Insch Capital Management SA : Interbank Currency Program - 3X Leverage Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2019 1yr 3yr 5yr 10yr Since1/2000 Interbank Currency Program - 3X Leverage 0.65 -0.32 - -3.13 -9.67 -22.30 -8.88 392.14 S&P 500 2.16 -0.32 - 11.04 27.07 64.22 91.20 92.01 +/- S&P 500 -1.51 -0.01 - -14.16 -36.74 -86.51 -100.08 300.13 Strategy Description SummaryThe 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... Read More 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% SummaryThe 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods221.00219.00216.00210.00204.00198.00186.00174.00162.00 Percent Profitable52.0455.7158.3361.4359.3159.6060.2264.3772.84 Average Period Return0.882.515.0010.2916.0323.2436.8349.8161.77 Average Gain4.738.0813.0221.5432.8245.5067.7083.3488.90 Average Loss-3.28-4.50-6.24-7.61-8.45-9.61-9.89-10.78-10.97 Best Period25.6036.8358.0885.82127.13173.61199.39305.92351.06 Worst Period-14.63-18.62-19.87-28.10-31.44-30.10-23.04-21.43-24.87 Standard Deviation5.799.0213.4220.8930.2441.2562.4884.79102.47 Gain Standard Deviation5.067.8111.7218.9428.5939.9463.7889.44108.18 Loss Standard Deviation2.974.304.796.156.696.875.636.076.12 Sharpe Ratio (1%)0.140.250.340.440.480.510.540.540.55 Average Gain / Average Loss1.441.792.092.833.884.746.857.738.11 Profit / Loss Ratio1.562.262.924.515.666.9910.3613.9721.74 Downside Deviation (10%)3.284.766.438.7611.1713.4517.0020.7223.54 Downside Deviation (5%)3.104.255.336.567.648.578.889.578.99 Downside Deviation (0%)3.064.135.076.066.867.497.167.376.53 Sortino Ratio (10%)0.150.270.390.600.750.971.241.361.45 Sortino Ratio (5%)0.260.530.841.421.902.483.804.786.30 Sortino Ratio (0%)0.290.610.991.702.343.105.146.769.46 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 6 2.19 4/2018 Trend Following Strategy Index Month 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 IASG CTA Index Month 9 12.81 5/2010 Trend Following Strategy Index Month 8 12.81 5/2010 Systematic Trader Index Month 8 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 Rolling 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 Rolling 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 Rolling 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 Rolling 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 Rolling 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 Systematic Trader Index Month 7 5.98 5/2004 IASG CTA Index Month 8 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 Year Rolling 10 50.69 2002 - 2003 IASG CTA Index 3 Year Rolling 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 Rolling 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 1999 - 2000 IASG CTA Index Year Rolling 3 64.95 1999 - 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. x {{title}} x {{title}} Add Cancel