MAG Asset Management SA : SCTR

archived programs
Year-to-Date
N / A
Apr Performance
0.77%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
15.00%
Annualized Vol
5.12%
Sharpe (RFR=1%)
2.38
CAROR
13.85%
Assets
$ 1.5M
Worst DD
-4.70
S&P Correlation
0.29

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
5/2013
SCTR 0.77 - - - - 7.99 - 47.57
S&P 500 0.27 - - - - 51.43 - 112.46
+/- S&P 500 0.50 - - - - -43.43 - -64.89

Strategy Description

Summary

My SCTR systematic strategy operates on the spot foreign exchange market only, on 6 different pairs, with a high volatility protection. Our purpose and goal is to generate alpha, without any correlation with any market and with a high stability.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 15.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 106 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.00%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 90.00%
Intraday 10.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
50.00%
Momentum
50.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

My SCTR systematic strategy operates on the spot foreign exchange market only, on 6 different pairs, with a high volatility protection. Our purpose and goal is to generate alpha, without any correlation with any market and with a high stability.

Investment Strategy

The strategy makes few transactions only, with a low leverage. My goal is to achieve the best performance/risk ratio as possible and to be as efficient as possible. That means, my system does not take any position if signals are not strong enough. The pairs I have selected and I trade are all very classic.

Risk Management

How I control the risk:
- Sharp movement protection / Gap protection
- Max drawdown protection
- Low leverage only : On average, the leverage used is lower than 1:1, with peaks at 5:1 (only for a few hours, in case of a strong conviction). A small leverage makes quite sense when it is used wisely.
- My goal is to have a volatility lower than the High Yield Credit market, and in any case much lower than the equity market.

   

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
-4.70 1 5 12/1/2014 1/1/2015
-0.20 1 1 10/1/2013 11/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
15.67 12 5/1/2015 4/1/2016
12.10 5 6/1/2013 10/1/2013
8.21 3 10/1/2014 12/1/2014
8.19 8 12/1/2013 7/1/2014
2.21 2 2/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.70 1 1/1/2015 1/1/2015
-0.20 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable83.3394.12100.00100.00100.00100.00
Average Period Return1.103.346.2812.2418.4225.45
Average Gain1.483.646.2812.2418.4225.45
Average Loss-2.45-1.48
Best Period4.2010.0512.1120.2527.3628.90
Worst Period-4.70-2.590.147.1913.8122.29
Standard Deviation1.482.602.763.623.861.79
Gain Standard Deviation1.052.352.763.623.861.79
Loss Standard Deviation3.181.57
Sharpe Ratio (1%)0.691.192.103.114.3813.07
Average Gain / Average Loss0.602.45
Profit / Loss Ratio9.0639.24
Downside Deviation (10%)0.870.750.44
Downside Deviation (5%)0.800.500.06
Downside Deviation (0%)0.780.45
Sortino Ratio (10%)0.792.818.72
Sortino Ratio (5%)1.276.1790.61
Sortino Ratio (0%)1.407.43

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.