MAG Asset Management SA : SCTR Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2013 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 SummaryMy 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% Composition Currency FX 100.00% SummaryMy 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 StrategyThe 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 ManagementHow 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -4.70 1 5 12/1/2014 1/1/2015 -0.20 1 1 10/1/2013 11/1/2013 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel