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

archived programs
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

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 -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

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... 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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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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.