MKW Futures : Short Term FX Program

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
-2.53%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.28%
Sharpe (RFR=1%)
-0.26
CAROR
-0.52%
Assets
$ 10.1M
Worst DD
-18.36
S&P Correlation
-0.06

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Short Term FX Program -2.53 - - - - - -10.66 -3.70
S&P 500 -5.68 - - - - - 7.52 214.43
+/- S&P 500 3.15 - - - - - -18.18 -218.13

Strategy Description

Summary

This is a trend following program based on technical signals. It is target driven and uses trailing stops to manage its risk. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

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

This is a trend following program based on technical signals. It is target driven and uses trailing stops to manage its risk.

Investment Strategy

It currently trades eight currency pairs, Euro/US Dollar, Sterling/US Dollar, US Dollar/Yen, Australian Dollar/US Dollar, New Zealand Dollar/US Dollar, US Dollar/South African Rand,US Dollar/Canadian Dollar,and Sterling/Yen.

Risk Management

Risk is managed from the top down by setting a portfolio and sector limits.

   

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
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
-18.36 27 - 5/1/2009 8/1/2011
-6.71 14 6 12/1/2005 2/1/2007
-5.64 8 4 10/1/2007 6/1/2008
-2.36 3 2 7/1/2004 10/1/2004
-1.43 4 1 6/1/2005 10/1/2005
-1.21 4 3 10/1/2008 2/1/2009
-0.97 1 1 4/1/2005 5/1/2005
-0.29 1 1 12/1/2004 1/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
9.09 5 6/1/2007 10/1/2007
6.00 3 2/1/2005 4/1/2005
5.28 2 7/1/2008 8/1/2008
5.00 1 10/1/2008 10/1/2008
4.74 2 3/1/2007 4/1/2007
3.28 2 11/1/2004 12/1/2004
2.47 1 4/1/2011 4/1/2011
2.14 1 5/1/2009 5/1/2009
2.09 2 11/1/2005 12/1/2005
1.10 1 3/1/2009 3/1/2009
0.99 1 6/1/2005 6/1/2005
0.79 1 9/1/2009 9/1/2009
0.69 1 2/1/2006 2/1/2006
0.69 1 2/1/2008 2/1/2008
0.60 2 4/1/2010 5/1/2010
0.46 1 12/1/2009 12/1/2009
0.41 1 4/1/2006 4/1/2006
0.39 1 11/1/2006 11/1/2006
0.38 1 11/1/2010 11/1/2010
0.30 2 8/1/2005 9/1/2005
0.25 1 7/1/2010 7/1/2010
0.16 1 5/1/2008 5/1/2008
0.05 1 12/1/2008 12/1/2008
0.04 1 9/1/2004 9/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.42 4 5/1/2011 8/1/2011
-4.88 4 12/1/2010 3/1/2011
-3.93 3 8/1/2010 10/1/2010
-3.67 6 5/1/2006 10/1/2006
-3.63 2 10/1/2009 11/1/2009
-3.51 3 6/1/2009 8/1/2009
-3.35 3 11/1/2007 1/1/2008
-2.69 2 3/1/2008 4/1/2008
-1.89 2 7/1/2004 8/1/2004
-1.74 3 1/1/2010 3/1/2010
-1.70 1 5/1/2007 5/1/2007
-1.65 3 12/1/2006 2/1/2007
-1.60 1 3/1/2006 3/1/2006
-1.40 1 1/1/2006 1/1/2006
-1.31 1 7/1/2005 7/1/2005
-1.15 1 9/1/2008 9/1/2008
-1.02 2 1/1/2009 2/1/2009
-0.97 1 5/1/2005 5/1/2005
-0.53 1 6/1/2010 6/1/2010
-0.52 1 6/1/2008 6/1/2008
-0.52 1 10/1/2004 10/1/2004
-0.42 1 10/1/2005 10/1/2005
-0.29 1 1/1/2005 1/1/2005
-0.24 1 11/1/2008 11/1/2008
-0.22 1 4/1/2009 4/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable41.8639.2945.6848.0056.5266.6770.5984.6259.26
Average Period Return-0.030.000.150.290.631.274.365.723.84
Average Gain1.302.814.065.906.005.568.417.678.51
Average Loss-1.01-1.82-3.15-4.89-6.35-7.33-5.37-5.00-2.96
Best Period5.008.559.1510.8912.2114.6015.1118.6816.88
Worst Period-3.05-4.85-6.28-10.66-12.46-15.42-13.74-11.58-5.86
Standard Deviation1.522.854.406.076.897.857.286.307.46
Gain Standard Deviation1.302.323.232.902.664.673.704.416.10
Loss Standard Deviation0.751.201.712.593.595.453.413.741.71
Sharpe Ratio (1%)-0.08-0.09-0.08-0.12-0.13-0.090.180.26-0.17
Average Gain / Average Loss1.281.541.291.210.940.761.571.532.88
Profit / Loss Ratio0.941.001.091.111.231.523.768.444.19
Downside Deviation (10%)1.212.574.387.459.7111.8113.4917.0124.89
Downside Deviation (5%)1.001.862.964.635.686.224.913.845.43
Downside Deviation (0%)0.951.692.633.984.795.233.412.382.16
Sortino Ratio (10%)-0.36-0.48-0.53-0.63-0.72-0.76-0.85-0.93-0.96
Sortino Ratio (5%)-0.12-0.13-0.12-0.15-0.15-0.120.270.43-0.23
Sortino Ratio (0%)-0.030.000.060.070.130.241.282.411.78

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.