Insch Kintore Ltd : INSCH KINTORE

Year-to-Date
16.41%
Nov Performance
7.99%
Min Investment
$ 350k
Mgmt. Fee
1.75%
Perf. Fee
17.50%
Annualized Vol
27.86%
Sharpe (RFR=1%)
0.46
CAROR
10.57%
Assets
$ 53.6M
Worst DD
-31.54
S&P Correlation
-0.07

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/2015
INSCH KINTORE 7.99 1.84 16.41 17.45 18.34 61.28 - 79.69
S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 - 70.34
+/- S&P 500 -2.76 -1.63 4.32 2.15 -21.76 -11.03 - 9.35

Strategy Description

Summary

The Insch Kintore strategy is a fully disciplined and entirely systematic trading strategy that trades gold (as a currency) versus 10 of the largest and most liquid currencies in the world. The strategy is “trend following” in nature and fully automated in terms of trade implementation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 350k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.75%
Performance Fee 17.50%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 220 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -35.00%
Worst Peak-to-Trough 26.50%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 75.00%
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 Insch Kintore strategy is a fully disciplined and entirely systematic trading strategy that trades gold (as a currency) versus 10 of the largest and most liquid currencies in the world. The strategy is “trend following” in nature and fully automated in terms of trade implementation and execution. Buy and sell signals are generated from price breakouts, volatility and other proprietary signals. Due to the portfolio and the instrument traded (XAU/10 FX cross rates), Insch Kintore offers extreme transparency and liquidity. It also offers: - Outperformance over equity markets, fixed income markets and gold - Real diversification from equity, fixed income and precious metals - Crisis risk offset for a traditional portfolio Kintore has achieved exceptionally attractive levels of investment performance with consistent alpha, alongside non-correlated downside deviation when compared with traditional investments. This best-in-class strategy won the 2016 EuroHedge Award for Best Managed Futures Performance under $500m, the 2017 CTA Intelligence Award for Long Term Performance Under $500m, the 2017 HFR Review Best Managed Futures/CTA Award and the 2020 Barclayhedge award as Top 20 CTA( 5-Year Compound Returns).

Investment Strategy

The detection and measurement of trends is determined by a number of bespoke quantitative algorithms combining a number of trend-following techniques such as those known as Price Breakout, Momentum, Moving Average and others. Multiple time-frames are used. Other inputs are derived from changes in perceived price volatility and the effect of one algorithm on others within the portfolio. Buy and sell signals are generated from a number of proprietary algorithms that form a total portfoilio with greatly reduced risk. The portfolio will contain both long and short positions. Restricted levels of leverage may also be employed.

Risk Management

1). Unequalled liquidity and transparency of market, instrument, portfolio and positions. 2). Diversification of algorithms across currency price streams. 3). Diversification of algorithms over multiple time-frames. 4). Strict adherence to measured and tested (known) rules. 5). Integrated trailing stop-loss points based upon time and volatility. 6). Dynamically self-adjusting (matrix) portfolio. 7). Totally agnostic in terms of price direction. 8). Fully bidirectional. Insch Kintore won the 2016 EuroHedge Award for Best Managed Futures Performance under $500m, the 2017 CTA Intelligence Award for Long Term Performance Under $500m and the 2017 HFR Review Best Managed Futures/CTA Award.

   

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
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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
-31.54 3 - 8/1/2019 11/1/2019
-28.98 7 11 2/1/2016 9/1/2016
-23.89 5 12 1/1/2018 6/1/2018
-10.69 3 1 9/1/2015 12/1/2015
-6.79 3 1 8/1/2017 11/1/2017
-3.97 5 1 1/1/0001 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
54.19 3 6/1/2019 8/1/2019
50.57 2 1/1/2016 2/1/2016
27.66 5 10/1/2016 2/1/2017
21.96 5 4/1/2017 8/1/2017
20.47 3 12/1/2019 2/1/2020
19.65 3 7/1/2015 9/1/2015
15.90 2 11/1/2018 12/1/2018
15.10 2 6/1/2020 7/1/2020
9.33 2 12/1/2017 1/1/2018
7.99 1 11/1/2020 11/1/2020
6.24 1 7/1/2018 7/1/2018
5.91 1 11/1/2015 11/1/2015
2.56 1 2/1/2019 2/1/2019
1.92 1 3/1/2015 3/1/2015
1.68 1 8/1/2016 8/1/2016
0.93 1 5/1/2016 5/1/2016
0.76 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.54 3 9/1/2019 11/1/2019
-23.89 5 2/1/2018 6/1/2018
-19.83 2 3/1/2016 4/1/2016
-13.44 3 3/1/2020 5/1/2020
-9.39 3 8/1/2020 10/1/2020
-8.71 1 9/1/2016 9/1/2016
-8.45 1 10/1/2015 10/1/2015
-7.95 1 5/1/2019 5/1/2019
-7.89 1 12/1/2015 12/1/2015
-6.79 3 9/1/2017 11/1/2017
-5.44 2 6/1/2016 7/1/2016
-4.67 1 3/1/2017 3/1/2017
-3.11 3 4/1/2015 6/1/2015
-2.75 1 2/1/2015 2/1/2015
-1.37 3 8/1/2018 10/1/2018
-0.45 1 3/1/2019 3/1/2019
-0.25 1 1/1/2019 1/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable50.0057.3567.6972.8883.0293.62100.00100.00
Average Period Return1.153.366.3012.2916.9822.8829.4449.90
Average Gain6.9711.9813.9220.4321.2924.6229.4449.90
Average Loss-4.67-8.23-9.68-9.57-4.12-2.69
Best Period27.2754.1942.3768.4647.8359.5785.9098.32
Worst Period-17.79-31.54-22.85-21.04-7.15-5.741.5919.28
Standard Deviation8.0413.8913.4218.6314.5416.2319.4217.64
Gain Standard Deviation6.4411.117.8714.6911.9515.2519.4217.64
Loss Standard Deviation4.477.176.886.201.872.82
Sharpe Ratio (1%)0.130.220.430.611.061.291.362.60
Average Gain / Average Loss1.491.461.442.145.179.14
Profit / Loss Ratio1.491.963.015.7425.26134.01
Downside Deviation (10%)4.767.707.898.235.114.163.620.47
Downside Deviation (5%)4.587.206.936.332.431.340.24
Downside Deviation (0%)4.547.076.695.881.850.90
Sortino Ratio (10%)0.160.280.490.891.843.033.7759.83
Sortino Ratio (5%)0.230.430.841.786.3715.62108.39
Sortino Ratio (0%)0.250.480.942.099.1925.55

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.