1/2002
3.48	1	1/1/2010	1/1/2010
2.92	1	9/1/2004	9/1/2004
2.85	2	4/1/2018	5/1/2018
2.58	1	9/1/2013	9/1/2013
2.57	2	3/1/2017	4/1/2017
2.45	1	3/1/2008	3/1/2008
2.21	1	8/1/2015	8/1/2015
1.95	1	8/1/2006	8/1/2006
1.62	1	4/1/2016	4/1/2016
1.49	2	10/1/2017	11/1/2017
1.46	1	11/1/2013	11/1/2013
1.16	1	10/1/2009	10/1/2009
1.08	1	8/1/2012	8/1/2012
1.03	1	6/1/2017	6/1/2017
1.01	1	8/1/2016	8/1/2016
0.93	1	3/1/2010	3/1/2010
0.81	1	3/1/2013	3/1/2013
0.54	1	12/1/2014	12/1/2014
0.35	1	6/1/2014	6/1/2014
0.20	1	6/1/2013	6/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-19.90	4	1/1/2009	4/1/2009
-18.24	3	6/1/2001	8/1/2001
-17.55	4	4/1/2008	7/1/2008
-14.65	6	12/1/2013	5/1/2014
-14.63	1	4/1/2001	4/1/2001
-12.11	2	1/1/2001	2/1/2001
-11.39	2	8/1/2009	9/1/2009
-11.00	1	6/1/2004	6/1/2004
-10.44	2	1/1/2007	2/1/2007
-10.40	3	6/1/2010	8/1/2010
-9.80	1	10/1/2005	10/1/2005
-9.74	1	4/1/2004	4/1/2004
-9.65	1	1/1/2002	1/1/2002
-9.19	2	10/1/2003	11/1/2003
-7.97	1	4/1/2010	4/1/2010
-7.77	2	6/1/2006	7/1/2006
-7.03	1	6/1/2009	6/1/2009
-6.83	1	8/1/2004	8/1/2004
-6.59	1	8/1/2002	8/1/2002
-6.07	2	9/1/2006	10/1/2006
-5.73	4	12/1/2017	3/1/2018
-5.71	3	5/1/2016	7/1/2016
-5.57	3	12/1/2016	2/1/2017
-5.45	1	4/1/2003	4/1/2003
-4.96	2	9/1/2015	10/1/2015
-4.61	2	3/1/2012	4/1/2012
-4.55	3	5/1/2015	7/1/2015
-4.46	1	2/1/2010	2/1/2010
-4.41	2	1/1/2015	2/1/2015
-4.22	2	6/1/2012	7/1/2012
-4.06	2	11/1/2009	12/1/2009
-4.04	2	5/1/2011	6/1/2011
-3.86	2	7/1/2013	8/1/2013
-3.74	1	4/1/2000	4/1/2000
-3.61	2	10/1/2000	11/1/2000
-3.59	1	5/1/2005	5/1/2005
-3.59	1	1/1/2005	1/1/2005
-3.54	1	6/1/2003	6/1/2003
-3.46	2	2/1/2016	3/1/2016
-3.21	1	5/1/2007	5/1/2007
-2.74	1	9/1/2016	9/1/2016
-2.60	2	9/1/2012	10/1/2012
-2.56	3	7/1/2017	9/1/2017
-2.53	1	12/1/2011	12/1/2011
-2.47	1	2/1/2008	2/1/2008
-2.28	1	2/1/2013	2/1/2013
-2.15	1	3/1/2006	3/1/2006
-2.15	1	7/1/2000	7/1/2000
-2.04	2	10/1/2014	11/1/2014
-1.87	1	1/1/2011	1/1/2011
-1.79	1	4/1/2002	4/1/2002
-1.52	1	10/1/2004	10/1/2004
-1.22	1	2/1/2000	2/1/2000
-1.16	1	11/1/2008	11/1/2008
-0.94	2	7/1/2014	8/1/2014
-0.93	1	10/1/2013	10/1/2013
-0.89	1	10/1/2002	10/1/2002
-0.82	1	5/1/2017	5/1/2017
-0.77	1	8/1/2007	8/1/2007
-0.55	2	4/1/2013	5/1/2013
-0.23	1	9/1/2008	9/1/2008

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	221.00	219.00	216.00	210.00	204.00	198.00	186.00	174.00	162.00
Percent Profitable	52.04	55.71	58.33	61.43	59.31	59.60	60.22	64.37	72.84
Average Period Return	0.88	2.51	5.00	10.29	16.03	23.24	36.83	49.81	61.77
Average Gain	4.73	8.08	13.02	21.54	32.82	45.50	67.70	83.34	88.90
Average Loss	-3.28	-4.50	-6.24	-7.61	-8.45	-9.61	-9.89	-10.78	-10.97
Best Period	25.60	36.83	58.08	85.82	127.13	173.61	199.39	305.92	351.06
Worst Period	-14.63	-18.62	-19.87	-28.10	-31.44	-30.10	-23.04	-21.43	-24.87
Standard Deviation	5.79	9.02	13.42	20.89	30.24	41.25	62.48	84.79	102.47
Gain Standard Deviation	5.06	7.81	11.72	18.94	28.59	39.94	63.78	89.44	108.18
Loss Standard Deviation	2.97	4.30	4.79	6.15	6.69	6.87	5.63	6.07	6.12
Sharpe Ratio (1%)	0.14	0.25	0.34	0.44	0.48	0.51	0.54	0.54	0.55
Average Gain / Average Loss	1.44	1.79	2.09	2.83	3.88	4.74	6.85	7.73	8.11
Profit / Loss Ratio	1.56	2.26	2.92	4.51	5.66	6.99	10.36	13.97	21.74
Downside Deviation (10%)	3.28	4.76	6.43	8.76	11.17	13.45	17.00	20.72	23.54
Downside Deviation (5%)	3.10	4.25	5.33	6.56	7.64	8.57	8.88	9.57	8.99
Downside Deviation (0%)	3.06	4.13	5.07	6.06	6.86	7.49	7.16	7.37	6.53
Sortino Ratio (10%)	0.15	0.27	0.39	0.60	0.75	0.97	1.24	1.36	1.45
Sortino Ratio (5%)	0.26	0.53	0.84	1.42	1.90	2.48	3.80	4.78	6.30
Sortino Ratio (0%)	0.29	0.61	0.99	1.70	2.34	3.10	5.14	6.76	9.46

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	6	2.19	4/2018
Trend Following Strategy Index	Month	8	1.40	11/2017
Trend Following Strategy Index	Month	6	1.03	6/2017
Trend Following Strategy Index	Month	7	1.44	3/2017
Trend Following Strategy Index	Month	5	1.38	10/2016
Trend Following Strategy Index	Month	4	1.01	8/2016
Trend Following Strategy Index	Month	6	1.45	12/2015
Trend Following Strategy Index	Month	9	6.09	12/2012
IASG CTA Index	Month	10	6.09	12/2012
Systematic Trader Index	Month	10	6.09	12/2012
Trend Following Strategy Index	Month	8	12.81	5/2010
Systematic Trader Index	Month	8	12.81	5/2010
IASG CTA Index	Month	9	12.81	5/2010
Trend Following Strategy Index	Month	7	3.48	1/2010
Trend Following Strategy Index	Month	10	10.30	8/2008
Trend Following Strategy Index	Month	7	1.46	3/2007
IASG CTA Index	5 Year	7	198.24	2001 - 2006
Systematic Trader Index	Month	6	2.91	2/2006
Trend Following Strategy Index	Month	3	2.91	2/2006
IASG CTA Index	5 Year	3	235.35	2000 - 2005
IASG CTA Index	Month	3	15.91	12/2005
Systematic Trader Index	Month	1	15.91	12/2005
Trend Following Strategy Index	Month	1	15.91	12/2005
IASG CTA Index	3 Year	6	117.60	2002 - 2005
Trend Following Strategy Index	Month	5	8.26	8/2005
Systematic Trader Index	Month	7	8.26	8/2005
IASG CTA Index	Month	9	8.26	8/2005
IASG CTA Index	Month	8	2.95	4/2005
Systematic Trader Index	Month	6	2.95	4/2005
Trend Following Strategy Index	Month	3	2.95	4/2005
IASG CTA Index	5 Year	2	351.06	1999 - 2004
Systematic Trader Index	Month	1	13.69	12/2004
IASG CTA Index	Month	1	13.69	12/2004
Trend Following Strategy Index	Month	1	13.69	12/2004
IASG CTA Index	3 Year	8	140.19	2001 - 2004
Trend Following Strategy Index	Month	6	4.48	7/2004
Systematic Trader Index	Month	9	4.48	7/2004
Trend Following Strategy Index	Month	6	5.98	5/2004
IASG CTA Index	Month	8	5.98	5/2004
Systematic Trader Index	Month	7	5.98	5/2004
Trend Following Strategy Index	Month	8	5.88	3/2004
Systematic Trader Index	Month	9	5.88	3/2004
IASG CTA Index	Annual	10	50.69	2003
IASG CTA Index	3 Year	5	132.23	2000 - 2003
Trend Following Strategy Index	Month	2	14.14	7/2003
Systematic Trader Index	Month	2	14.14	7/2003
IASG CTA Index	Month	3	14.14	7/2003
Trend Following Strategy Index	Month	3	1.57	3/2003
Systematic Trader Index	Month	6	1.57	3/2003
IASG CTA Index	Month	10	1.57	3/2003
IASG CTA Index	3 Year	2	154.21	1999 - 2002
Systematic Trader Index	Month	5	3.22	11/2002
IASG CTA Index	Month	9	3.22	11/2002
Trend Following Strategy Index	Month	2	3.22	11/2002
Trend Following Strategy Index	Month	8	-0.89	10/2002
Trend Following Strategy Index	Month	8	10.32	3/2002
IASG CTA Index	Month	10	10.32	3/2002
Systematic Trader Index	Month	9	10.32	3/2002
Systematic Trader Index	Month	1	15.91	2/2002
IASG CTA Index	Month	1	15.91	2/2002
Trend Following Strategy Index	Month	1	15.91	2/2002
Trend Following Strategy Index	Month	1	18.97	12/2001
IASG CTA Index	Month	1	18.97	12/2001
Systematic Trader Index	Month	1	18.97	12/2001
Systematic Trader Index	Month	1	13.00	11/2001
IASG CTA Index	Month	1	13.00	11/2001
Trend Following Strategy Index	Month	1	13.00	11/2001
Trend Following Strategy Index	Month	1	15.19	5/2001
IASG CTA Index	Month	1	15.19	5/2001
Systematic Trader Index	Month	1	15.19	5/2001
Trend Following Strategy Index	Month	7	14.40	3/2001
Systematic Trader Index	Month	9	14.40	3/2001
IASG CTA Index	Month	10	14.40	3/2001
Trend Following Strategy Index	Month	7	25.60	12/2000
IASG CTA Index	Month	8	25.60	12/2000
Systematic Trader Index	Month	7	25.60	12/2000
IASG CTA Index	Sharpe	8	1.77	2000
IASG CTA Index	Annual	3	64.95	2000
IASG CTA Index	Month	2	11.86	9/2000
Trend Following Strategy Index	Month	1	11.86	9/2000
Systematic Trader Index	Month	1	11.86	9/2000
Systematic Trader Index	Month	1	13.99	3/2000
Trend Following Strategy Index	Month	1	13.99	3/2000
IASG CTA Index	Month	1	13.99	3/2000

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

^#6

Top Performer

TREND FOLLOWING STRATEGY INDEX

APRIL
2018

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Insch Capital Management SA : Interbank Currency Program - 3X Leverage

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Insch Capital Management SA : Interbank Currency Program - 3X Leverage

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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