LNG CAPITAL : LNG GLOBAL FX

archived programs
Year-to-Date
N / A
Dec Performance
-0.16%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.56%
Sharpe (RFR=1%)
0.94
CAROR
-
Assets
$ 13.2M
Worst DD
-3.69
S&P Correlation
0.35

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
LNG GLOBAL FX -0.16 - - - - - - 5.34
S&P 500 2.36 - - - - - - 98.48
+/- S&P 500 -2.52 - - - - - - -93.14

Strategy Description

Summary

The LNG FX Global Trading Program is a systematic trading program that employs trend detection and breakout strategies across 30 global currency pairs in G10 and developed emerging markets. The investment objective is to generate attractive risk adjusted net returns of approximately... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 5.26%
Sector Focus Currency Traders

Holding Periods

Over 12 Months
4-12 Months 3.00%
1-3 Months 15.00%
1-30 Days 80.00%
Intraday 2.00%

Decision-Making

Discretionary 15.00%
Systematic 85.00%

Strategy

Pattern Recognition
25.00%
Technical
25.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The LNG FX Global Trading Program is a systematic trading program that employs trend detection and breakout strategies across 30 global currency pairs in G10 and developed emerging markets. The investment objective is to generate attractive risk adjusted net returns of approximately 10% with a target volatility of 5% with minimal correlations to other major market and hedge fund indices. The proprietary portfolio construction algorithm incorporates enhanced modern portfolio theory to determine optimal allocations. Money management discipline is employed to generate entry/exit points. The program employs a sophisticated risk management system that takes into account the price, size and volatility of currency pairs traded. Risk is monitored on a daily basis targeting VaR. During drawdowns the system reduces market exposure by scaling back leverage and position size.

Investment Strategy

LNG Global FX Strategy is a systematic trend-following model based around a universe of 30 currency pairs within the G10 and Developed EM space. There are three core components : 1/ Short – Medium trend following 2/ Breakout strategy 3/ Mean reversion for range-bound market. The strategy is run, and updated daily and constantly monitored. The trades are then determined through the following methodology and risk management combination: -Daily end of day data extracted from each currency pair -Updated through Excel via a global macro pricer. This in turn, generates the points for the week. (entry, exit, take profit) - Data and points then analysed via the current charts and only the very strongest signals will be implemented. -Risk Management model run to calculate the leverage and portfolio position size. -Orders then input into the managed account trading platforms for the week and constantly monitored. Further information is available upon request

Risk Management

The strategy utilises a very robust, risk management module, based on modern portfolio theory to maintain capital protection, calculated by: -Calculation of daily percentages of each currency pair -Calculating of overall CVAR for entire portfolio under constraint of currency weights to obtain optimum percentage for each currency pair. -Calculating weekly leverage for entire portfolio smoothed via a GARCH effect giving more weight to most recent data.

   

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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Sharpe Ratio: (RF=1%)
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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
-3.69 2 3 6/1/2013 8/1/2013
-0.16 1 - 11/1/2013 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
7.14 3 9/1/2013 11/1/2013
2.26 1 6/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.69 2 7/1/2013 8/1/2013
-0.16 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable50.0066.67
Average Period Return0.671.80
Average Gain2.323.24
Average Loss-1.29-1.07
Best Period3.277.14
Worst Period-3.23-1.52
Standard Deviation2.183.19
Gain Standard Deviation1.282.92
Loss Standard Deviation1.690.64
Sharpe Ratio (1%)0.270.49
Average Gain / Average Loss1.793.04
Profit / Loss Ratio2.396.08
Downside Deviation (10%)1.351.39
Downside Deviation (5%)1.190.80
Downside Deviation (0%)1.160.67
Sortino Ratio (10%)0.200.41
Sortino Ratio (5%)0.501.94
Sortino Ratio (0%)0.582.70

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.