Macquarie : Global Currency Alpha Segregated Portfolio

archived programs
Year-to-Date
N / A
Apr Performance
0.79%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
6.67%
Sharpe (RFR=1%)
0.91
CAROR
7.06%
Assets
$ 439.8M
Worst DD
-5.72
S&P Correlation
-0.09

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/1999
Global Currency Alpha Segregated Portfolio 0.79 - - - - - - 77.54
S&P 500 4.75 - - - - - - 135.78
+/- S&P 500 -3.96 - - - - - - -58.24

Strategy Description

Summary

-FUND FEATURES The Fund aims to provide attractive returns on an absolute and risk-adjusted basis by trading major currencies. FUND FEATURES " Macquarie's process is discretionary based on a disciplined appraisal of directional trends, market sentiment (as a contrarian indicator) and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-FUND FEATURES The Fund aims to provide attractive returns on an absolute and risk-adjusted basis by trading major currencies. FUND FEATURES " Macquarie's process is discretionary based on a disciplined appraisal of directional trends, market sentiment (as a contrarian indicator) and fundamental factors. By methodically monitoring these factors our process enables the early detection of new trends, and indicates the sustainability of existing trends. " Proprietary risk management systems take account of riskiness of individual currencies and ensure the limits for each currency are of equivalent risk. " The process delivers o strong risk-adjusted returns o small drawdowns o returns uncorrelated with other currency managers. The Bermuda-domiciled Fund is targeting volatility of 8-9% pa. The Fund provides monthly liquidity (or on request), no lock-up period and short notification periods. Macquarie Funds Management (Macquarie) is part of the Macquarie Bank Group, an Australian investment bank and one of Australia's top 25 listed companies. Macquarie has been managing currency overlays since 1992 and has been successfully using a currency alpha strategy within its global bond funds since 1999. In 2003 Macquarie began offering this strategy on a stand-alone basis and has since won a number of mandates from large global financial institutions. As at 31 January, Macquarie managed approximately $700m using this strategy, of that around $16m was in geared mandates. Macquarie manages more than $2.3 billion in currency exposures across static and dynamic hedging and active mandates. The track record provided is a combination of that of the Macquarie Global Active Currency Fund from January 2004 and prior to that the currency overlay from the Macquarie Global Bond Fund which has been adjusted to match the limits of the Currency Fund with funding added and net of management and performance fees.

   

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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Compound RoR:
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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
-5.72 5 22 12/1/2005 5/1/2006
-3.82 3 9 4/1/2001 7/1/2001
-3.70 2 2 5/1/2003 7/1/2003
-3.31 1 4 7/1/2005 8/1/2005
-3.29 8 3 7/1/2004 3/1/2005
-2.30 1 2 12/1/2000 1/1/2001
-2.28 3 2 11/1/2002 2/1/2003
-2.05 1 1 9/1/2000 10/1/2000
-1.31 2 2 9/1/2003 11/1/2003
-0.62 2 1 4/1/2004 6/1/2004
-0.02 1 1 2/1/2004 3/1/2004
-0.01 1 1 12/1/1999 1/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
24.78 8 4/1/2002 11/1/2002
10.58 2 11/1/2000 12/1/2000
9.47 8 2/1/2000 9/1/2000
7.59 4 9/1/2005 12/1/2005
7.11 3 3/1/2003 5/1/2003
6.51 3 2/1/2001 4/1/2001
5.02 2 8/1/2003 9/1/2003
3.91 4 4/1/2005 7/1/2005
3.78 3 12/1/2003 2/1/2004
2.97 1 8/1/2001 8/1/2001
2.87 2 6/1/2006 7/1/2006
2.86 1 12/1/1999 12/1/1999
2.64 2 11/1/2006 12/1/2006
2.40 1 4/1/2007 4/1/2007
1.85 1 7/1/2004 7/1/2004
1.82 3 2/1/2008 4/1/2008
1.76 3 10/1/2007 12/1/2007
1.72 3 6/1/2007 8/1/2007
1.72 1 3/1/2006 3/1/2006
1.66 1 2/1/2007 2/1/2007
1.15 1 2/1/2005 2/1/2005
0.88 1 10/1/2001 10/1/2001
0.78 1 1/1/2003 1/1/2003
0.69 1 4/1/2004 4/1/2004
0.32 1 2/1/2002 2/1/2002
0.23 1 11/1/2004 11/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.32 2 1/1/2006 2/1/2006
-3.82 3 5/1/2001 7/1/2001
-3.70 2 6/1/2003 7/1/2003
-3.31 1 8/1/2005 8/1/2005
-3.13 2 4/1/2006 5/1/2006
-2.60 3 11/1/2001 1/1/2002
-2.47 3 8/1/2006 10/1/2006
-2.34 1 3/1/2007 3/1/2007
-2.30 1 1/1/2001 1/1/2001
-2.05 1 10/1/2000 10/1/2000
-1.75 3 8/1/2004 10/1/2004
-1.64 1 3/1/2005 3/1/2005
-1.59 1 12/1/2002 12/1/2002
-1.47 1 2/1/2003 2/1/2003
-1.45 1 9/1/2007 9/1/2007
-1.31 2 10/1/2003 11/1/2003
-1.29 2 12/1/2004 1/1/2005
-0.80 1 3/1/2002 3/1/2002
-0.73 1 1/1/2007 1/1/2007
-0.66 1 9/1/2001 9/1/2001
-0.62 2 5/1/2004 6/1/2004
-0.55 1 1/1/2008 1/1/2008
-0.31 1 5/1/2007 5/1/2007
-0.02 1 3/1/2004 3/1/2004
-0.01 1 1/1/2000 1/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods101.0099.0096.0090.0084.0078.0066.0054.0042.00
Percent Profitable61.3967.6878.1388.8996.4397.44100.00100.00100.00
Average Period Return0.591.723.507.0310.2613.8522.0429.4137.41
Average Gain1.673.204.858.1310.7014.2322.0429.4137.41
Average Loss-1.14-1.36-1.33-1.85-1.52-0.40
Best Period7.6714.3119.6423.4032.0935.2652.3459.7665.73
Worst Period-3.89-3.82-3.98-3.60-2.03-0.451.965.7814.42
Standard Deviation1.923.264.797.288.8111.3916.0217.9115.06
Gain Standard Deviation1.552.914.556.958.6711.2916.0217.9115.06
Loss Standard Deviation0.961.011.061.170.520.07
Sharpe Ratio (1%)0.260.450.630.830.991.041.191.422.15
Average Gain / Average Loss1.472.343.654.407.0335.18
Profit / Loss Ratio2.344.9113.0535.21189.841336.87
Downside Deviation (10%)1.131.621.973.013.794.916.527.155.31
Downside Deviation (5%)0.961.080.981.040.660.530.15
Downside Deviation (0%)0.920.960.790.720.300.07
Sortino Ratio (10%)0.160.310.520.670.700.730.961.101.84
Sortino Ratio (5%)0.531.373.055.8213.2622.54127.36
Sortino Ratio (0%)0.641.804.459.7734.37212.29

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.